NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Pedro Santa-Clara

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers

August 2009Professor Zipf goes to Wall Street
with Yannick Malevergne, Didier Sornette: w15295
December 2008Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
with Miguel A. Ferreira: w14571
December 2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
with Michael W. Brandt, Rossen Valkanov: w10996
November 2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
with Michael W. Brandt, Amit Goyal, Jonathan Storud: w10934
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
with Shu Yan: w10912
There is a Risk-Return Tradeoff After All
with Eric Ghysels, Rossen Valkanov: w10913
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
with Eric Ghysels, Rossen Valkanov: w10914
March 2004Dynamic Portfolio Selection by Augmenting the Asset Space
with Michael W. Brandt: w10372
November 2003Two Trees: Asset Price Dynamics Induced by Market Clearing
with John H. Cochrane, Francis A. Longstaff: w10116
July 2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
with Michael W. Brandt, John H. Cochrane: w8404

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us