NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Pedro Santa-Clara

Contact and additional information for this authorAll publicationsWorking Papers only

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 publicationsWorking Papers only

 
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