Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Pedro Santa-Clara

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing

Journal of Financial and Quantitative Analysis

English

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Journal of Finance

English

Flexible Multivariate GARCH Modeling With an Application to International Stock Markets

Review of Economics and Statistics

Social Sciences

English

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

SSRN Electronic Journal

English

Dynamic Portfolio Selection by Augmenting the Asset Space

SSRN Electronic Journal

English

International Risk Sharing Is Better Than You Think (Or Exchange Rates Are Much Too Smooth)

English

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

English