D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 45 Citations 14,481 70 World Ranking 909 National Ranking 4

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Financial economics
  • Econometrics

Pedro Santa-Clara mostly deals with Econometrics, Stock market, Financial economics, Mixed-data sampling and Risk–return spectrum. His Econometrics research includes themes of Actuarial science and Estimator. His Stock market research incorporates elements of Monetary economics and Earnings growth.

His work on Momentum as part of general Financial economics research is frequently linked to Variable, thereby connecting diverse disciplines of science. His work is dedicated to discovering how Mixed-data sampling, Conditional expectation are connected with Regression analysis and other disciplines. Pedro Santa-Clara works mostly in the field of Risk premium, limiting it down to concerns involving Real interest rate and, occasionally, Portfolio.

His most cited work include:

  • Idiosyncratic Risk Matters (754 citations)
  • There is a risk-return trade-off after all ☆ (610 citations)
  • Predicting volatility: getting the most out of return data sampled at different frequencies (511 citations)

What are the main themes of his work throughout his whole career to date?

His primary areas of study are Econometrics, Financial economics, Portfolio, Capital asset pricing model and Stock market. His work on Volatility as part of general Econometrics study is frequently connected to Computer science, therefore bridging the gap between diverse disciplines of science and establishing a new relationship between them. His study in Financial economics is interdisciplinary in nature, drawing from both Foreign exchange market and Equity risk.

His research in Portfolio tackles topics such as Monetary economics which are related to areas like Marginal utility. His Capital asset pricing model study which covers Covariance that intersects with Covariance matrix. His work on Restricted stock as part of general Stock market research is frequently linked to Presidential system, bridging the gap between disciplines.

He most often published in these fields:

  • Econometrics (137.80%)
  • Financial economics (103.05%)
  • Portfolio (71.34%)

What were the highlights of his more recent work (between 2012-2017)?

  • Econometrics (137.80%)
  • Financial economics (103.05%)
  • Sharpe ratio (37.20%)

In recent papers he was focusing on the following fields of study:

Pedro Santa-Clara mainly focuses on Econometrics, Financial economics, Sharpe ratio, Stock market and Value premium. His Financial economics research incorporates themes from Foreign exchange market and Currency. His Sharpe ratio study incorporates themes from Momentum and Kurtosis.

The various areas that Pedro Santa-Clara examines in his Stock market study include Variance decomposition of forecast errors and Dividend yield. Pedro Santa-Clara combines subjects such as Intertemporal CAPM, Equity risk and Interest rate with his study of Value premium. His studies deal with areas such as Sample and Volatility risk as well as Portfolio.

Between 2012 and 2017, his most popular works were:

  • Momentum Has Its Moments (231 citations)
  • Momentum Has Its Moments (231 citations)
  • Beyond the carry trade: Optimal currency portfolios (58 citations)

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Idiosyncratic Risk Matters

Amit Goyal;Pedro Santa-Clara.
Journal of Finance (2003)

1265 Citations

There is a risk-return trade-off after all ☆

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov.
Journal of Financial Economics (2005)

1091 Citations

Predicting volatility: getting the most out of return data sampled at different frequencies

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov.
Journal of Econometrics (2006)

811 Citations

The Presidential Puzzle: Political Cycles and the Stock Market

Pedro Santa-Clara;Rossen I. Valkanov.
Journal of Finance (2003)

587 Citations

Momentum Has Its Moments

Pedro Barroso;Pedro Santa-Clara;Pedro Santa-Clara.
Journal of Financial Economics (2015)

578 Citations

The MIDAS Touch: Mixed Data Sampling Regression Models

Eric Ghysels;Pedro Santa-Clara;Rossen Valkanov.
Research Papers in Economics (2004)

559 Citations

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

Michael W. Brandt;Pedro Santa-Clara;Rossen Valkanov.
Review of Financial Studies (2009)

425 Citations

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

Miguel A. Ferreira;Pedro Santa-Clara;Pedro Santa-Clara.
Journal of Financial Economics (2011)

424 Citations

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

Michael W. Brandt;Amit Goyal;Pedro Santa-Clara;Jonathan R. Stroud.
Review of Financial Studies (2005)

398 Citations

There is a Risk-Return Tradeoff after All

Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Eric Ghysels;Rossen I. Valkanov.
Social Science Research Network (2004)

379 Citations

If you think any of the details on this page are incorrect, let us know.

Contact us

Best Scientists Citing Pedro Santa-Clara

Eric Ghysels

Eric Ghysels

University of North Carolina at Chapel Hill

Publications: 75

Peter Christoffersen

Peter Christoffersen

University of Toronto

Publications: 38

Tim Bollerslev

Tim Bollerslev

Duke University

Publications: 35

Guofu Zhou

Guofu Zhou

Washington University in St. Louis

Publications: 29

Massimiliano Marcellino

Massimiliano Marcellino

Bocconi University

Publications: 29

Turan G. Bali

Turan G. Bali

Georgetown University

Publications: 28

Torben G. Andersen

Torben G. Andersen

Northwestern University

Publications: 27

Liuren Wu

Liuren Wu

City University of New York

Publications: 26

Eduardo S. Schwartz

Eduardo S. Schwartz

Simon Fraser University

Publications: 26

Pietro Veronesi

Pietro Veronesi

University of Chicago

Publications: 26

Francis X. Diebold

Francis X. Diebold

University of Pennsylvania

Publications: 24

Lucio Sarno

Lucio Sarno

University of Cambridge

Publications: 24

Kris Jacobs

Kris Jacobs

University of Houston

Publications: 22

Pierre Collin-Dufresne

Pierre Collin-Dufresne

Swiss Finance Institute

Publications: 21

Lubos Pastor

Lubos Pastor

University of Chicago

Publications: 19

Hanno Lustig

Hanno Lustig

Stanford University

Publications: 19

Trending Scientists

Florian Dorfler

Florian Dorfler

ETH Zurich

Jacques Mairesse

Jacques Mairesse

Maastricht University

Evan Mitsoulis

Evan Mitsoulis

National Technical University of Athens

Dan-Xia Xu

Dan-Xia Xu

National Academies of Sciences, Engineering, and Medicine

Darryl J. Pappin

Darryl J. Pappin

Cold Spring Harbor Laboratory

M. Marlene Hosey

M. Marlene Hosey

Northwestern University

Sarman Singh

Sarman Singh

All India Institute of Medical Sciences

Lianxing Wen

Lianxing Wen

Stony Brook University

Scott K. Rowland

Scott K. Rowland

University of Hawaii System

Charles H. Wellman

Charles H. Wellman

University of Sheffield

Paul Peter Rosen

Paul Peter Rosen

Cornell University

Richard J. Wong

Richard J. Wong

Memorial Sloan Kettering Cancer Center

Fiona Lobban

Fiona Lobban

Centre for Mental Health

Frank Jacobi

Frank Jacobi

TU Dresden

Fabio Pammolli

Fabio Pammolli

Politecnico di Milano

Thomas Hugh Feeley

Thomas Hugh Feeley

State University of New York

Something went wrong. Please try again later.