Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
José Afonso Faias, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 52, 2017, p. 277-303.

Short-Term Interest Rates and Stock Market Anomalies
Paulo Maio, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 52, 2017, p. 927-961.

Capital Market Integration and Consumption Risk Sharing over the Long Run
Jesper Rangvid, Pedro Santa Clara, Maik Schmeling
Journal of International Economics, vol. 103, 2016, p. 27-43.

Beyond the Carry Trade: Optimal Currency Portfolios
Pedro Barroso, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 50, 2015, p. 1037-1056.

Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks
Paulo Maio, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 50, 2015, p. 33-60.

Multifactor Models and Their Consistency with the ICAPM
Paulo Maio, Pedro Santa Clara
Journal of Financial Economics, vol. 106, 2012, p. 586-613.

Forecasting Stock Market Returns: The Sum of the Parts Is More Than the Whole
Miguel Almeida Ferreira, Pedro Santa Clara
Journal of Financial Economics, vol. 100, 2011, p. 514-537.

Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
Pedro Santa Clara, Shu Yan
Review of Economics and Statistics, vol. 92, 2010, p. 435-451.

Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
Michael Brandt, Pedro Santa Clara, Rossen Valkanov
Review of Financial Studies, vol. 22, 2009, p. 3411-3447.

Two Trees
John Cochrane, Francis Longstaff, Pedro Santa Clara
Review of Financial Studies, vol. 21, 2008, p. 347-385.

Dynamic Portfolio Selection by Augmenting the Asset Space
Michael Brandt, Pedro Santa Clara
Journal of Finance, vol. 61, 2006, p. 2187-2217.

International Risk Sharing Is Better Than You Think, or Exchange Rates Are Too Smooth
Michael Brandt, John Cochrane, Pedro Santa Clara
Journal of Monetary Economics, vol. 53, 2006, p. 671-698.

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
Eric Ghysels, Pedro Santa Clara, Rossen Valkanov
Journal of Econometrics, vol. 131, 2006, p. 59-95.

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning about Return Predictability
Michael Brandt, Amit Goyal, Pedro Santa Clara, Jonathan Stroud
Review of Financial Studies, vol. 18, 2005, p. 831-873.

There Is a Risk-Return Trade-Off after All
Eric Ghysels, Pedro Santa Clara, Rossen Valkanov
Journal of Financial Economics, vol. 76, 2005, p. 509-548.

Flexible Multivariate Garch Modeling with an Application to International Stock Markets
Olivier Ledoit, Pedro Santa Clara, Michael Wolf
Review of Economics and Statistics, vol. 85, 2003, p. 735-747.

Idiosyncratic Risk Matters!
Amit Goyal, Pedro Santa Clara
Journal of Finance, vol. 58, 2003, p. 975-1007.

The Presidential Puzzle: Political Cycles and the Stock Market
Pedro Santa Clara, Rossen Valkanov
Journal of Finance, vol. 58, 2003, p. 1841-1872.

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
Michael Brandt, Pedro Santa Clara
Journal of Financial Economics, vol. 63, 2002, p. 161-210.

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
Pedro Santa Clara, Didier Sornette
Review of Financial Studies, vol. 14, 2001, p. 149-185.

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
Francis Longstaff, Pedro Santa Clara, Eduardo Schwartz
Journal of Finance, vol. 56, 2001, p. 2067-2109.

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market
Francis Longstaff, Pedro Santa Clara, Eduardo Schwartz
Journal of Financial Economics, vol. 62, 2001, p. 39-66.

The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
Frank de Jong, Pedro Santa Clara
Journal of Financial and Quantitative Analysis, vol. 34, 1999, p. 131-157.