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.

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.

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.

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