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Santa-Clara, Pedro
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Working paper / National Bureau of Economic Research, Inc
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Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
Ledoit, Olivier
;
Santa-Clara, Pedro
;
Wolf, Michael
- In:
The review of economics and statistics
85
(
2003
)
3
,
pp. 735-747
Persistent link: https://www.econbiz.de/10006369256
Saved in:
2
PORTFOLIO OPTIMIZATION ISSUES - Honey, I Shrunk the Sample Covariance Matrix
Ledoit, Olivier
;
Wolf, Michael
- In:
The journal of portfolio management : a publication of …
30
(
2004
)
4
,
pp. 110
Persistent link: https://www.econbiz.de/10006549977
Saved in:
3
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 603-622
Persistent link: https://www.econbiz.de/10007232490
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4
Robust Structure Without Predictability: The "Compass Rose" Pattern of the Stock Market
Falcon Crack, Timothy
;
Ledoit, Olivier
- In:
The journal of finance : the journal of the American …
51
(
1996
)
2
,
pp. 751-762
Persistent link: https://www.econbiz.de/10007313232
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5
Articles - Gain, Loss, and Asset Pricing
Bernardo, Antonio E.
;
Ledoit, Olivier
- In:
Journal of political economy
108
(
2000
)
1
,
pp. 144-172
Persistent link: https://www.econbiz.de/10007680793
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6
Articles - Gain, Loss, and Asset Pricing
Bernardo, Antonio E.
;
Ledoit, Olivier
- In:
Journal of political economy
108
(
2000
)
1
,
pp. 144-172
Persistent link: https://www.econbiz.de/10007680801
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7
The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131
Persistent link: https://www.econbiz.de/10006699714
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8
Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 59-96
Persistent link: https://www.econbiz.de/10006747798
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9
There is a risk-return trade-off after all
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen
- In:
Journal of financial economics
76
(
2005
)
3
,
pp. 509-548
Persistent link: https://www.econbiz.de/10006500590
Saved in:
10
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
- In:
Journal of financial economics
63
(
2002
)
2
,
pp. 161-210
Persistent link: https://www.econbiz.de/10006510507
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