Overview
Pedro Santa-Clara is a financial economist (Nova School of Business and Economics, Lisbon; formerly UCLA Anderson School of Management) working on empirical asset pricing, risk-return tradeoff, and volatility modeling. He is a co-developer of the MIDAS regression framework applied to volatility forecasting and the conditional risk-return literature.
Key Contributions / Features
- MIDAS Volatility Forecasting (Ghysels-Santa-Clara-Valkanov 2006) — Co-authored "Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies," Journal of Econometrics 131: 59–95. Established realized power as the dominant volatility predictor within the MIDAS framework; out-of-sample MSE ratios vs. ABDL ARFI(5,d): 0.714–0.897. See MIDAS Regression.
- Risk-Return Tradeoff (Ghysels-Santa-Clara-Valkanov 2005 JFE) — "There Is a Risk-Return Tradeoff After All," Journal of Financial Economics 76(3): 509–548. Recovered a positive conditional risk-return relationship by using MIDAS-based variance forecasts rather than GARCH-based proxies; earlier literature found zero or negative tradeoff due to poor variance proxy quality.
- Flex-GARCH (Ledoit-Santa-Clara-Wolf 2003) — "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," Review of Economics and Statistics 85: 735–747. Flexible parameterization of multivariate GARCH models that separates individual variances from correlations.
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