Carlo Sala

ESADE Business School

Assistant Professor

Avenida de Torreblanca 59

Barcelona, Barcelona 08172

Spain

http://www.people.usi.ch/salaca

SCHOLARLY PAPERS

11

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1,985

SSRN CITATIONS
Rank 35,845

SSRN RANKINGS

Top 35,845

in Total Papers Citations

18

CROSSREF CITATIONS

4

Scholarly Papers (11)

1.

The Forecasting Power of Short-term Options

Number of pages: 50 Posted: 15 Jun 2020
Arthur Böök and Carlo Sala
ESADE Business School and ESADE Business School
Downloads 421 (84,567)

Abstract:

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Quantiles, Expectiles, Weekly options, Forecasting

2.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School
Downloads 277 (134,294)
Citation 1

Abstract:

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sentiment, uncertainty, fear, markets predictability, anomalies

3.

Option market trading activity and the estimation of the pricing kernel A Bayesian approach

Journal of Econometrics, Vol. 216, No. 2, 2020
Number of pages: 42 Posted: 23 Jan 2016 Last Revised: 07 Aug 2020
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 263 (141,699)
Citation 6

Abstract:

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Pricing kernelPricing kernel puzzlePhysical measureDirichlet processBayesian nonparametric estimationOptionsS&P 500 index

4.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 253 (147,345)
Citation 4

Abstract:

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

5.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 03 Apr 2020
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 231 (160,905)
Citation 5

Abstract:

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

6.

Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Swiss Finance Institute Research Paper No. 15-58
Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 03 Aug 2018
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 123 (275,813)
Citation 4

Abstract:

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Empirical Pricing Kernel, Real World Measure, Fundamental Theorems of Asset Pricing, Risk Premium, Semimartingale

7.

On Using Equities to Produce Pension Payouts

Swiss Finance Institute Research Paper No. 20-24
Number of pages: 32 Posted: 22 Apr 2020 Last Revised: 05 Jan 2021
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 119 (282,527)

Abstract:

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Hedging, target date funds, dynamic investment policies

8.

Conditioning the Information in Portfolio Optimization

Swiss Finance Institute Research Paper No. 15-50, 29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 16 Oct 2015 Last Revised: 10 Nov 2016
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 117 (285,954)

Abstract:

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Portfolio optimization problem, Levy-Ito mixed model, Pricing kernel, Information premium, Optimal bounds

9.

Implicit Quantiles and Expectiles

Number of pages: 26 Posted: 01 Oct 2019 Last Revised: 01 Jul 2020
Fabio Bellini, Edit Rroji and Carlo Sala
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Polytechnic University of Milan - Department of Mathematics and ESADE Business School
Downloads 74 (382,335)

Abstract:

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10.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019, Swiss Finance Institute Research Paper No. 19-77
Number of pages: 45 Posted: 01 Aug 2019 Last Revised: 02 Jan 2020
Giovanni Barone-Adesi and Carlo Sala
University of Lugano and ESADE Business School
Downloads 66 (406,612)
Citation 2

Abstract:

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market information; market efficiency; pricing kernel; fundamental theorems of asset pricing; dominating trading strategies

11.

Forecasting Value at Risk and Conditional Value at Risk using Option Market Data

Number of pages: 59 Posted: 28 Oct 2020
Annalisa Molino and Carlo Sala
affiliation not provided to SSRN and ESADE Business School
Downloads 41 (501,974)

Abstract:

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Option market data, Conditional Value at Risk, Value at Risk, Backtests.