Details about Esther Ruiz

Homepage:	http://www.est.uc3m.es/ortega/
Workplace:	Departamento de Estadistica (Department of Statistics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Esther Ruiz.

Last updated 2022-12-19. Update your information in the RePEc Author Service.

Short-id: pru212

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Working Papers

2022

1. Economic activity and climate change
   Papers, arXiv.org

2021

2. Expecting the unexpected: economic growth under stress
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Working Papers, University of California at Riverside, Department of Economics (2021)

2020

3. A comment on the dynamic factor model with dynamic factors
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (2)

2019

4. Comparing Forecasts of Extremely Large Conditional Covariance Matrices
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
5. Prediction Regions for Interval-valued Time Series
   Working Papers, University of California at Riverside, Department of Economics
   Also in Working Papers, University of California at Riverside, Department of Economics (2018)
   See also Journal Article in Journal of Applied Econometrics (2020)

2018

6. Growth in Stress
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article in International Journal of Forecasting (2019)

2017

7. A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   See also Journal Article in Econometric Reviews (2020)
8. Accurate Subsampling Intervals of Principal Components Factors
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)

2016

9. A Bootstrap Approach for Generalized Autocontour Testing
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
10. Determining the number of factors after stationary univariate transformations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
    See also Journal Article in Empirical Economics (2017)

2015

11. MGARCH models: tradeoff between feasibility and flexibility
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
    See also Journal Article in International Journal of Forecasting (2018)
12. Model uncertainty and the forecast accuracy of ARMA models: A survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
13. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
14. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
    See also Chapter (2016)

2014

15. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in SERIEs: Journal of the Spanish Economic Association (2016)
16. Score driven asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
17. The uncertainty of conditional returns, volatilities and correlations in DCC models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2016)

2013

18. One for all: nesting asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2012

19. More is not always better: back to the Kalman filter in dynamic factor models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)

2011

20. Bootstrap forecast of multivariate VAR models without using the backward representation
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (4)

2010

21. Bootstrap prediction intervals for VaR and ES in the context of GARCH models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
22. Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Computational Statistics & Data Analysis (2012)
23. Comparing sample and plug-in moments in asymmetric Garch Models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2009

24. Comparing univariate and multivariate models to forecast portfolio value-at-risk
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
    See also Journal Article in The Journal of Financial Econometrics (2013)
25. GARCH models with leverage effect: differences and similarities
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
26. Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2008

27. Bootstrap prediction intervals in State Space models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Journal of Time Series Analysis (2009)
28. Estimating and Forecasting GARCH Volatility in the Presence of Outiers
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (3)
29. Measuring financial risk: comparison of alternative procedures to estimate VaR and ES
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (6)
30. Testing for conditional heteroscedasticity in the components of inflation
    Working Papers, Banco de España View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)

2007

31. The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)

2006

32. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2008)
33. Using auxiliary residuals to detect conditional heteroscedasticity in inflation
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2004

34. DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2003) View citations (3)
35. Effects of Level Outliers on the Identification and Estimation of GARCH Models
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
36. SPURIOUS AND HIDDEN VOLATILITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2004) View citations (2)
37. Stochastic volatility models and the Taylor effect
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)

2003

38. A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
39. An overview of probabilistic and time series models in finance
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
40. Unobserved component models with asymmetric conditional variances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Computational Statistics & Data Analysis (2006)

2002

41. Estimation methods for stochastic volatility models: a survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
    See also Journal Article in Journal of Economic Surveys (2004)

2001

42. Asymmetric long memory GARCH: a reply to Hwang's model
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Economics Letters (2003)
43. Bootstrap prediction intervals for power-transformed time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in International Journal of Forecasting (2005)
44. Is stochastic volatility more flexible than garch?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
45. Modelos de memoria larga para series económicas y financieras
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
    See also Journal Article in Investigaciones Economicas (2002)
46. Outliers and conditional autoregressive heteroscedasticity in time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (23)
47. Properties of the sample autocorrelations in autoregressive stochastic volatllity models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2000

48. Forecasting returns and volatilities in GARCH processes using the bootstrap
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
49. Relaciones dinámicas en el mercado internacional de carne de vacuno
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística

1999

50. Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility
    Computing in Economics and Finance 1999, Society for Computational Economics
51. Bootstrap Predictive Inference for Arima Processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Journal of Time Series Analysis (2004)
52. Effects of parameter estimation on prediction densities a bootstrap approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in International Journal of Forecasting (2001)
53. Finite sample properties of a QML estimator of stochastic volatility models with long memory
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article in Economics Letters (2001)

1998

54. The relation between the level and uncertainty of inflation
    Documentos de Trabajo (working papers), Department of Economics - dECON

1997

55. Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística
56. Prediction with univariate time series models: The Iberia case
    Documentos de Trabajo (working papers), Department of Economics - dECON

1996

57. Which univariate time series model predicts quicker a crisis? The Iberia case
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

1994

58. Modelos para series temporales heterocedásticas
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
59. Stock market regulations and international financial integration: the case of Spain
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (1)
    See also Journal Article in The European Journal of Finance (1995)

1993

60. Stochastic volatility versus autoregressive conditional heteroscedasticity
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)

1992

61. Quasi-Maximum Likelihood Estimation of Stochastic Variance Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)

Journal Articles

2022

1. Dynamic factor models: Does the specification matter?
   SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 397-428
2. Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
   Foundations and Trends(R) in Econometrics, 2022, 12, (2), 121-231

2021

3. 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial
   International Journal of Forecasting, 2021, 37, (4), 1333-1337
4. Accurate Confidence Regions for Principal Components Factors
   Oxford Bulletin of Economics and Statistics, 2021, 83, (6), 1432-1453
5. Factor extraction using Kalman filter and smoothing: This is not just another survey
   International Journal of Forecasting, 2021, 37, (4), 1399-1425 View citations (4)

2020

6. A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
   Econometric Reviews, 2020, 39, (10), 971-990 View citations (1)
   See also Working Paper (2017)
7. Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
   Econometrics and Statistics, 2020, 13, (C), 84-105 View citations (4)
8. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
   Journal of Banking & Finance, 2020, 118, (C) View citations (3)
9. Estimating Non-stationary Common Factors: Implications for Risk Sharing
   Computational Economics, 2020, 55, (1), 37-60 View citations (8)
10. Prediction regions for interval‐valued time series
    Journal of Applied Econometrics, 2020, 35, (4), 373-390 View citations (1)
    See also Working Paper (2019)

2019

11. Growth in stress
    International Journal of Forecasting, 2019, 35, (3), 948-966 View citations (1)
    See also Working Paper (2018)

2018

12. MGARCH models: Trade-off between feasibility and flexibility
    International Journal of Forecasting, 2018, 34, (1), 45-63 View citations (22)
    See also Working Paper (2015)
13. UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
    Journal of Economic Surveys, 2018, 32, (2), 388-419 View citations (1)

2017

14. Determining the number of factors after stationary univariate transformations
    Empirical Economics, 2017, 53, (1), 351-372 View citations (6)
    See also Working Paper (2016)
15. Threshold stochastic volatility: Properties and forecasting
    International Journal of Forecasting, 2017, 33, (4), 1105-1123 View citations (5)

2016

16. Frontiers in VaR forecasting and backtesting
    International Journal of Forecasting, 2016, 32, (2), 475-501 View citations (50)
17. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 179-201 View citations (6)
    See also Working Paper (2014)
18. The uncertainty of conditional returns, volatilities and correlations in DCC models
    Computational Statistics & Data Analysis, 2016, 100, (C), 170-185 View citations (5)
    See also Working Paper (2014)

2015

19. Bootstrap multi-step forecasts of non-Gaussian VAR models
    International Journal of Forecasting, 2015, 31, (3), 834-848 View citations (10)

2014

20. Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations
    Applied Energy, 2014, 123, (C), 281-291 View citations (11)

2013

21. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
    The Journal of Financial Econometrics, 2013, 11, (2), 400-441 View citations (42)
    See also Working Paper (2009)

2012

22. Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
    Computational Statistics & Data Analysis, 2012, 56, (1), 62-74 View citations (4)
    See also Working Paper (2010)
23. Estimating GARCH volatility in the presence of outliers
    Economics Letters, 2012, 114, (1), 86-90 View citations (32)
24. Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 1-33 View citations (1)
25. Optimal portfolios with minimum capital requirements
    Journal of Banking & Finance, 2012, 36, (7), 1928-1942 View citations (15)
26. Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
    The Journal of Financial Econometrics, 2012, 10, (4), 637-668 View citations (31)

2011

27. Prediction intervals in conditionally heteroscedastic time series with stochastic components
    International Journal of Forecasting, 2011, 27, (2), 308-319 View citations (1)
    Also in International Journal of Forecasting, 2011, 27, (2), 308-319 (2011)

2010

28. Conditionally heteroscedastic unobserved component models and their reduced form
    Economics Letters, 2010, 107, (2), 88-90 View citations (3)

2009

29. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
    Computational Statistics & Data Analysis, 2009, 53, (10), 3593-3600 View citations (9)
30. Bootstrap prediction intervals in state–space models
    Journal of Time Series Analysis, 2009, 30, (2), 167-178 View citations (13)
    See also Working Paper (2008)
31. Testing for Conditional Heteroscedasticity in the Components of Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 1-30 View citations (5)
    See also Working Paper (2008)

2008

32. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
    Computational Statistics & Data Analysis, 2008, 52, (6), 2846-2862 View citations (28)
    See also Working Paper (2006)

2007

33. Effects of outliers on the identification and estimation of GARCH models
    Journal of Time Series Analysis, 2007, 28, (4), 471-497 View citations (55)

2006

34. Bootstrap prediction for returns and volatilities in GARCH models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2293-2312 View citations (58)
35. Unobserved component models with asymmetric conditional variances
    Computational Statistics & Data Analysis, 2006, 50, (9), 2146-2166 View citations (13)
    See also Working Paper (2003)

2005

36. Bootstrap prediction intervals for power-transformed time series
    International Journal of Forecasting, 2005, 21, (2), 219-235 View citations (16)
    See also Working Paper (2001)
37. Introduction to nonlinearities, business cycles, and forecasting
    International Journal of Forecasting, 2005, 21, (4), 623-625 View citations (1)

2004

38. Bootstrap predictive inference for ARIMA processes
    Journal of Time Series Analysis, 2004, 25, (4), 449-465 View citations (38)
    See also Working Paper (1999)
39. Estimation methods for stochastic volatility models: a survey
    Journal of Economic Surveys, 2004, 18, (5), 613-649 View citations (90)
    See also Working Paper (2002)

2003

40. Asymmetric long memory GARCH: a reply to Hwang's model
    Economics Letters, 2003, 78, (3), 415-422 View citations (3)
    See also Working Paper (2001)
41. Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models
    The Journal of Financial Econometrics, 2003, 1, (3), 420-444 View citations (9)

2002

42. Bootstrapping Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 271-300 View citations (31)
43. Modelos de memoria larga para series económicas y financieras
    Investigaciones Economicas, 2002, 26, (3), 395-445 View citations (1)
    See also Working Paper (2001)

2001

44. Effects of parameter estimation on prediction densities: a bootstrap approach
    International Journal of Forecasting, 2001, 17, (1), 83-103 View citations (36)
    See also Working Paper (1999)
45. Finite sample properties of a QML estimator of stochastic volatility models with long memory
    Economics Letters, 2001, 70, (2), 157-164 View citations (27)
    See also Working Paper (1999)

1997

46. QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen
    Journal of Econometrics, 1997, 76, (1-2), 405-405 View citations (1)

1995

47. Stock market regulations and international financial integration: the case of Spain
    The European Journal of Finance, 1995, 1, (4), 367-382
    See also Working Paper (1994)

1994

48. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
49. Multivariate Stochastic Variance Models
    Review of Economic Studies, 1994, 61, (2), 247-264 View citations (585)
50. Quasi-maximum likelihood estimation of stochastic volatility models
    Journal of Econometrics, 1994, 63, (1), 289-306 View citations (115)

1992

51. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (209)

Chapters

2016

1. Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 401-434 View citations (10)
   See also Working Paper (2015)