Details about Esther Ruiz
Access statistics for papers by Esther Ruiz.
Last updated 2022-12-19. Update your information in the RePEc Author Service.
Short-id: pru212
Jump to Journal Articles Chapters
Working Papers
2022
- Economic activity and climate change
Papers, arXiv.org
2021
- 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
- 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
- Comparing Forecasts of Extremely Large Conditional Covariance Matrices
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
- 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
- Growth in Stress
Working Papers, University of California at Riverside, Department of Economics 
See also Journal Article in International Journal of Forecasting (2019)
2017
- 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)
- 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
- A Bootstrap Approach for Generalized Autocontour Testing
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
- 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
- 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)
- 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
- 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)
- 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
- 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)
- Score driven asymmetric stochastic volatility models
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
- 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
- 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
- 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
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- 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
- 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)
- Effects of Level Outliers on the Identification and Estimation of GARCH Models
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)
- 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)
- 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
- 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)
- 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
- 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
- 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
- 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)
- 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)
- 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)
- 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)
- 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)
- 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
- 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)
- 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
- 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
- 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)
- 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)
- 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
- The relation between the level and uncertainty of inflation
Documentos de Trabajo (working papers), Department of Economics - dECON
1997
- 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
- Prediction with univariate time series models: The Iberia case
Documentos de Trabajo (working papers), Department of Economics - dECON
1996
- 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
- Modelos para series temporales heterocedásticas
DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
- 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
- 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
- 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
- Dynamic factor models: Does the specification matter?
SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 397-428
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Foundations and Trends(R) in Econometrics, 2022, 12, (2), 121-231
2021
- 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
- Accurate Confidence Regions for Principal Components Factors
Oxford Bulletin of Economics and Statistics, 2021, 83, (6), 1432-1453
- 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
- 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)
- Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
Econometrics and Statistics, 2020, 13, (C), 84-105 View citations (4)
- Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
Journal of Banking & Finance, 2020, 118, (C) View citations (3)
- Estimating Non-stationary Common Factors: Implications for Risk Sharing
Computational Economics, 2020, 55, (1), 37-60 View citations (8)
- 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
- Growth in stress
International Journal of Forecasting, 2019, 35, (3), 948-966 View citations (1)
See also Working Paper (2018)
2018
- 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)
- 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
- Determining the number of factors after stationary univariate transformations
Empirical Economics, 2017, 53, (1), 351-372 View citations (6)
See also Working Paper (2016)
- Threshold stochastic volatility: Properties and forecasting
International Journal of Forecasting, 2017, 33, (4), 1105-1123 View citations (5)
2016
- Frontiers in VaR forecasting and backtesting
International Journal of Forecasting, 2016, 32, (2), 475-501 View citations (50)
- 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)
- 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
- Bootstrap multi-step forecasts of non-Gaussian VAR models
International Journal of Forecasting, 2015, 31, (3), 834-848 View citations (10)
2014
- 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
- 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
- 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)
- Estimating GARCH volatility in the presence of outliers
Economics Letters, 2012, 114, (1), 86-90 View citations (32)
- 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)
- Optimal portfolios with minimum capital requirements
Journal of Banking & Finance, 2012, 36, (7), 1928-1942 View citations (15)
- 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
- 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
- Conditionally heteroscedastic unobserved component models and their reduced form
Economics Letters, 2010, 107, (2), 88-90 View citations (3)
2009
- 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)
- 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)
- 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
- 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
- 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
- Bootstrap prediction for returns and volatilities in GARCH models
Computational Statistics & Data Analysis, 2006, 50, (9), 2293-2312 View citations (58)
- 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
- 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)
- Introduction to nonlinearities, business cycles, and forecasting
International Journal of Forecasting, 2005, 21, (4), 623-625 View citations (1)
2004
- Bootstrap predictive inference for ARIMA processes
Journal of Time Series Analysis, 2004, 25, (4), 449-465 View citations (38)
See also Working Paper (1999)
- 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
- 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)
- 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
- Bootstrapping Financial Time Series
Journal of Economic Surveys, 2002, 16, (3), 271-300 View citations (31)
- 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
- 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)
- 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
- 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
- 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
- Bayesian Analysis of Stochastic Volatility Models: Comment
Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
- Multivariate Stochastic Variance Models
Review of Economic Studies, 1994, 61, (2), 247-264 View citations (585)
- Quasi-maximum likelihood estimation of stochastic volatility models
Journal of Econometrics, 1994, 63, (1), 289-306 View citations (115)
1992
- Unobserved component time series models with Arch disturbances
Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (209)
Chapters
2016
- 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)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|