Details about Esther Ruiz

E-mail:
Homepage:	https://sites.google.com/view/esther-ruiz-ortega?pli=1
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 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pru212

---

Jump to Journal Articles Chapters

Working Papers

2024

1. Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors
   Papers, arXiv.org View citations (1)
2. International vulnerability of inflation
   Papers, arXiv.org
3. Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity
   Papers, arXiv.org

2023

4. Expecting the unexpected: Stressed scenarios for economic growth
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article Expecting the unexpected: Stressed scenarios for economic growth, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (2) (2024)

2022

5. Economic activity and climate change
   Papers, arXiv.org View citations (1)

2021

6. Expecting the unexpected: economic growth under stress
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2021) View citations (1)

2020

7. 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

8. Comparing Forecasts of Extremely Large Conditional Covariance Matrices
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
9. 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 Prediction regions for interval‐valued time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (5) (2020)

2018

10. Growth in Stress
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article Growth in stress, International Journal of Forecasting, Elsevier (2019) View citations (1) (2019)

2017

11. 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 A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities, Econometric Reviews, Taylor & Francis Journals (2020) View citations (1) (2020)

2016

12. A Bootstrap Approach for Generalized Autocontour Testing
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
13. 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 Determining the number of factors after stationary univariate transformations, Empirical Economics, Springer (2017) View citations (6) (2017)

2015

14. MGARCH models: tradeoff between feasibility and flexibility
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
    See also Journal Article MGARCH models: Trade-off between feasibility and flexibility, International Journal of Forecasting, Elsevier (2018) View citations (25) (2018)
15. 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
16. 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 (4)
17. 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 Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (10) (2016)

2014

18. 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 Identification of asymmetric conditional heteroscedasticity in the presence of outliers, SERIEs: Journal of the Spanish Economic Association, Springer (2016) View citations (7) (2016)
19. 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 The uncertainty of conditional returns, volatilities and correlations in DCC models, Computational Statistics & Data Analysis, Elsevier (2016) View citations (5) (2016)

2012

20. 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

21. 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

22. 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)
23. 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 Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters, Computational Statistics & Data Analysis, Elsevier (2012) View citations (6) (2012)
24. 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

25. 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 Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk, Journal of Financial Econometrics, Oxford University Press (2013) View citations (46) (2013)
26. 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 (3)
27. 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

28. 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 Bootstrap prediction intervals in state–space models, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (14) (2009)
29. 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)
30. 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 (8)
31. Testing for conditional heteroscedasticity in the components of inflation
    Working Papers, Banco de España View citations (2)
    See also Journal Article Testing for Conditional Heteroscedasticity in the Components of Inflation, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) View citations (5) (2009)

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 Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH, Computational Statistics & Data Analysis, Elsevier (2008) View citations (32) (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 Unobserved component models with asymmetric conditional variances, Computational Statistics & Data Analysis, Elsevier (2006) View citations (13) (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 Estimation methods for stochastic volatility models: a survey, Journal of Economic Surveys, Wiley Blackwell (2004) View citations (96) (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 Asymmetric long memory GARCH: a reply to Hwang's model, Economics Letters, Elsevier (2003) View citations (3) (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 Bootstrap prediction intervals for power-transformed time series, International Journal of Forecasting, Elsevier (2005) View citations (16) (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 Modelos de memoria larga para series económicas y financieras, Investigaciones Economicas, Fundación SEPI (2002) View citations (2) (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 (25)
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 Bootstrap predictive inference for ARIMA processes, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (41) (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 Effects of parameter estimation on prediction densities: a bootstrap approach, International Journal of Forecasting, Elsevier (2001) View citations (37) (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 Finite sample properties of a QML estimator of stochastic volatility models with long memory, Economics Letters, Elsevier (2001) View citations (29) (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

1992

58. 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

2025

1. Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain
   Empirical Economics, 2025, 68, (3), 1379-1408
2. Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors
   Journal of Time Series Analysis, 2025, 46, (2), 258-285

2024

3. Expecting the unexpected: Stressed scenarios for economic growth
   Journal of Applied Econometrics, 2024, 39, (5), 926-942 View citations (2)
   See also Working Paper Expecting the unexpected: Stressed scenarios for economic growth, Working Papers (2023) (2023)
4. The factor structure of exchange rates volatility: global and intermittent factors
   Empirical Economics, 2024, 67, (1), 31-45

2023

5. Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
   Economics Letters, 2023, 230, (C) View citations (3)

2022

6. Dynamic factor models: Does the specification matter?
   SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 397-428 View citations (1)
7. Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
   Foundations and Trends(R) in Econometrics, 2022, 12, (2), 121-231 View citations (8)

2021

8. 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
9. Accurate Confidence Regions for Principal Components Factors
   Oxford Bulletin of Economics and Statistics, 2021, 83, (6), 1432-1453 View citations (5)
10. Factor extraction using Kalman filter and smoothing: This is not just another survey
    International Journal of Forecasting, 2021, 37, (4), 1399-1425 View citations (12)

2020

11. 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 A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities, Working Papers (2017) View citations (1) (2017)
12. Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
    Econometrics and Statistics, 2020, 13, (C), 84-105 View citations (6)
13. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
    Journal of Banking & Finance, 2020, 118, (C) View citations (9)
14. Estimating Non-stationary Common Factors: Implications for Risk Sharing
    Computational Economics, 2020, 55, (1), 37-60 View citations (9)
15. Prediction regions for interval‐valued time series
    Journal of Applied Econometrics, 2020, 35, (4), 373-390 View citations (5)
    See also Working Paper Prediction Regions for Interval-valued Time Series, Working Papers (2019) (2019)

2019

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

2018

17. MGARCH models: Trade-off between feasibility and flexibility
    International Journal of Forecasting, 2018, 34, (1), 45-63 View citations (25)
    See also Working Paper MGARCH models: tradeoff between feasibility and flexibility, DES - Working Papers. Statistics and Econometrics. WS (2015) View citations (3) (2015)
18. 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

19. Determining the number of factors after stationary univariate transformations
    Empirical Economics, 2017, 53, (1), 351-372 View citations (6)
    See also Working Paper Determining the number of factors after stationary univariate transformations, DES - Working Papers. Statistics and Econometrics. WS (2016) View citations (2) (2016)
20. Threshold stochastic volatility: Properties and forecasting
    International Journal of Forecasting, 2017, 33, (4), 1105-1123 View citations (6)

2016

21. Frontiers in VaR forecasting and backtesting
    International Journal of Forecasting, 2016, 32, (2), 475-501 View citations (71)
22. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 179-201 View citations (7)
    See also Working Paper Identification of asymmetric conditional heteroscedasticity in the presence of outliers, DES - Working Papers. Statistics and Econometrics. WS (2014) (2014)
23. 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 The uncertainty of conditional returns, volatilities and correlations in DCC models, DES - Working Papers. Statistics and Econometrics. WS (2014) View citations (1) (2014)

2015

24. Bootstrap multi-step forecasts of non-Gaussian VAR models
    International Journal of Forecasting, 2015, 31, (3), 834-848 View citations (11)

2014

25. 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 (13)

2013

26. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
    Journal of Financial Econometrics, 2013, 11, (2), 400-441 View citations (46)
    See also Working Paper Comparing univariate and multivariate models to forecast portfolio value-at-risk, DES - Working Papers. Statistics and Econometrics. WS (2009) View citations (5) (2009)

2012

27. 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 (6)
    See also Working Paper Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters, DES - Working Papers. Statistics and Econometrics. WS (2010) (2010)
28. Estimating GARCH volatility in the presence of outliers
    Economics Letters, 2012, 114, (1), 86-90 View citations (41)
29. Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 33 View citations (1)
30. Optimal portfolios with minimum capital requirements
    Journal of Banking & Finance, 2012, 36, (7), 1928-1942 View citations (15)
31. Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
    Journal of Financial Econometrics, 2012, 10, (4), 637-668 View citations (37)

2011

32. 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

33. Conditionally heteroscedastic unobserved component models and their reduced form
    Economics Letters, 2010, 107, (2), 88-90 View citations (4)

2009

34. 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)
35. Bootstrap prediction intervals in state–space models
    Journal of Time Series Analysis, 2009, 30, (2), 167-178 View citations (14)
    See also Working Paper Bootstrap prediction intervals in State Space models, DES - Working Papers. Statistics and Econometrics. WS (2008) (2008)
36. Testing for Conditional Heteroscedasticity in the Components of Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 30 View citations (5)
    See also Working Paper Testing for conditional heteroscedasticity in the components of inflation, Working Papers (2008) View citations (2) (2008)

2008

37. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
    Computational Statistics & Data Analysis, 2008, 52, (6), 2846-2862 View citations (32)
    See also Working Paper Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH, DES - Working Papers. Statistics and Econometrics. WS (2006) View citations (7) (2006)

2007

38. Effects of outliers on the identification and estimation of GARCH models
    Journal of Time Series Analysis, 2007, 28, (4), 471-497 View citations (60)

2006

39. Bootstrap prediction for returns and volatilities in GARCH models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2293-2312 View citations (63)
40. Unobserved component models with asymmetric conditional variances
    Computational Statistics & Data Analysis, 2006, 50, (9), 2146-2166 View citations (13)
    See also Working Paper Unobserved component models with asymmetric conditional variances, DES - Working Papers. Statistics and Econometrics. WS (2003) (2003)

2005

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

2004

43. Bootstrap predictive inference for ARIMA processes
    Journal of Time Series Analysis, 2004, 25, (4), 449-465 View citations (41)
    See also Working Paper Bootstrap Predictive Inference for Arima Processes, DES - Working Papers. Statistics and Econometrics. WS (1999) (1999)
44. Estimation methods for stochastic volatility models: a survey
    Journal of Economic Surveys, 2004, 18, (5), 613-649 View citations (96)
    See also Working Paper Estimation methods for stochastic volatility models: a survey, DES - Working Papers. Statistics and Econometrics. WS (2002) View citations (7) (2002)

2003

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

2002

47. Bootstrapping Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 271-300 View citations (34)
48. Modelos de memoria larga para series económicas y financieras
    Investigaciones Economicas, 2002, 26, (3), 395-445 View citations (2)
    See also Working Paper Modelos de memoria larga para series económicas y financieras, DES - Documentos de Trabajo. Estadística y Econometría. DS (2001) View citations (2) (2001)

2001

49. Effects of parameter estimation on prediction densities: a bootstrap approach
    International Journal of Forecasting, 2001, 17, (1), 83-103 View citations (37)
    See also Working Paper Effects of parameter estimation on prediction densities a bootstrap approach, DES - Working Papers. Statistics and Econometrics. WS (1999) (1999)
50. Finite sample properties of a QML estimator of stochastic volatility models with long memory
    Economics Letters, 2001, 70, (2), 157-164 View citations (29)
    See also Working Paper Finite sample properties of a QML estimator of stochastic volatility models with long memory, DES - Working Papers. Statistics and Econometrics. WS (1999) (1999)

1997

51. 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

52. Stock market regulations and international financial integration: the case of Spain
    The European Journal of Finance, 1995, 1, (4), 367-382

1994

53. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
54. Multivariate Stochastic Variance Models
    The Review of Economic Studies, 1994, 61, (2), 247-264 View citations (617)
55. Quasi-maximum likelihood estimation of stochastic volatility models
    Journal of Econometrics, 1994, 63, (1), 289-306 View citations (122)

1992

56. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (214)

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 Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment, Universidad Carlos III de Madrid. Departamento de Estadística (2015) View citations (3) (2015)