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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 2024-03-06. Update your information in the RePEc Author Service.

Short-id: pru212


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Working Papers

2023

  1. Expecting the unexpected: Stressed scenarios for economic growth
    Working Papers, University of California at Riverside, Department of Economics Downloads

2022

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

2021

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

2020

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

2019

  1. Comparing Forecasts of Extremely Large Conditional Covariance Matrices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Prediction Regions for Interval-valued Time Series
    Working Papers, University of California at Riverside, Department of Economics Downloads
    Also in Working Papers, University of California at Riverside, Department of Economics (2018) Downloads

    See also Journal Article Prediction regions for interval‐valued time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) Downloads View citations (4) (2020)

2018

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

2017

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

2016

  1. A Bootstrap Approach for Generalized Autocontour Testing
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Determining the number of factors after stationary univariate transformations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
    See also Journal Article Determining the number of factors after stationary univariate transformations, Empirical Economics, Springer (2017) Downloads View citations (6) (2017)

2015

  1. MGARCH models: tradeoff between feasibility and flexibility
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
    See also Journal Article MGARCH models: Trade-off between feasibility and flexibility, International Journal of Forecasting, Elsevier (2018) Downloads View citations (24) (2018)
  2. 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 Downloads
  3. 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 Downloads View citations (3)
  4. 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 Downloads 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) Downloads View citations (10) (2016)

2014

  1. 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 Downloads
    See also Journal Article Identification of asymmetric conditional heteroscedasticity in the presence of outliers, SERIEs: Journal of the Spanish Economic Association, Springer (2016) Downloads View citations (7) (2016)
  2. Score driven asymmetric stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. 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 Downloads View citations (1)
    See also Journal Article The uncertainty of conditional returns, volatilities and correlations in DCC models, Computational Statistics & Data Analysis, Elsevier (2016) Downloads View citations (5) (2016)

2013

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

2012

  1. 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 Downloads View citations (5)

2011

  1. 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 Downloads View citations (4)

2010

  1. 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 Downloads View citations (1)
  2. 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 Downloads
    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) Downloads View citations (6) (2012)
  3. 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 Downloads View citations (1)

2009

  1. 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 Downloads 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) Downloads View citations (44) (2013)
  2. GARCH models with leverage effect: differences and similarities
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
  3. 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 Downloads View citations (1)

2008

  1. Bootstrap prediction intervals in State Space models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Bootstrap prediction intervals in state–space models, Journal of Time Series Analysis, Wiley Blackwell (2009) Downloads View citations (14) (2009)
  2. Estimating and Forecasting GARCH Volatility in the Presence of Outiers
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (3)
  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 Downloads View citations (8)
  4. Testing for conditional heteroscedasticity in the components of inflation
    Working Papers, Banco de España Downloads View citations (2)
    See also Journal Article Testing for Conditional Heteroscedasticity in the Components of Inflation, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) Downloads View citations (5) (2009)

2007

  1. 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 Downloads View citations (3)

2006

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

2004

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

2003

  1. 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 Downloads View citations (2)
  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 Downloads
  3. Unobserved component models with asymmetric conditional variances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Unobserved component models with asymmetric conditional variances, Computational Statistics & Data Analysis, Elsevier (2006) Downloads View citations (13) (2006)

2002

  1. Estimation methods for stochastic volatility models: a survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (7)
    See also Journal Article Estimation methods for stochastic volatility models: a survey, Journal of Economic Surveys, Wiley Blackwell (2004) Downloads View citations (95) (2004)

2001

  1. 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 Downloads
    See also Journal Article Asymmetric long memory GARCH: a reply to Hwang's model, Economics Letters, Elsevier (2003) Downloads View citations (3) (2003)
  2. Bootstrap prediction intervals for power-transformed time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Bootstrap prediction intervals for power-transformed time series, International Journal of Forecasting, Elsevier (2005) Downloads View citations (16) (2005)
  3. Is stochastic volatility more flexible than garch?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (5)
  4. 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 Downloads View citations (2)
    See also Journal Article Modelos de memoria larga para series económicas y financieras, Investigaciones Economicas, Fundación SEPI (2002) Downloads View citations (2) (2002)
  5. Outliers and conditional autoregressive heteroscedasticity in time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (24)
  6. 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 Downloads

2000

  1. 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 Downloads View citations (1)
  2. 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 Downloads

1999

  1. 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
  2. Bootstrap Predictive Inference for Arima Processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Bootstrap predictive inference for ARIMA processes, Journal of Time Series Analysis, Wiley Blackwell (2004) Downloads View citations (41) (2004)
  3. 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 Downloads
    See also Journal Article Effects of parameter estimation on prediction densities: a bootstrap approach, International Journal of Forecasting, Elsevier (2001) Downloads View citations (36) (2001)
  4. 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 Downloads
    See also Journal Article Finite sample properties of a QML estimator of stochastic volatility models with long memory, Economics Letters, Elsevier (2001) Downloads View citations (29) (2001)

1998

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

1997

  1. 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 Downloads
  2. Prediction with univariate time series models: The Iberia case
    Documentos de Trabajo (working papers), Department of Economics - dECON Downloads

1996

  1. 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 Downloads

1994

  1. Modelos para series temporales heterocedásticas
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. 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 Downloads View citations (1)
    See also Journal Article Stock market regulations and international financial integration: the case of Spain, The European Journal of Finance, Taylor & Francis Journals (1995) Downloads (1995)

1993

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

1992

  1. 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

2023

  1. Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
    Economics Letters, 2023, 230, (C) Downloads

2022

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

2021

  1. 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 Downloads
  2. Accurate Confidence Regions for Principal Components Factors
    Oxford Bulletin of Economics and Statistics, 2021, 83, (6), 1432-1453 Downloads View citations (1)
  3. Factor extraction using Kalman filter and smoothing: This is not just another survey
    International Journal of Forecasting, 2021, 37, (4), 1399-1425 Downloads View citations (11)

2020

  1. A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
    Econometric Reviews, 2020, 39, (10), 971-990 Downloads View citations (1)
    See also Working Paper A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities, Working Papers (2017) Downloads View citations (1) (2017)
  2. Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
    Econometrics and Statistics, 2020, 13, (C), 84-105 Downloads View citations (5)
  3. Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
    Journal of Banking & Finance, 2020, 118, (C) Downloads View citations (7)
  4. Estimating Non-stationary Common Factors: Implications for Risk Sharing
    Computational Economics, 2020, 55, (1), 37-60 Downloads View citations (9)
  5. Prediction regions for interval‐valued time series
    Journal of Applied Econometrics, 2020, 35, (4), 373-390 Downloads View citations (4)
    See also Working Paper Prediction Regions for Interval-valued Time Series, Working Papers (2019) Downloads (2019)

2019

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

2018

  1. MGARCH models: Trade-off between feasibility and flexibility
    International Journal of Forecasting, 2018, 34, (1), 45-63 Downloads View citations (24)
    See also Working Paper MGARCH models: tradeoff between feasibility and flexibility, DES - Working Papers. Statistics and Econometrics. WS (2015) Downloads View citations (2) (2015)
  2. UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
    Journal of Economic Surveys, 2018, 32, (2), 388-419 Downloads View citations (1)

2017

  1. Determining the number of factors after stationary univariate transformations
    Empirical Economics, 2017, 53, (1), 351-372 Downloads View citations (6)
    See also Working Paper Determining the number of factors after stationary univariate transformations, DES - Working Papers. Statistics and Econometrics. WS (2016) Downloads View citations (2) (2016)
  2. Threshold stochastic volatility: Properties and forecasting
    International Journal of Forecasting, 2017, 33, (4), 1105-1123 Downloads View citations (5)

2016

  1. Frontiers in VaR forecasting and backtesting
    International Journal of Forecasting, 2016, 32, (2), 475-501 Downloads View citations (65)
  2. Identification of asymmetric conditional heteroscedasticity in the presence of outliers
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 179-201 Downloads 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) Downloads (2014)
  3. The uncertainty of conditional returns, volatilities and correlations in DCC models
    Computational Statistics & Data Analysis, 2016, 100, (C), 170-185 Downloads 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) Downloads View citations (1) (2014)

2015

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

2014

  1. Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations
    Applied Energy, 2014, 123, (C), 281-291 Downloads View citations (13)

2013

  1. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
    Journal of Financial Econometrics, 2013, 11, (2), 400-441 Downloads View citations (44)
    See also Working Paper Comparing univariate and multivariate models to forecast portfolio value-at-risk, DES - Working Papers. Statistics and Econometrics. WS (2009) Downloads View citations (5) (2009)

2012

  1. 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 Downloads 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) Downloads (2010)
  2. Estimating GARCH volatility in the presence of outliers
    Economics Letters, 2012, 114, (1), 86-90 Downloads View citations (38)
  3. Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 1-33 Downloads View citations (1)
  4. Optimal portfolios with minimum capital requirements
    Journal of Banking & Finance, 2012, 36, (7), 1928-1942 Downloads View citations (15)
  5. Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
    Journal of Financial Econometrics, 2012, 10, (4), 637-668 Downloads View citations (37)

2011

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

2010

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

2009

  1. 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 Downloads View citations (9)
  2. Bootstrap prediction intervals in state–space models
    Journal of Time Series Analysis, 2009, 30, (2), 167-178 Downloads View citations (14)
    See also Working Paper Bootstrap prediction intervals in State Space models, DES - Working Papers. Statistics and Econometrics. WS (2008) Downloads (2008)
  3. Testing for Conditional Heteroscedasticity in the Components of Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 1-30 Downloads View citations (5)
    See also Working Paper Testing for conditional heteroscedasticity in the components of inflation, Working Papers (2008) Downloads View citations (2) (2008)

2008

  1. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
    Computational Statistics & Data Analysis, 2008, 52, (6), 2846-2862 Downloads 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) Downloads View citations (7) (2006)

2007

  1. Effects of outliers on the identification and estimation of GARCH models
    Journal of Time Series Analysis, 2007, 28, (4), 471-497 Downloads View citations (58)

2006

  1. Bootstrap prediction for returns and volatilities in GARCH models
    Computational Statistics & Data Analysis, 2006, 50, (9), 2293-2312 Downloads View citations (62)
  2. Unobserved component models with asymmetric conditional variances
    Computational Statistics & Data Analysis, 2006, 50, (9), 2146-2166 Downloads View citations (13)
    See also Working Paper Unobserved component models with asymmetric conditional variances, DES - Working Papers. Statistics and Econometrics. WS (2003) Downloads (2003)

2005

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

2004

  1. Bootstrap predictive inference for ARIMA processes
    Journal of Time Series Analysis, 2004, 25, (4), 449-465 Downloads View citations (41)
    See also Working Paper Bootstrap Predictive Inference for Arima Processes, DES - Working Papers. Statistics and Econometrics. WS (1999) Downloads (1999)
  2. Estimation methods for stochastic volatility models: a survey
    Journal of Economic Surveys, 2004, 18, (5), 613-649 Downloads View citations (95)
    See also Working Paper Estimation methods for stochastic volatility models: a survey, DES - Working Papers. Statistics and Econometrics. WS (2002) Downloads View citations (7) (2002)

2003

  1. Asymmetric long memory GARCH: a reply to Hwang's model
    Economics Letters, 2003, 78, (3), 415-422 Downloads 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) Downloads (2001)
  2. 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

  1. Bootstrapping Financial Time Series
    Journal of Economic Surveys, 2002, 16, (3), 271-300 Downloads View citations (33)
  2. Modelos de memoria larga para series económicas y financieras
    Investigaciones Economicas, 2002, 26, (3), 395-445 Downloads 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) Downloads View citations (2) (2001)

2001

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

1997

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

1995

  1. Stock market regulations and international financial integration: the case of Spain
    The European Journal of Finance, 1995, 1, (4), 367-382 Downloads
    See also Working Paper Stock market regulations and international financial integration: the case of Spain, DEE - Working Papers. Business Economics. WB (1994) Downloads View citations (1) (1994)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 402-03 View citations (1)
  2. Multivariate Stochastic Variance Models
    The Review of Economic Studies, 1994, 61, (2), 247-264 Downloads View citations (609)
  3. Quasi-maximum likelihood estimation of stochastic volatility models
    Journal of Econometrics, 1994, 63, (1), 289-306 Downloads View citations (117)

1992

  1. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 Downloads View citations (215)

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 Downloads 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) Downloads View citations (3) (2015)
 
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