Access Statistics for Esther Ruiz

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bootstrap Approach for Generalized Autocontour Testing 0 0 0 48 0 0 1 56
A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities 0 1 2 53 2 4 19 58
A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities 0 0 0 221 1 1 4 650
Accurate Subsampling Intervals of Principal Components Factors 0 1 2 58 2 4 13 83
An overview of probabilistic and time series models in finance 0 0 0 394 1 1 2 629
Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility 0 0 0 0 0 0 2 286
Asymmetric long memory GARCH: a reply to Hwang's model 0 0 0 92 3 3 4 322
Bootstrap Predictive Inference for Arima Processes 0 0 3 5 5 10 18 34
Bootstrap forecast of multivariate VAR models without using the backward representation 0 0 1 157 0 4 8 370
Bootstrap prediction intervals for VaR and ES in the context of GARCH models 0 0 1 178 1 4 7 468
Bootstrap prediction intervals for power-transformed time series 0 0 0 143 0 2 5 422
Bootstrap prediction intervals in State Space models 0 0 0 206 2 3 5 423
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters 0 0 1 52 2 8 16 143
Comparing Forecasts of Extremely Large Conditional Covariance Matrices 0 1 49 49 0 2 19 19
Comparing sample and plug-in moments in asymmetric Garch Models 0 0 0 8 4 5 9 52
Comparing univariate and multivariate models to forecast portfolio value-at-risk 0 2 4 375 3 14 50 1,323
DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY 0 0 0 13 0 0 5 114
Detecting level shifts in the presence of conditional heteroscedasticity 0 0 0 85 0 0 4 224
Determining the number of factors after stationary univariate transformations 0 1 2 37 0 2 9 64
Effects of Level Outliers on the Identification and Estimation of GARCH Models 0 0 1 175 0 0 3 388
Effects of parameter estimation on prediction densities a bootstrap approach 0 0 0 0 0 0 4 9
Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional 0 0 0 5 0 3 8 34
Estimating and Forecasting GARCH Volatility in the Presence of Outiers 0 1 1 74 1 2 5 124
Estimation methods for stochastic volatility models: a survey 0 1 5 1,219 0 2 12 2,013
Finite sample properties of a QML estimator of stochastic volatility models with long memory 0 0 0 2 2 3 10 23
Forecasting returns and volatilities in GARCH processes using the bootstrap 1 2 2 6 4 5 10 18
GARCH models with leverage effect: differences and similarities 1 8 37 1,054 12 48 194 3,871
Growth in Stress 0 0 0 5 1 3 22 42
Identification of asymmetric conditional heteroscedasticity in the presence of outliers 0 0 0 41 0 0 2 49
Is stochastic volatility more flexible than garch? 0 0 1 250 1 1 10 506
MGARCH models: tradeoff between feasibility and flexibility 0 0 0 57 4 8 19 132
Measuring financial risk: comparison of alternative procedures to estimate VaR and ES 0 0 1 476 3 4 21 1,236
Model uncertainty and the forecast accuracy of ARMA models: A survey 0 1 4 116 2 5 25 204
Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market 0 0 1 244 1 1 9 775
Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH 0 0 0 379 1 2 14 991
Modelos de memoria larga para series económicas y financieras 0 2 5 566 3 10 33 2,046
Modelos para series temporales heterocedásticas 0 0 0 4 0 0 5 15
More is not always better: back to the Kalman filter in dynamic factor models 0 2 6 112 1 7 23 235
One for all: nesting asymmetric stochastic volatility models 0 0 0 80 1 1 5 152
Outliers and conditional autoregressive heteroscedasticity in time series 0 0 0 263 0 1 6 720
Prediction Regions for Interval-valued Time Series 0 1 3 49 2 7 20 46
Prediction Regions for Interval-valued Time Series 0 0 9 9 0 0 6 6
Prediction with univariate time series models: The Iberia case 0 0 0 108 1 3 12 916
Properties of the sample autocorrelations in autoregressive stochastic volatllity models 0 0 0 97 0 1 3 237
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models 0 0 0 0 0 2 7 30
Relaciones dinámicas en el mercado internacional de carne de vacuno 0 0 0 2 0 3 9 18
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 2 6 9 57 3 8 18 88
SPURIOUS AND HIDDEN VOLATILITY 0 0 0 39 0 1 4 142
Score driven asymmetric stochastic volatility models 0 1 3 196 2 5 19 101
Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment 0 0 3 66 1 3 13 134
Spurious and hidden volatility 0 0 0 70 0 0 2 193
Stochastic volatility models and the Taylor effect 0 0 0 392 0 0 2 1,726
Stochastic volatility versus autoregressive conditional heteroscedasticity 0 0 0 2 2 3 5 13
Stock market regulations and international financial integration: the case of Spain 0 0 0 2 1 4 9 21
Testing for conditional heteroscedasticity in the components of inflation 0 0 0 84 1 3 17 388
The relation between the level and uncertainty of inflation 0 0 0 37 1 1 5 344
The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances 0 0 0 311 0 0 3 1,068
The uncertainty of conditional returns, volatilities and correlations in DCC models 0 0 0 51 2 2 15 91
Unobserved component models with asymmetric conditional variances 0 0 0 114 1 3 8 313
Using auxiliary residuals to detect conditional heteroscedasticity in inflation 0 0 0 69 2 4 16 318
Which univariate time series model predicts quicker a crisis? The Iberia case 0 0 0 0 0 0 2 7
Total Working Papers 4 31 156 9,057 82 226 835 25,523


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect 0 0 0 17 0 0 1 56
Asymmetric long memory GARCH: a reply to Hwang's model 0 0 0 10 0 0 7 98
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 112
Bootstrap multi-step forecasts of non-Gaussian VAR models 1 2 5 19 2 6 18 66
Bootstrap prediction for returns and volatilities in GARCH models 1 2 5 288 2 8 18 559
Bootstrap prediction intervals for power-transformed time series 0 0 0 18 0 0 0 55
Bootstrap prediction intervals in state–space models 0 0 0 27 0 1 2 78
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters 0 1 3 25 0 2 5 97
Bootstrap predictive inference for ARIMA processes 0 0 1 53 0 2 11 183
Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk 0 0 8 47 1 4 23 160
Conditionally heteroscedastic unobserved component models and their reduced form 0 0 0 12 0 0 5 68
Determining the number of factors after stationary univariate transformations 0 0 1 6 1 1 6 28
Effects of outliers on the identification and estimation of GARCH models 0 0 1 90 0 0 6 231
Effects of parameter estimation on prediction densities: a bootstrap approach 0 1 1 27 0 1 3 80
Estimating GARCH volatility in the presence of outliers 0 0 1 15 0 0 3 58
Estimating Non-stationary Common Factors: Implications for Risk Sharing 0 0 4 4 0 3 12 12
Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations 0 0 4 55 2 3 16 207
Finite sample properties of a QML estimator of stochastic volatility models with long memory 0 0 0 27 0 2 7 147
Frontiers in VaR forecasting and backtesting 0 0 20 115 4 10 52 235
Growth in stress 1 1 6 7 2 4 32 38
Identification of asymmetric conditional heteroscedasticity in the presence of outliers 0 0 1 3 0 2 7 25
Introduction to nonlinearities, business cycles, and forecasting 0 0 0 89 0 0 5 192
MGARCH models: Trade-off between feasibility and flexibility 0 0 4 13 0 4 22 87
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models 0 0 0 16 0 0 4 58
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH 0 0 0 62 1 1 3 215
Modelos de memoria larga para series económicas y financieras 0 0 0 94 0 1 4 503
Multivariate Stochastic Variance Models 1 2 12 1,413 3 7 40 3,356
Optimal portfolios with minimum capital requirements 0 0 1 17 0 0 7 98
Prediction intervals in conditionally heteroscedastic time series with stochastic components 0 0 0 1 0 2 6 24
Prediction intervals in conditionally heteroscedastic time series with stochastic components 0 1 1 11 0 2 8 104
Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models 0 0 0 0 0 0 5 75
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen 0 0 0 45 0 0 1 91
Quasi-maximum likelihood estimation of stochastic volatility models 0 1 22 684 1 2 35 1,249
Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities 0 1 5 54 0 1 15 123
Stock market regulations and international financial integration: the case of Spain 0 0 0 6 0 0 1 22
Testing for Conditional Heteroscedasticity in the Components of Inflation 0 0 1 37 1 3 12 152
The uncertainty of conditional returns, volatilities and correlations in DCC models 0 0 1 4 1 3 15 38
Threshold stochastic volatility: Properties and forecasting 0 0 1 10 0 0 5 31
UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES 0 0 2 4 2 5 15 31
Unobserved component models with asymmetric conditional variances 0 0 2 38 0 4 13 110
Unobserved component time series models with Arch disturbances 0 0 4 620 0 4 23 1,071
Total Journal Articles 4 12 117 4,083 23 88 474 10,223
2 registered items for which data could not be found


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment 0 0 2 10 1 4 16 41
Total Chapters 0 0 2 10 1 4 16 41


Statistics updated 2020-09-04