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 49 0 0 2 62
A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities 0 0 0 56 0 0 1 78
A comment on the dynamic factor model with dynamic factors 0 1 4 68 0 2 14 146
A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities 0 0 0 221 0 0 0 652
Accurate Subsampling Intervals of Principal Components Factors 0 0 1 64 0 0 4 168
An overview of probabilistic and time series models in finance 0 0 0 394 0 0 1 633
Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility 0 0 0 0 0 0 0 288
Asymmetric long memory GARCH: a reply to Hwang's model 0 0 0 92 0 1 1 326
Bootstrap Predictive Inference for Arima Processes 0 1 1 7 0 1 2 49
Bootstrap forecast of multivariate VAR models without using the backward representation 0 1 1 158 0 1 2 386
Bootstrap prediction intervals for VaR and ES in the context of GARCH models 1 1 2 190 1 1 5 516
Bootstrap prediction intervals for power-transformed time series 0 0 0 143 0 1 2 431
Bootstrap prediction intervals in State Space models 0 0 4 221 0 0 13 469
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters 0 0 0 53 0 0 2 175
Comparing Forecasts of Extremely Large Conditional Covariance Matrices 0 1 2 58 0 1 5 130
Comparing sample and plug-in moments in asymmetric Garch Models 0 0 0 8 0 0 0 54
Comparing univariate and multivariate models to forecast portfolio value-at-risk 0 1 1 389 1 4 7 1,412
DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY 0 0 0 13 0 0 1 115
Detecting level shifts in the presence of conditional heteroscedasticity 0 0 0 86 0 0 1 227
Determining the number of factors after stationary univariate transformations 0 0 0 38 0 0 3 77
Economic activity and climate change 1 1 4 14 2 2 7 20
Effects of Level Outliers on the Identification and Estimation of GARCH Models 0 0 0 175 0 0 0 389
Effects of parameter estimation on prediction densities a bootstrap approach 0 0 0 0 0 0 0 13
Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional 0 0 1 8 0 0 1 42
Estimating and Forecasting GARCH Volatility in the Presence of Outiers 0 0 0 74 0 0 1 127
Estimation methods for stochastic volatility models: a survey 0 0 3 1,230 0 1 6 2,044
Expecting the unexpected: Stressed scenarios for economic growth 0 7 14 14 0 11 21 21
Expecting the unexpected: economic growth under stress 0 2 4 24 1 8 16 58
Expecting the unexpected: economic growth under stress 0 0 1 26 0 0 9 95
Finite sample properties of a QML estimator of stochastic volatility models with long memory 0 0 0 2 0 0 0 29
Forecasting returns and volatilities in GARCH processes using the bootstrap 0 2 3 14 2 4 7 37
GARCH models with leverage effect: differences and similarities 0 0 1 1,082 1 2 8 4,098
Growth in Stress 0 0 2 14 0 0 4 68
Identification of asymmetric conditional heteroscedasticity in the presence of outliers 0 0 0 41 0 0 0 54
Is stochastic volatility more flexible than garch? 0 0 1 251 0 0 1 516
MGARCH models: tradeoff between feasibility and flexibility 0 0 0 58 1 1 7 180
Measuring financial risk: comparison of alternative procedures to estimate VaR and ES 0 0 1 488 0 0 3 1,258
Model uncertainty and the forecast accuracy of ARMA models: A survey 0 1 2 139 0 4 11 273
Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market 1 2 3 260 2 3 5 826
Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH 0 0 0 386 0 0 0 1,009
Modelos de memoria larga para series económicas y financieras 0 0 0 576 0 0 2 2,094
Modelos para series temporales heterocedásticas 0 0 0 4 0 0 1 27
More is not always better: back to the Kalman filter in dynamic factor models 0 1 1 124 1 2 5 274
One for all: nesting asymmetric stochastic volatility models 0 0 0 80 0 0 2 166
Outliers and conditional autoregressive heteroscedasticity in time series 0 0 0 269 0 0 0 742
Prediction Regions for Interval-valued Time Series 0 0 0 10 0 0 2 32
Prediction Regions for Interval-valued Time Series 0 0 1 52 0 0 2 65
Prediction with univariate time series models: The Iberia case 0 0 0 108 0 2 2 922
Properties of the sample autocorrelations in autoregressive stochastic volatllity models 0 0 0 97 0 0 0 242
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models 0 0 0 0 0 1 7 44
Relaciones dinámicas en el mercado internacional de carne de vacuno 0 0 0 3 0 0 1 25
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 0 0 64 0 2 4 123
SPURIOUS AND HIDDEN VOLATILITY 0 0 0 39 0 0 1 145
Score driven asymmetric stochastic volatility models 0 1 3 206 0 1 3 123
Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment 0 0 2 71 0 0 4 149
Spurious and hidden volatility 0 0 0 71 0 0 1 210
Stochastic volatility models and the Taylor effect 0 0 1 398 0 0 4 1,756
Stochastic volatility versus autoregressive conditional heteroscedasticity 0 1 4 8 0 3 8 26
Stock market regulations and international financial integration: the case of Spain 0 0 0 2 0 0 0 27
Testing for conditional heteroscedasticity in the components of inflation 0 0 0 84 0 0 2 411
The relation between the level and uncertainty of inflation 0 0 0 37 0 0 0 348
The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances 0 0 0 313 0 0 0 1,078
The uncertainty of conditional returns, volatilities and correlations in DCC models 0 0 0 52 0 1 4 153
Unobserved component models with asymmetric conditional variances 0 0 0 114 0 0 1 329
Using auxiliary residuals to detect conditional heteroscedasticity in inflation 0 0 0 71 1 2 5 343
Which univariate time series model predicts quicker a crisis? The Iberia case 0 0 2 2 0 0 4 15
Total Working Papers 3 24 70 9,463 13 62 238 27,420


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial 1 2 4 22 3 4 10 50
A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities 0 0 0 2 0 0 0 7
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect 0 0 0 18 0 0 0 57
Accurate Confidence Regions for Principal Components Factors 0 0 0 8 0 0 1 21
Asymmetric long memory GARCH: a reply to Hwang's model 0 0 0 10 0 0 1 102
Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation 0 1 2 10 0 2 4 26
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 120
Bootstrap multi-step forecasts of non-Gaussian VAR models 0 0 0 23 0 0 2 95
Bootstrap prediction for returns and volatilities in GARCH models 1 3 17 347 1 6 36 690
Bootstrap prediction intervals for power-transformed time series 0 0 0 18 0 0 0 57
Bootstrap prediction intervals in state–space models 0 0 0 27 0 0 0 84
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters 0 0 0 25 0 0 0 120
Bootstrap predictive inference for ARIMA processes 0 0 1 56 0 0 2 195
Bootstrapping Financial Time Series 0 1 7 335 3 4 15 679
Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk 0 0 0 52 0 0 1 270
Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection 0 0 0 5 1 3 5 41
Conditionally heteroscedastic unobserved component models and their reduced form 0 0 0 12 0 0 0 70
Determining the number of factors after stationary univariate transformations 0 0 0 7 0 1 1 40
Dynamic factor models: Does the specification matter? 0 0 1 4 0 1 5 16
Effects of outliers on the identification and estimation of GARCH models 0 0 0 93 0 0 0 239
Effects of parameter estimation on prediction densities: a bootstrap approach 0 0 0 27 0 0 0 86
Estimating GARCH volatility in the presence of outliers 0 0 1 20 0 0 1 74
Estimating Non-stationary Common Factors: Implications for Risk Sharing 0 0 1 12 0 0 2 38
Estimation methods for stochastic volatility models: a survey 0 0 2 354 0 2 12 806
Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations 0 0 0 63 0 2 3 248
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components 2 17 40 65 6 32 68 103
Factor extraction using Kalman filter and smoothing: This is not just another survey 0 0 4 19 1 7 24 91
Finite sample properties of a QML estimator of stochastic volatility models with long memory 0 0 0 28 0 0 0 150
Frontiers in VaR forecasting and backtesting 0 5 19 198 2 11 34 411
Growth in stress 0 0 2 17 0 0 6 71
Identification of asymmetric conditional heteroscedasticity in the presence of outliers 0 0 0 3 0 1 3 31
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models 0 0 1 1 0 0 1 1
Introduction to nonlinearities, business cycles, and forecasting 0 0 0 89 0 0 0 193
MGARCH models: Trade-off between feasibility and flexibility 0 0 1 28 0 1 8 152
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models 0 0 0 16 0 0 0 60
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH 0 0 0 62 0 0 0 225
Modelos de memoria larga para series económicas y financieras 0 0 0 95 0 0 1 508
Multivariate Stochastic Variance Models 0 0 1 1,452 1 3 11 3,492
Optimal portfolios with minimum capital requirements 0 0 0 19 0 0 0 105
Prediction intervals in conditionally heteroscedastic time series with stochastic components 0 0 0 15 0 0 1 127
Prediction intervals in conditionally heteroscedastic time series with stochastic components 0 0 0 2 0 0 0 28
Prediction regions for interval‐valued time series 0 0 1 8 0 0 2 34
Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models 0 0 0 0 0 0 0 79
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen 0 0 1 47 0 0 1 94
Quasi-maximum likelihood estimation of stochastic volatility models 1 3 5 708 1 5 11 1,311
Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities 0 1 4 72 2 3 11 183
Stock market regulations and international financial integration: the case of Spain 0 0 0 6 0 0 0 23
Testing for Conditional Heteroscedasticity in the Components of Inflation 0 0 0 38 0 0 0 165
The uncertainty of conditional returns, volatilities and correlations in DCC models 0 0 0 8 1 1 1 52
Threshold stochastic volatility: Properties and forecasting 0 1 1 19 0 1 1 52
UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES 0 0 1 6 0 0 2 38
Unobserved component models with asymmetric conditional variances 0 0 0 39 1 1 1 125
Unobserved component time series models with Arch disturbances 1 6 13 648 1 7 18 1,142
Total Journal Articles 6 40 130 5,258 24 98 307 13,277


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 0 18 0 0 1 59
Total Chapters 0 0 0 18 0 0 1 59


Statistics updated 2024-07-03