Esther Ruiz

发表

More is not always better: Kalman filtering in dynamic factor models

Pilar Poncela, Esther Ruiz, 2015 .

The uncertainty of conditional returns, volatilities and correlations in DCC models

Esther Ruiz, Diego E. Fresoli, E. Ruiz, 2016, Comput. Stat. Data Anal..

Unobserved component models with asymmetric conditional variances

Esther Ruiz, Carmen Broto, E. Ruiz, 2006, Comput. Stat. Data Anal..

Measuring the uncertainty of Principal Components in Dynamic Factor Models

Esther Ruiz, Javier de Vicente, 2016 .

Bootstrap predictive inference for ARIMA processes

Juan Romo, Lorenzo Pascual, Esther Ruiz, 2004 .

Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

Esther Ruiz, Helena Veiga, E. Ruiz, 2008, Comput. Stat. Data Anal..

A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

Esther Ruiz, Helena Veiga, Ana Pérez, 2009, Comput. Stat. Data Anal..

Estimating Non-stationary Common Factors: Implications for Risk Sharing

Pilar Poncela, Esther Ruiz, Francisco Corona, 2018, Computational Economics.

Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

Alejandro Rodríguez, Esther Ruiz, E. Ruiz, 2012, Comput. Stat. Data Anal..

Bootstrap Prediction in Unobserved Component Models

Alejandro Rodríguez, Esther Ruiz, E. Ruiz, 2010, COMPSTAT.

The third special issue on Statistical Signal Extraction and Filtering

Tommaso Proietti, D. S. G. Pollock, Howard L. Weinert, 2013, Comput. Stat. Data Anal..

Bootstrap prediction for returns and volatilities in GARCH models

Juan Romo, Lorenzo Pascual, Esther Ruiz, 2006, Comput. Stat. Data Anal..

Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment

Pilar Poncela, Esther Ruiz, E. Ruiz, 2016 .

The Annals of Computational and Financial Econometrics, first issue

Lynda Khalaf, Peter Winker, Achim Zeileis, 2012, Comput. Stat. Data Anal..

Prediction with univariate time series models: The Iberia case

Esther Ruiz, Fernando Lorenzo, E. Ruiz, 1997 .

A comment on the dynamic factor model with dynamic factors

Pilar Poncela, Esther Ruiz, 2020 .

Factor extraction using Kalman filter and smoothing: This is not just another survey

Pilar Poncela, Esther Ruiz, Karen Miranda, 2021 .

Determining the number of factors after stationary univariate transformations

Pilar Poncela, Esther Ruiz, Francisco Corona, 2016, Empirical Economics.

Effects of outliers on the identification and estimation of GARCH models

Daniel Peña, Esther Ruiz, E. Ruiz, 2007 .

Frontiers in VaR forecasting and backtesting

Esther Ruiz, María Rosa Nieto, E. Ruiz, 2016 .

Asymmetric long memory GARCH: a reply to Hwang's model

Esther Ruiz, Ana Pérez, 2003 .

Stochastic volatility models and the Taylor effect

Esther Ruiz, Ana Pérez, E. Ruiz, 2004 .

Bootstrap prediction intervals in state–space models

Esther Ruiz, Alejandro Rodriguez, E. Ruiz, 2009 .

Introduction to nonlinearities, business cycles, and forecasting

Jan G. De Gooijer, Pilar Poncela, Esther Ruiz, 2005 .

Using auxiliary residuals to detect conditional heteroscedasticity in inflation

Esther Ruiz, Carmen Broto, E. Ruiz, 2006 .

Can we evaluate the predictability of financial markets

Nuno Crato, Esther Ruiz, E. Ruiz, 2012 .

Spurious and hidden volatility

Daniel Peña, M. Angeles Carnero, Esther Ruiz, 2004 .

Bootstrap prediction intervals for power-transformed time series

Juan Romo, Lorenzo Pascual, Esther Ruiz, 2005 .

Effects of parameter estimation on prediction densities: a bootstrap approach

Juan Romo, Lorenzo Pascual, Esther Ruiz, 1999 .

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz, E. Ruiz, 1992 .

Testing for Conditional Heteroscedasticity in the Components of Inflation

Esther Ruiz, Carmen Broto, E. Ruiz, 2008 .

Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

Esther Ruiz, Ana Pérez, E. Ruiz, 2003 .

Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market

Juan Romo, Esther Ruiz, J. Romo, 2009 .

Finite sample properties of a QML estimator of stochastic volatility models with long memory

Esther Ruiz, Ana Pérez, E. Ruiz, 2001 .

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Antoni Espasa, Esther Ruiz, E. Ruiz, 2011 .

A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities

Esther Ruiz, E. Ruiz, J. Rodríguez, 2003 .

More is not always better : back to the Kalman lter in Dynamic Factor Models

Pilar Poncela, Esther Ruiz, E. Ruiz, 2012 .

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

M. Angeles Carnero, Esther Ruiz, Ana Pérez, 2016 .

Estimating GARCH volatility in the presence of outliers

Daniel Peña, M. Angeles Carnero, Esther Ruiz, 2012 .