ESTHER RUIZ ORTEGA
ESTHER RUIZ ORTEGA
Dirección de correo verificada de est-econ.uc3m.es
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Multivariate stochastic variance models
A Harvey, E Ruiz, N Shephard
The Review of Economic Studies 61 (2), 247-264, 1994
18861994
Unobserved component time series models with ARCH disturbances
A Harvey, E Ruiz, E Sentana
Journal of Econometrics 52 (1-2), 129-157, 1992
4721992
Quasi-maximum likelihood estimation of stochastic volatility models
E Ruiz
Journal of econometrics 63 (1), 289-306, 1994
4591994
Estimation methods for stochastic volatility models: a survey
C Broto, E Ruiz
Journal of Economic Surveys 18 (5), 613-649, 2004
2952004
Persistence and kurtosis in GARCH and stochastic volatility models
MA Carnero, D Peña, E Ruiz
Journal of financial econometrics 2 (2), 319-342, 2004
2292004
Bootstrap prediction for returns and volatilities in GARCH models
L Pascual, J Romo, E Ruiz
Computational Statistics & Data Analysis 50 (9), 2293-2312, 2006
1972006
Effects of outliers on the identification and estimation of GARCH models
MA Carnero, D Pena, E Ruiz
Journal of time series analysis 28 (4), 471-497, 2007
1252007
Effects of outliers on the identification and estimation of GARCH models
MA Carnero, D Pena, E Ruiz
Journal of time series analysis 28 (4), 471-497, 2007
1252007
Bootstrapping financial time series
E Ruiz, L Pascual
Journal of Economic Surveys 16 (3), 271-300, 2002
1182002
Bootstrap predictive inference for ARIMA processes
L Pascual, J Romo, E Ruiz
Journal of Time Series Analysis 25 (4), 449-465, 2004
1122004
Comparing univariate and multivariate models to forecast portfolio value-at-risk
AAP Santos, FJ Nogales, E Ruiz
Journal of financial econometrics 11 (2), 400-441, 2013
992013
Comparing univariate and multivariate models to forecast portfolio value-at-risk
AAP Santos, FJ Nogales, E Ruiz
Journal of financial econometrics 11 (2), 400-441, 2013
992013
Frontiers in VaR forecasting and backtesting
MR Nieto, E Ruiz
International Journal of Forecasting 32 (2), 475-501, 2016
932016
Estimating GARCH volatility in the presence of outliers
MA Carnero, D Peña, E Ruiz
Economics Letters 114 (1), 86-90, 2012
762012
Revisiting several popular GARCH models with leverage effect: Differences and similarities
MJ Rodríguez, E Ruiz
Journal of Financial Econometrics 10 (4), 637-668, 2012
732012
Bootstrap prediction intervals in state–space models
A Rodriguez, E Ruiz
Journal of time series analysis 30 (2), 167-178, 2009
652009
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
E Ruiz, H Veiga
Computational Statistics & Data Analysis 52 (6), 2846-2862, 2008
642008
Effects of parameter estimation on prediction densities: a bootstrap approach
L Pascual, J Romo, E Ruiz
International Journal of Forecasting 17 (1), 83-103, 2001
602001
MGARCH models: Trade-off between feasibility and flexibility
D de Almeida, LK Hotta, E Ruiz
International Journal of Forecasting 34 (1), 45-63, 2018
422018
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
A Rodriguez, E Ruiz
Computational Statistics & Data Analysis 56 (1), 62-74, 2012
392012
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