Esther Ruiz
Personal Details
First Name: | Esther |
Middle Name: | |
Last Name: | Ruiz |
Suffix: | |
RePEc Short-ID: | pru212 |
[This author has chosen not to make the email address public] | |
http://www.est.uc3m.es/ortega/ | |
Terminal Degree: | 1992 (from RePEc Genealogy) |
Affiliation
Departamento de Estadistica
Universidad Carlos III de Madrid
Madrid, Spainhttp://halweb.uc3m.es/
RePEc:edi:dxuc3es (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers 2406.14145, arXiv.org.
- Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023. "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers 202314, University of California at Riverside, Department of Economics.
- Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2022.
"Economic activity and climate change,"
Papers
2206.03187, arXiv.org, revised Jun 2022.
- De Juan Fernández, Aránzazu & Poncela, Pilar & Rodríguez Caballero, Carlos Vladimir, 2022. "Economic activity and climate change," DES - Working Papers. Statistics and Econometrics. WS 35044, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021.
"Expecting the unexpected: economic growth under stress,"
CREATES Research Papers
2021-06, Department of Economics and Business Economics, Aarhus University.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
- Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
- Moura, Guilherme V. & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018.
"Growth in Stress,"
Working Papers
201805, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019. "Growth in stress," International Journal of Forecasting, Elsevier, vol. 35(3), pages 948-966.
- González-Rivera, Gloria, 2018. "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS 26623, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018.
"Prediction Regions for Interval-valued Time Series,"
Working Papers
201817, University of California at Riverside, Department of Economics.
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019. "Prediction Regions for Interval-valued Time Series," Working Papers 201921, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Luo, Yun, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017.
"A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities,"
Working Papers
201709, University of California at Riverside, Department of Economics.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Corona, Francisco & Poncela, Maria Pilar, 2016.
"Determining the number of factors after stationary univariate transformations,"
DES - Working Papers. Statistics and Econometrics. WS
ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- González-Rivera, Gloria & Veiga, Helena, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Almeida, Daniel de & Hotta, Luiz, 2015.
"MGARCH models: tradeoff between feasibility and flexibility,"
DES - Working Papers. Statistics and Econometrics. WS
ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar, 2015.
"Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment,"
DES - Working Papers. Statistics and Econometrics. WS
ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434, Emerald Group Publishing Limited.
- Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fresoli, Diego Eduardo, 2014.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
DES - Working Papers. Statistics and Econometrics. WS
ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
DES - Working Papers. Statistics and Econometrics. WS
ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- Poncela, Pilar, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo & Fresoli, Diego Eduardo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Mª José, 2010. "Comparing sample and plug-in moments in asymmetric Garch Models," DES - Working Papers. Statistics and Econometrics. WS ws104125, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Alejandro, 2010.
"Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters,"
DES - Working Papers. Statistics and Econometrics. WS
ws100301, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Alejandro & Ruiz, Esther, 2012. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
- Alva, Kenedy, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Santos, André A. P. & Nogales, Francisco J., 2009.
"Comparing univariate and multivariate models to forecast portfolio value-at-risk,"
DES - Working Papers. Statistics and Econometrics. WS
ws097222, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
- Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Alejandro, 2008.
"Bootstrap prediction intervals in State Space models,"
DES - Working Papers. Statistics and Econometrics. WS
ws081104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
- Carmen Broto & Esther Ruiz, 2008.
"Testing for conditional heteroscedasticity in the components of inflation,"
Working Papers
0812, Banco de España.
- Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Veiga, Helena, 2006.
"Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH,"
DES - Working Papers. Statistics and Econometrics. WS
ws066016, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
- Carnero, María Ángeles, 2004.
"Spurious and hidden volatility,"
DES - Working Papers. Statistics and Econometrics. WS
ws042007, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
- Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Romera, Rosario, 2003. "An overview of probabilistic and time series models in finance," DES - Working Papers. Statistics and Econometrics. WS ws032405, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Julio, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Carnero, María Ángeles, 2003.
"Detecting level shifts in the presence of conditional heteroscedasticity,"
DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Broto, Carmen, 2002.
"Estimation methods for stochastic volatility models: a survey,"
DES - Working Papers. Statistics and Econometrics. WS
ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Pérez, Ana, 2001. "Properties of the sample autocorrelations in autoregressive stochastic volatllity models," DES - Working Papers. Statistics and Econometrics. WS ws011208, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pérez, Ana, 2001.
"Asymmetric long memory GARCH: a reply to Hwang's model,"
DES - Working Papers. Statistics and Econometrics. WS
ws016229, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther & Perez, Ana, 2003. "Asymmetric long memory GARCH: a reply to Hwang's model," Economics Letters, Elsevier, vol. 78(3), pages 415-422, March.
- Pascual, Lorenzo, 2001.
"Bootstrap prediction intervals for power-transformed time series,"
DES - Working Papers. Statistics and Econometrics. WS
ws010503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pérez, Ana, 2001.
"Modelos de memoria larga para series económicas y financieras,"
DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS
ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pascual, Lorenzo, 2000. "Forecasting returns and volatilities in GARCH processes using the bootstrap," DES - Working Papers. Statistics and Econometrics. WS 10059, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hernández, Nuria & Pañeda, Cándido, 2000. "Relaciones dinámicas en el mercado internacional de carne de vacuno," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3672, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo, 1999.
"Bootstrap Predictive Inference for Arima Processes,"
DES - Working Papers. Statistics and Econometrics. WS
6283, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004. "Bootstrap predictive inference for ARIMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Pascual, Lorenzo, 1999.
"Effects of parameter estimation on prediction densities a bootstrap approach,"
DES - Working Papers. Statistics and Econometrics. WS
6304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001. "Effects of parameter estimation on prediction densities: a bootstrap approach," International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- Rosario Romera & Esther Ruiz, 1999. "Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility," Computing in Economics and Finance 1999 231, Society for Computational Economics.
- Pérez, Ana, 1999.
"Finite sample properties of a QML estimator of stochastic volatility models with long memory,"
DES - Working Papers. Statistics and Econometrics. WS
6360, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
- Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.
- Lorenzo, Fernando, 1997. "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3648, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
- Lorenzo, Fernando, 1996. "Which univariate time series model predicts quicker a crisis? The Iberia case," DES - Working Papers. Statistics and Econometrics. WS 4545, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Esther Ruiz, 1992.
"Quasi-Maximum Likelihood Estimation of Stochastic Variance Models,"
STICERD - Econometrics Paper Series
244, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
repec:cte:wsrepe:23974 is not listed on IDEAS
repec:cte:wsrepe:ws131110 is not listed on IDEAS
repec:cte:wsrepe:ws142618 is not listed on IDEAS
repec:cte:wbrepe:7083 is not listed on IDEAS
repec:cte:wsrepe:5708 is not listed on IDEAS
repec:cte:dsrepe:2944 is not listed on IDEAS
repec:cte:wsrepe:ws072706 is not listed on IDEAS
Articles
- Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
- Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
- Esther Ruiz & Pilar Poncela, 2022. "Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components," Foundations and Trends(R) in Econometrics, now publishers, vol. 12(2), pages 121-231, November.
- Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Javier Maldonado & Esther Ruiz, 2021. "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1432-1453, December.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020. "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020.
"Prediction regions for interval‐valued time series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019. "Prediction Regions for Interval-valued Time Series," Working Papers 201921, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020.
"Estimating Non-stationary Common Factors: Implications for Risk Sharing,"
Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020.
"A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019.
"Growth in stress,"
International Journal of Forecasting, Elsevier, vol. 35(3), pages 948-966.
- Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018. "Growth in Stress," Working Papers 201805, University of California at Riverside, Department of Economics.
- González-Rivera, Gloria, 2018. "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS 26623, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
- Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2017.
"Determining the number of factors after stationary univariate transformations,"
Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
- Corona, Francisco & Poncela, Maria Pilar, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016.
"Identification of asymmetric conditional heteroscedasticity in the presence of outliers,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
- Carnero Fernández, María Ángeles & Pérez, Ana, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- Fresoli, Diego E. & Ruiz, Esther, 2016.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Fresoli, Diego Eduardo, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Ruiz, E. & Ferro, V.R. & de Riva, J. & Moreno, D. & Palomar, J., 2014. "Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations," Applied Energy, Elsevier, vol. 123(C), pages 281-291.
- André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013.
"Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 400-441, March.
- Santos, André A. P. & Nogales, Francisco J., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Alejandro & Ruiz, Esther, 2012.
"Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
- Rodríguez, Alejandro, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
- María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
- Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011.
"Prediction intervals in conditionally heteroscedastic time series with stochastic components,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319, April.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
- Alejandro Rodriguez & Esther Ruiz, 2009.
"Bootstrap prediction intervals in state–space models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
- Rodríguez, Alejandro, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto Carmen & Ruiz Esther, 2009.
"Testing for Conditional Heteroscedasticity in the Components of Inflation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
- Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
- Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
- Ruiz, Esther & Veiga, Helena, 2008.
"Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
- Veiga, Helena, 2006. "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS ws066016, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
- Broto, Carmen & Ruiz, Esther, 2006.
"Unobserved component models with asymmetric conditional variances,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Broto, Carmen, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005.
"Bootstrap prediction intervals for power-transformed time series,"
International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
- Pascual, Lorenzo, 2001. "Bootstrap prediction intervals for power-transformed time series," DES - Working Papers. Statistics and Econometrics. WS ws010503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005. "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, vol. 21(4), pages 623-625.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004.
"Bootstrap predictive inference for ARIMA processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Pascual, Lorenzo, 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther & Perez, Ana, 2003.
"Asymmetric long memory GARCH: a reply to Hwang's model,"
Economics Letters, Elsevier, vol. 78(3), pages 415-422, March.
- Pérez, Ana, 2001. "Asymmetric long memory GARCH: a reply to Hwang's model," DES - Working Papers. Statistics and Econometrics. WS ws016229, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ana Pérez & Esther Ruiz, 2003. "Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 420-444.
- Ana Pérez & Esther Ruiz, 2002.
"Modelos de memoria larga para series económicas y financieras,"
Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Esther Ruiz & Lorenzo Pascual, 2002. "Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 271-300, July.
- Perez, Ana & Ruiz, Esther, 2001.
"Finite sample properties of a QML estimator of stochastic volatility models with long memory,"
Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
- Pérez, Ana, 1999. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS 6360, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001.
"Effects of parameter estimation on prediction densities: a bootstrap approach,"
International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- Pascual, Lorenzo, 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ruiz, Esther, 1997. "QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 405-405.
- J. I. Pena & E. Ruiz, 1995. "Stock market regulations and international financial integration: the case of Spain," The European Journal of Finance, Taylor & Francis Journals, vol. 1(4), pages 367-382.
- Harvey, Andrew C & Ruiz, Esther, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 402-403, October.
- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
- Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
- Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
Chapters
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
More information
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This author is among the top 5% authors according to these criteria:- Number of Works
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 45 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (36) 2003-03-13 2003-05-16 2003-11-16 2003-12-07 2003-12-07 2004-08-16 2004-10-30 2004-12-12 2006-01-24 2006-10-28 2007-04-21 2008-04-04 2008-06-27 2008-11-04 2009-01-10 2009-02-22 2009-04-05 2009-12-11 2010-02-13 2010-06-04 2011-11-07 2012-11-11 2013-05-24 2014-03-15 2014-07-21 2014-11-12 2015-03-13 2015-05-16 2015-08-25 2016-08-14 2017-01-29 2017-09-17 2018-10-15 2019-12-09 2020-05-11 2024-08-12. Author is listed
- NEP-ETS: Econometric Time Series (30) 2003-03-10 2003-04-02 2003-12-07 2003-12-07 2004-08-16 2004-10-30 2004-12-12 2006-02-19 2006-10-28 2007-04-21 2008-04-04 2008-11-04 2009-01-10 2009-02-22 2010-02-13 2011-11-07 2012-11-11 2013-05-24 2014-03-15 2014-07-21 2014-11-12 2015-05-16 2015-08-25 2015-12-01 2016-03-10 2017-09-17 2018-10-15 2019-12-09 2020-05-11 2024-08-12. Author is listed
- NEP-FOR: Forecasting (15) 2007-04-21 2008-04-04 2008-11-04 2009-12-11 2010-02-13 2010-06-04 2011-11-07 2014-03-15 2015-05-16 2015-12-01 2016-08-14 2017-09-17 2018-10-15 2019-11-04 2019-12-09. Author is listed
- NEP-RMG: Risk Management (11) 2003-03-10 2003-11-16 2003-12-07 2003-12-07 2009-01-10 2009-04-05 2009-12-11 2010-06-04 2019-12-09 2021-03-29 2023-12-18. Author is listed
- NEP-FIN: Finance (6) 2003-05-15 2003-12-07 2003-12-07 2004-08-16 2004-10-30 2004-12-12. Author is listed
- NEP-ORE: Operations Research (6) 2008-04-04 2008-06-27 2013-05-24 2019-11-04 2019-12-09 2020-05-11. Author is listed
- NEP-MAC: Macroeconomics (5) 2006-01-24 2008-06-27 2021-03-29 2021-03-29 2023-12-18. Author is listed
- NEP-FMK: Financial Markets (4) 2003-03-10 2004-12-12 2006-02-19 2009-01-10
- NEP-BAN: Banking (1) 2009-12-11
- NEP-CBA: Central Banking (1) 2008-06-27
- NEP-CWA: Central and Western Asia (1) 2021-03-29
- NEP-DEM: Demographic Economics (1) 2022-07-18
- NEP-ENE: Energy Economics (1) 2022-07-18
- NEP-ENV: Environmental Economics (1) 2022-07-18
- NEP-FDG: Financial Development and Growth (1) 2021-03-29
- NEP-GEN: Gender (1) 2020-05-11
- NEP-GRO: Economic Growth (1) 2022-07-18
- NEP-IFN: International Finance (1) 2003-11-16
- NEP-MST: Market Microstructure (1) 2009-04-05
- NEP-REG: Regulation (1) 2009-12-11
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