Esther Ruiz : Citation Profile


Are you Esther Ruiz?

Universidad Carlos III de Madrid

14

H index

15

i10 index

1036

Citations

RESEARCH PRODUCTION:

38

Articles

57

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1992 - 2017). See details.
   Cites by year: 41
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 49 (4.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru212
   Updated: 2017-11-18    RAS profile: 2017-10-16    
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Relations with other researchers


Works with:

Veiga, Helena (5)

Poncela, Pilar (3)

Carnero, M. Angeles (3)

Hotta, Luiz (2)

Santos, Andre (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Esther Ruiz.

Is cited by:

McAleer, Michael (31)

Asai, Manabu (24)

Shephard, Neil (24)

Darné, Olivier (22)

Omori, Yasuhiro (19)

CHARLES, Amelie (17)

Sentana, Enrique (16)

Koopman, Siem Jan (16)

Bos, Charles (15)

Veiga, Helena (15)

Andersen, Torben (15)

Cites to:

Bollerslev, Tim (93)

Engle, Robert (67)

Harvey, Andrew (50)

Diebold, Francis (48)

McAleer, Michael (38)

Andersen, Torben (30)

Bai, Jushan (29)

Ng, Serena (28)

Renault, Eric (25)

Granger, Clive (22)

Ghysels, Eric (22)

Main data


Where Esther Ruiz has published?


Journals with more than one article published# docs
International Journal of Forecasting7
Computational Statistics & Data Analysis6
Economics Letters4
Journal of Time Series Analysis3
Journal of Econometrics3
Journal of Financial Econometrics3
Journal of Economic Surveys2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística42
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)3
Documentos de Trabajo (working papers) / Department of Economics - dECON2

Recent works citing Esther Ruiz (2017 and 2016)


YearTitle of citing document
2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2017Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng . In: Papers. RePEc:arx:papers:1706.04566.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2017Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2016Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach. (2016). Uroevic, Branko ; Drenovak, Mikica ; Rankovic, Vladimir ; Jelic, Ranko . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5731.

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2016Market Risk Management in a Post-Basel II Regulatory Environment. (2016). Rankovic, Vladimir ; Drenovak, Mikica ; Uroevic, Branko ; Ivanovic, Milos ; Jelic, Ranko . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6293.

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2017La construcción de indicadores de la actividad económica: una revisión bibliográfica. (2017). Collazos-Rodriguez, Jaime ; Vidal-Alejandro, Pavel ; Sanabria-Dominguez, Johana ; Sierra, Lya Paola . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015779.

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2016Adaptive state space models with applications to the business cycle and financial stress. (2016). Venditti, Fabrizio ; Petrella, Ivan ; Delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11599.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2017BIAS correction for dynamic factor models. (2017). Alonso, Andres Modesto ; Bastos, Guadalupe ; Garcia-Martos, Carolina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029.

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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Ortega, Esther Ruiz ; Corona, Francisco ; Poncela, Pilar . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2016Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits. (2016). Errais, Eymen ; Bahri, Dhikra . In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:1:errais.

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2016International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences. (2016). Kollmann, Robert. In: Working Papers ECARES. RePEc:eca:wpaper:2013/228794.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Experimental investigation on NH3–H2O compression-assisted absorption heat pump (CAHP) for low temperature heating under lower driving sources. (2016). Wu, Wei ; Wang, Baolong ; Shi, Wenxing ; Li, Xianting. In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:258-271.

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2017Proposal and analysis of a novel heat-driven absorption–compression refrigeration system at low temperatures. (2017). Jin, Hongguang ; Han, Wei ; Chen, YI. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:2106-2116.

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2017Ionic liquid-based hybrid absorption cycle for water heating, dehumidification, and cooling. (2017). Chugh, Devesh ; Moghaddam, Saeed ; Abdelaziz, Omar ; Gluesenkamp, Kyle . In: Applied Energy. RePEc:eee:appene:v:202:y:2017:i:c:p:746-754.

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2017Absorption heat pump cycles with NH3 – ionic liquid working pairs. (2017). Wang, Meng ; Infante, Carlos A. In: Applied Energy. RePEc:eee:appene:v:204:y:2017:i:c:p:819-830.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Bootstrap prediction intervals for Markov processes. (2016). Pan, LI ; Politis, Dimitris N. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:467-494.

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2016Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness. (2016). Spierdijk, Laura . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:545-559.

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2016The Split-SV model. (2016). Stojanovi, Vladica S ; Milovanovi, Gradimir V ; Popovi, Biljana. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:560-581.

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2016International business cycles and risk sharing with uncertainty shocks and recursive preferences. (2016). Kollmann, Robert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:72:y:2016:i:c:p:115-124.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2016Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States. (2016). Hamori, Shigeyuki ; Tian, Shuairu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:163-171.

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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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2016Idiosyncratic variation of the US Dollar. (2016). MacDonald, Ronald ; Kunkler, Michael . In: Economics Letters. RePEc:eee:ecolet:v:144:y:2016:i:c:p:7-9.

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2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). García Enríquez, Javier ; Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2016Indexing the income tax code, monetary/fiscal interaction, and the great moderation. (2016). Keinsley, Andrew. In: European Economic Review. RePEc:eee:eecrev:v:89:y:2016:i:c:p:1-20.

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2017Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica. (2017). Ivanovi, Milo ; Jelic, Ranko ; Rankovi, Vladimir ; Uroevi, Branko . In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:3:p:1030-1044.

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2016Bond portfolio optimization using dynamic factor models. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:128-158.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Charles, Amelie ; Darne, Olivier . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2016Thermal performance of an absorption-refrigeration system with [emim]Cu2Cl5/NH3 as working fluid. (2016). Bai, Yang ; Chen, Wei . In: Energy. RePEc:eee:energy:v:112:y:2016:i:c:p:332-341.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models. (2016). Lucas, Andre ; Łasak, Katarzyna ; Koopman, Siem Jan ; Blasques, Francisco. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:875-887.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2017Business tendency surveys and macroeconomic fluctuations. (2017). Scheufele, Rolf ; Kaufmann, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:878-893.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2017The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises. (2017). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:74-94.

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2017Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece. (2017). Johnson, Christian ; Gonzalez-Hermosillo, Brenda . In: Journal of Economics and Business. RePEc:eee:jebusi:v:90:y:2017:i:c:p:49-64.

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2017Risk assessment on euro area government bond markets – The role of governance. (2017). Boysen-Hogrefe, Jens. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:104-117.

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2016Anticipating business-cycle turning points in real time using density forecasts from a VAR. (2016). Schreiber, Sven ; Soldatenkova, Natalia . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pb:p:166-187.

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2016Modeling volatility using state space models with heavy tailed distributions. (2016). de Pinho, Frank M ; Franco, Glaura C ; Silva, Ralph S. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:119:y:2016:i:c:p:108-127.

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2016Bootstrap prediction in univariate volatility models with leverage effect. (2016). Hotta, Luiz ; Trucios, Carlos . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:120:y:2016:i:c:p:91-103.

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2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

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2017The role of ionic liquids in desulfurization of fuels: A review. (2017). Ibrahim, Muna Hassan ; Hayyan, Adeeb ; Hashim, Mohd Ali . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:76:y:2017:i:c:p:1534-1549.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017A non-iterative (trivial) method for posterior inference in stochastic volatility models. (2017). Tsionas, Mike. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:83-87.

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2016Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models. (2016). McAleer, Michael ; Chen, J ; Kobayashi, M. In: Econometric Institute Research Papers. RePEc:ems:eureir:79925.

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2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648.

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2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, M ; Chen, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:99788.

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2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

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2017A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. (2017). Heberle, Jochen ; Sattarhoff, Cristina . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:9-:d:88731.

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2016A New Methodology Based on Imbalanced Classification for Predicting Outliers in Electricity Demand Time Series. (2016). Duque-Pintor, Francisco Javier ; Martinez-Alvarez, Francisco ; Troncoso, Alicia ; Fernandez-Gomez, Manuel Jesus . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:9:p:752-:d:78211.

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2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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2017The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises. (2017). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi. In: Working Papers. RePEc:hal:wpaper:hal-01511667.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian . In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2016On Persistence of Uncertainty Shocks. (2016). Egiev, Sergey . In: HSE Working papers. RePEc:hig:wpaper:144/ec/2016.

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2016What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors. (2016). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-006.

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2017Adaptive Quadrature for Maximum Likelihood Estimation of a Class of Dynamic Latent Variable Models. (2017). Bartolucci, Francesco ; Cagnone, Silvia . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:4:d:10.1007_s10614-016-9573-4.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2017Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market. (2017). Arango, Francisco Ortiz ; Montiel, Alma Nelly . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:3:p:941-957.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2016 Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatil. (2016). Rodríguez, Gabriel ; Alvaro, Dennis ; Guillen, Angel . In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00414.

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2016International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences. (2016). Kollmann, Robert. In: MPRA Paper. RePEc:pra:mprapa:70183.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: MPRA Paper. RePEc:pra:mprapa:72736.

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2016Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models. (2016). Bonga-Bonga, Lumengo ; Nleya, Lebogang . In: MPRA Paper. RePEc:pra:mprapa:75809.

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2017Nowcasting Slovak GDP by a Small Dynamic Factor Model. (2017). Tóth, Peter ; Toth, Peter . In: MPRA Paper. RePEc:pra:mprapa:77245.

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2017Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables. (2017). Galvão, Ana ; Clements, Michael ; Galvao, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-01.

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2016Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks. (2016). Kollmann, Robert. In: 2016 Meeting Papers. RePEc:red:sed016:721.

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2017A BOOTSTRAP BIAS CORRECTION OF LONG RUN FOURTH ORDER MOMENT ESTIMATION IN THE CUSUM OF SQUARES TEST. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0220.

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2017STRUCTURAL CHANGE, AGGREGATE DEMAND AND THE DECLINE OF LABOUR PRODUCTIVITY: A COMPARATIVE PERSPECTIVE. (2017). Tridico, Pasquale ; Pariboni, Riccardo. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0221.

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2016Multivariate Wishart stochastic volatility and changes in regime. (2016). Gribisch, Bastian . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-016-0269-9.

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2016Bootstrap estimation of the efficient frontier. (2016). Font, Begoa . In: Computational Management Science. RePEc:spr:comgts:v:13:y:2016:i:4:d:10.1007_s10287-016-0257-2.

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2017Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes. (2017). Li, Han ; Wang, Dehui ; Yang, Kai . In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-017-0748-9.

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2016Spatial dependence in stock returns: local normalization and VaR forecasts. (2016). Wied, Dominik ; Schmitt, Thilo A ; Guhr, Thomas ; Schafer, Rudi . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:3:d:10.1007_s00181-015-0947-6.

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2016Asymmetry with respect to the memory in stock market volatilities. (2016). Lonnbark, Carl . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0975-2.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017Periodic autoregressive stochastic volatility. (2017). Aknouche, Abdelhakim . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-z.

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More than 100 citations found, this list is not complete...

Works by Esther Ruiz:


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2009Testing for Conditional Heteroscedasticity in the Components of Inflation.(2009) In: Studies in Nonlinear Dynamics & Econometrics.
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2009Bootstrap prediction intervals in state-space models In: Journal of Time Series Analysis.
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1997Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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2000Relaciones dinámicas en el mercado internacional de carne de vacuno In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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1999Effects of parameter estimation on prediction densities a bootstrap approach In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Effects of parameter estimation on prediction densities: a bootstrap approach.(2001) In: International Journal of Forecasting.
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1999Finite sample properties of a QML estimator of stochastic volatility models with long memory In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Finite sample properties of a QML estimator of stochastic volatility models with long memory.(2001) In: Economics Letters.
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2001Bootstrap prediction intervals for power-transformed time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Properties of the sample autocorrelations in autoregressive stochastic volatllity models In: DES - Working Papers. Statistics and Econometrics. WS.
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2001Asymmetric long memory GARCH: a reply to Hwangs model In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Unobserved component models with asymmetric conditional variances. In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Unobserved component models with asymmetric conditional variances.(2006) In: Computational Statistics & Data Analysis.
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2003An overview of probabilistic and time series models in finance In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS.
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2004DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.(2004) In: Working Papers. Serie AD.
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2003A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities. In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Stochastic volatility models and the Taylor effect In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Using auxiliary residuals to detect conditional heteroscedasticity in inflation In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
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2008Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis.
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2008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES In: DES - Working Papers. Statistics and Econometrics. WS.
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2009GARCH models with leverage effect : differences and similarities In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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2013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics.
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2012Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters.(2012) In: Computational Statistics & Data Analysis.
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2010Comparing sample and plug-in moments in asymmetric Garch Models In: DES - Working Papers. Statistics and Econometrics. WS.
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2011Bootstrap forecast of multivariate VAR models without using the backward representation In: DES - Working Papers. Statistics and Econometrics. WS.
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2012More is not always better : back to the Kalman filter in dynamic factor models In: DES - Working Papers. Statistics and Econometrics. WS.
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2013One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2014The uncertainty of conditional returns, volatilities and correlations in DCC models In: DES - Working Papers. Statistics and Econometrics. WS.
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2016The uncertainty of conditional returns, volatilities and correlations in DCC models.(2016) In: Computational Statistics & Data Analysis.
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2014Identification of asymmetric conditional heteroscedasticity in the presence of outliers In: DES - Working Papers. Statistics and Econometrics. WS.
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2016Identification of asymmetric conditional heteroscedasticity in the presence of outliers.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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2014Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
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2015Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment In: DES - Working Papers. Statistics and Econometrics. WS.
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2016Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment.(2016) In: Advances in Econometrics.
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2015Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS.
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2015MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS.
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2015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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2016Determining the number of factors after stationary univariate transformations In: DES - Working Papers. Statistics and Econometrics. WS.
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2017Determining the number of factors after stationary univariate transformations.(2017) In: Empirical Economics.
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2004Effects of Level Outliers on the Identification and Estimation of GARCH Models In: Econometric Society 2004 Australasian Meetings.
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2014Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations In: Applied Energy.
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2006Bootstrap prediction for returns and volatilities in GARCH models In: Computational Statistics & Data Analysis.
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2009A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect In: Computational Statistics & Data Analysis.
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2010Conditionally heteroscedastic unobserved component models and their reduced form In: Economics Letters.
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2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
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1994Quasi-maximum likelihood estimation of stochastic volatility models In: Journal of Econometrics.
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1997QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen In: Journal of Econometrics.
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2005Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting.
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2011Prediction intervals in conditionally heteroscedastic time series with stochastic components In: International Journal of Forecasting.
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2015Bootstrap multi-step forecasts of non-Gaussian VAR models In: International Journal of Forecasting.
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2016Frontiers in VaR forecasting and backtesting In: International Journal of Forecasting.
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2012Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance.
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2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
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2012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities In: Journal of Financial Econometrics.
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2003Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models In: Journal of Financial Econometrics.
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1994Multivariate Stochastic Variance Models In: Review of Economic Studies.
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1999Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility In: Computing in Economics and Finance 1999.
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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities In: Working Papers.
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1998The relation between the level and uncertainty of inflation In: Documentos de Trabajo (working papers).
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