Esther Ruiz : Citation Profile

Are you Esther Ruiz?

Universidad Carlos III de Madrid

17

H index

22

i10 index

1581

Citations

RESEARCH PRODUCTION:

52

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 52
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 73 (4.41 %)

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   Permalink: http://citec.repec.org/pru212
   Updated: 2023-03-25    RAS profile: 2022-12-19    
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Relations with other researchers

Works with:

Veiga, Helena (5)

Gonzalez-Rivera, Gloria (4)

Poncela, Pilar (4)

Rodríguez Caballero, Carlos (2)

Corona, Francisco (2)

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

Is cited by:

Darné, Olivier (44)

Asai, Manabu (31)

Shephard, Neil (28)

Sentana, Enrique (24)

Fiorentini, Gabriele (22)

Hallin, Marc (22)

Omori, Yasuhiro (22)

Veiga, Helena (20)

Koopman, Siem Jan (20)

CHARLES, Amelie (17)

Bauwens, Luc (16)

Cites to:

Bollerslev, Tim (123)

Reichlin, Lucrezia (102)

Engle, Robert (87)

Harvey, Andrew (74)

Diebold, Francis (73)

Giannone, Domenico (73)

Bai, Jushan (67)

Shephard, Neil (63)

Ng, Serena (58)

Koopman, Siem Jan (54)

Watson, Mark (52)

Main data

Where Esther Ruiz has published?

Journals with more than one article published# docs
International Journal of Forecasting12
Computational Statistics & Data Analysis6
Economics Letters4
The Journal of Financial Econometrics3
Journal of Economic Surveys3
Journal of Econometrics3
Journal of Time Series Analysis3
SERIEs: Journal of the Spanish Economic Association2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística43
Working Papers / University of California at Riverside, Department of Economics4
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)3
Documentos de Trabajo (working papers) / Department of Economics - dECON2

Recent works citing Esther Ruiz (2022 and 2021)

YearTitle of citing document
2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo (Jack) ; Casoli, Chiara. In: FEEM Working Papers. RePEc:ags:feemwp:312367.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383.

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2021On the joint volatility dynamics in dairy markets. (2021). Rezitis, Anthony ; Kastner, Gregor. In: Papers. RePEc:arx:papers:2104.12707.

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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621.

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2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen. In: Papers. RePEc:arx:papers:2206.08438.

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2022Modeling Randomly Walking Volatility with Chained Gamma Distributions. (2022). Zhou, Youzhou ; Niu, Qiang ; Zhang, DI. In: Papers. RePEc:arx:papers:2207.01151.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2021Labor Market Indicator for Colombia (LMI). (2021). Ramos-Veloza, Mario ; Cristiano-Botia, Deicy J ; Hernandez-Bejarano, Manuel Dario. In: Borradores de Economia. RePEc:bdr:borrec:1152.

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2021On the joint volatility dynamics in international dairy commodity markets. (2021). Kastner, Gregor ; Rezitis, Anthony N. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:65:y:2021:i:3:p:704-728.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2021Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago. (2021). Chae, Jiyoung ; Doan, Osman ; Tapinar, Suleyman ; Bera, Anil K. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1243-1272.

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2022The negative binomial process: A tractable model with composite likelihood?based inference. (2022). Ombao, Hernando ; Barretosouza, Wagner. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:2:p:568-592.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2021Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2022Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?. (2022). Wang, Lei ; Zhao, Zhongchao ; Ding, Lili. In: Applied Energy. RePEc:eee:appene:v:312:y:2022:i:c:s0306261922002100.

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2021On fiscal and monetary policy-induced macroeconomic volatility dynamics. (2021). Liu, Xiaochun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000580.

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2022Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility. (2022). Yu, Xuewen ; Chan, Joshua. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002093.

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2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. (2022). Lopez, Raquel ; Esparcia, Carlos ; Diaz, Antonio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:39-60.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

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2021Guilt through association: Reputational contagion and the Boeing 737-MAX disasters. (2021). Corbet, Shaen ; Larkin, Charles ; Cioroianu, Iulia. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304171.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022Parsimony inducing priors for large scale state–space models. (2022). Tsay, Ruey S ; McCulloch, Robert E ; Lopes, Hedibert F. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:39-61.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2021Bayesian Value-at-Risk backtesting: The case of annuity pricing. (2021). Li, Youwei ; Leung, Melvern ; Vigne, Samuel A ; Pantelous, Athanasios A. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:786-801.

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2022Model averaging for interval-valued data. (2022). Wang, Shouyang ; Alan, ; Zhang, Xinyu ; Sun, Yuying. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:772-784.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2021Wind generation and the dynamics of electricity prices in Australia. (2021). Konstandatos, Otto ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias ; Rai, Alan. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004230.

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2021Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results. (2021). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004977.

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2022Multivariate stochastic volatility for herding detection: Evidence from the energy sector. (2022). Philippas, Nikolaos ; Tsionas, Mike G. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001402.

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2022Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective. (2022). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004893.

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2021Advanced exergy and exergoeconomic analysis of an integrated system combining CO2 capture-storage and waste heat utilization processes. (2021). Xu, Dongmei ; Wang, Yinglong ; Ma, Yixin ; Cui, Peizhe ; Qi, Jianguang ; Zhu, Zhaoyou ; Liu, Xiaobin ; Shen, Yuanyuan ; Chen, Zhengrun. In: Energy. RePEc:eee:energy:v:219:y:2021:i:c:s0360544220327079.

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2021Towards a complex investment evaluation framework for renewable energy systems: A 2-level heuristic approach. (2021). Alvarez-Miranda, Eduardo ; Olave-Rojas, David. In: Energy. RePEc:eee:energy:v:228:y:2021:i:c:s0360544221007799.

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2022Performance analysis of type 1 and type 2 hybrid absorption heat pump using novel working pairs. (2022). Kang, Yong Tae ; Park, Sejun ; Jung, Han Sol ; Kim, Gabyong. In: Energy. RePEc:eee:energy:v:241:y:2022:i:c:s0360544221031212.

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2021Which time-frequency domain dominates spillover in the Chinese energy stock market?. (2021). Guo, Sui ; An, Haizhong ; Gao, Xiangyun ; Sun, Qingru ; Wang, ZE ; Liu, Xueyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302842.

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2022Stock market bubbles and anti-bubbles. (2022). Henriksson, Roy ; Sakoulis, Georgios ; Tarlie, Martin B. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521918302138.

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2023Dissecting hedge funds strategies. (2023). Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2021Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:1-22.

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2021Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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2021Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach. (2021). Tinti, Cristina ; Tegami, Christian ; Citton, Ambra ; Ricchi, Ottavio ; Giovannelli, Alessandro ; Proietti, Tommaso. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1376-1398.

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2021Spurious relationships in high-dimensional systems with strong or mild persistence. (2021). Gonzalo, Jesus ; Pitarakis, Jean-Yves. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1480-1497.

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2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. (2021). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534.

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2022High-frequency monitoring of growth at risk. (2022). Sahuc, Jean-Guillaume ; Mogliani, Matteo ; Ferrara, Laurent. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:2:p:582-595.

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2023Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection. (2023). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:144-169.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2021Who is the center of local currency Asian government bond markets?. (2021). Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi. In: Japan and the World Economy. RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2021Volatility expectations and disagreement. (2021). van der Sar, Nico L ; Huisman, Ronald. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:188:y:2021:i:c:p:379-393.

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2021Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule. (2021). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418.

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2021Forecasting the dynamic relationship between crude oil and stock prices since the 19th century. (2021). Hailemariam, Abebe ; Ivanovski, Kris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000039.

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2022The relationship between global stock and precious metals under Covid-19 and happiness perspectives. (2022). Quc, Nguyn Khc ; Vn, LE. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722000836.

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2022Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas. (2022). Kundu, Pradip ; Bal, Debi Prasad ; Sahu, Pritish Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005694.

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2021Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). Rodríguez, Gabriel ; Garrafa-Aragon, Hernan B ; Rodriguez, Gabriel ; Abanto-Valle, Carlos A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:272-286.

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2022Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2021Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices. (2021). Lucchetti, Riccardo ; Casoli, Chiara. In: Working Papers. RePEc:fem:femwpa:2021.1p.

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2021.

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2022Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models. (2022). Zevallos, Mauricio ; Abbara, Omar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2022:i:1:p:1-:d:1013050.

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2022Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods. (2022). Makatjane, Katleho. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:1:p:10-:d:735281.

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2021Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects. (2021). Kolkiewicz, Adam W ; Wirjanto, Tony S ; Men, Zhongxian. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:225-:d:557170.

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2022Outliers and Time-Varying Jumps in the Cryptocurrency Markets. (2022). Bouri, Elie ; Dutta, Anupam. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:128-:d:766133.

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2022Sustainable Production of Tomato Plants ( Solanum lycopersicum L.) under Low-Quality Irrigation Water as Affected by Bio-Nanofertilizers of Selenium and Copper. (2022). El-Henawy, Ahmed ; Koriem, Mohamed A ; Saffan, Mohamed M ; Prokisch, Jozsef ; Badgar, Khandsuren ; Bayoumi, Yousry ; Omara, Alaa El-Dein ; Elbehiry, Fathy ; El-Ramady, Hassan ; El-Mahdy, Shimaa. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:6:p:3236-:d:767799.

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2021Econometric history of the growth–volatility relationship in the USA: 1919–2017. (2021). Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03186891.

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2021Interactive R&D Spillovers: an estimation strategy based on forecasting-driven model selection. (2021). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: Working Papers. RePEc:hal:wpaper:hal-03224910.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2021Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza-Maya, Ruben ; Martin, Gael M ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-1.

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2021DEEDP DIVING INTO THE S&P 350 EUROPE INDEX NETWORK ANS ITS REACTION TO COVID-19. (2021). Eratalay, Mustafa ; Corts, Ariana Paola. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:134.

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2022Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models. (2022). Vassallo, Renato ; Rodriguez, Gabriel. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00508.

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2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. (2022). Maecka, Marta ; Fiszeder, Piotr. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:17:y:2022:i:4:p:939-967.

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2021Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies. (2021). Bonga-Bonga, Lumengo ; Muteba, John Weirstrass ; Montshioa, Keitumetse. In: MPRA Paper. RePEc:pra:mprapa:106248.

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

Works by Esther Ruiz:

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys.
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2004Bootstrap predictive inference for ARIMA processes In: Journal of Time Series Analysis.
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2021Accurate Confidence Regions for Principal Components Factors In: Oxford Bulletin of Economics and Statistics.
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2012Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models In: Studies in Nonlinear Dynamics & Econometrics.
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2000Forecasting returns and volatilities in GARCH processes using the bootstrap In: DES - Working Papers. Statistics and Econometrics. WS.
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2016A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS.
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2017Accurate Subsampling Intervals of Principal Components Factors In: DES - Working Papers. Statistics and Econometrics. WS.
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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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1996Which univariate time series model predicts quicker a crisis? The Iberia case In: DES - Working Papers. Statistics and Econometrics. WS.
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1993Stochastic volatility versus autoregressive conditional heteroscedasticity In: DES - Working Papers. Statistics and Econometrics. WS.
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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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2005Bootstrap prediction intervals for power-transformed time series.(2005) In: International Journal of Forecasting.
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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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2003Asymmetric long memory GARCH: a reply to Hwangs model.(2003) In: Economics Letters.
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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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2004SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD.
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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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2007The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances In: DES - Working Papers. Statistics and Econometrics. WS.
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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: The Journal of Financial Econometrics.
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2010Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters In: DES - Working Papers. Statistics and Econometrics. WS.
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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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2010Bootstrap prediction intervals for VaR and ES in the context of GARCH models In: DES - Working Papers. Statistics and Econometrics. WS.
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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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2018MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting.
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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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1997QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen In: Journal of Econometrics.
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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation In: Econometrics and Statistics.
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2005Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting.
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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial In: International Journal of Forecasting.
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