Esther Ruiz : Citation Profile


Are you Esther Ruiz?

Universidad Carlos III de Madrid

14

H index

17

i10 index

1103

Citations

RESEARCH PRODUCTION:

41

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 42
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 54 (4.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru212
   Updated: 2018-09-15    RAS profile: 2018-07-30    
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Relations with other researchers


Works with:

Veiga, Helena (6)

Poncela, Pilar (3)

Hotta, Luiz (3)

Corona, Francisco (2)

Gonzalez-Rivera, Gloria (2)

Carnero, M. Angeles (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 (33)

Darné, Olivier (29)

Asai, Manabu (27)

Shephard, Neil (24)

Omori, Yasuhiro (19)

Sentana, Enrique (17)

CHARLES, Amelie (17)

Fiorentini, Gabriele (16)

Koopman, Siem Jan (16)

Andersen, Torben (15)

Bos, Charles (15)

Cites to:

Bollerslev, Tim (95)

Engle, Robert (70)

Harvey, Andrew (59)

Diebold, Francis (46)

McAleer, Michael (37)

Bai, Jushan (33)

Ng, Serena (31)

Andersen, Torben (30)

Renault, Eric (25)

Shephard, Neil (24)

Sentana, Enrique (24)

Main data


Where Esther Ruiz has published?


Journals with more than one article published# docs
International Journal of Forecasting9
Computational Statistics & Data Analysis6
Economics Letters4
Journal of Econometrics3
Journal of Time Series Analysis3
Journal of Financial Econometrics3
Journal of Economic Surveys3
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
Working Papers / University of California at Riverside, Department of Economics2
Documentos de Trabajo (working papers) / Department of Economics - dECON2

Recent works citing Esther Ruiz (2018 and 2017)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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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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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models. (2018). Cs, Bal'Azs Csan'Ad. In: Papers. RePEc:arx:papers:1807.08390.

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2018A Residual Bootstrap for Conditional Value-at-Risk. (2018). Beutner, Eric ; Smeekes, Stephan ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1808.09125.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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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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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Ishihara, Tsunehiro ; Omori, Yasuhiro. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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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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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2018Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619.

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2017La construcción de indicadores de la actividad económica: una revisión bibliográfica. (2017). Vidal Alejandro, Pavel ; 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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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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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). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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

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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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2018Absorption refrigeration cycles based on ionic liquids: Refrigerant/absorbent selection by thermodynamic and process analysis. (2018). Moreno, Daniel ; Palomar, Jose ; Larriba, Marcos ; Moya, Cristian ; Santiago, Ruben ; de Riva, Juan ; Ferro, Victor R. In: Applied Energy. RePEc:eee:appene:v:213:y:2018:i:c:p:179-194.

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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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2018Testing normality for unconditionally heteroscedastic macroeconomic variables. (2018). Raissi, Hamdi . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:140-146.

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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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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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2018Estimating stable latent factor models by indirect inference. (2018). Calzolari, Giorgio ; Halbleib, Roxana . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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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). Bauwens, Luc ; Storti, Giuseppe ; 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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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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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; 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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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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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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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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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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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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2018Development of bubble absorption refrigeration technology: A review. (2018). Wu, XI ; Jiang, Mengnan ; Xu, Shiming . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:82:y:2018:i:p3:p:3468-3482.

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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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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

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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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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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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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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2017An Optimization Framework for Investment Evaluation of Complex Renewable Energy Systems. (2017). Olave-Rojas, David ; Tenreiro, Claudio ; Rodriguez, Alejandro ; Alvarez-Miranda, Eduardo. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:7:p:1062-:d:105588.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). Darné, Olivier ; Ferrara, Laurent ; Darne, Olivier ; Charles, Amelie. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01757081.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian. In: Post-Print. RePEc:hal:journl:hal-01572510.

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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). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2018Forecasting and risk management in the Vietnam Stock Exchange. (2018). Darné, Olivier ; Ha, Manh. In: Working Papers. RePEc:hal:wpaper:halshs-01679456.

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2018Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez. In: Working Papers. Serie AD. RePEc:ivi:wpasad:2018-01.

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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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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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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). ORTIZ-ARANGO, FRANCISCO ; Montiel, Alma Nelly . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:3:p:941-957.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; 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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2017Quantifying the impact of Ramadan on global raw sugar prices. (2017). Haque, A.K. Enamul ; Basher, Syed ; Abrar, Hossain Kazi ; Abul, Basher Syed . In: MPRA Paper. RePEc:pra:mprapa:75941.

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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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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores. (2018). Venegas-Martínez, Francisco ; Cruz-Ake, Salvador ; Venegas-Martinez, Francisco ; Reyes-Garcia, Nallely Jacqueline. In: MPRA Paper. RePEc:pra:mprapa:84304.

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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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2018The Rise and Fall of the Natural Interest Rate. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele ; Perez-Quiros, Gabriel. In: Working Paper series. RePEc:rim:rimwps:18-29.

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2018Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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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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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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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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2018The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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2018Oil and equity: too deep into each other. (2018). Delcoure, Natalya ; Singh, Harmeet . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9387-9.

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2018New and Fast Block Bootstrap-Based Prediction Intervals for GARCH(1,1) Process with Application to Exchange Rates. (2018). Beyaztas, Beste Hamiye ; Huang, Wei-Min ; Bandyopadhyay, Soutir. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:80:y:2018:i:1:d:10.1007_s13171-017-0098-2.

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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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2017Estimation and asymptotic covariance matrix for stochastic volatility models. (2017). Cavicchioli, Maddalena . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0373-8.

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2017Investigating the sources of Black’s leverage effect in oil and gas stocks. (2017). Sanusi, Muhammad Surajo ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1318812.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, Masahito ; Chen, Jinghui . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170022.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

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2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023.

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2017Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework. (2017). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:674.

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Works by Esther Ruiz:


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2008Testing for conditional heteroscedasticity in the components of inflation In: Working Papers.
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2009Testing for Conditional Heteroscedasticity in the Components of Inflation.(2009) In: Studies in Nonlinear Dynamics & Econometrics.
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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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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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2001Modelos de memoria larga para series económicas y financieras In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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2017Accurate Subsampling Intervals of Principal Components Factors 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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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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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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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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2016Identification of asymmetric conditional heteroscedasticity in the presence of outliers.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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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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2016Determining the number of factors after stationary univariate transformations In: DES - Working Papers. Statistics and Econometrics. WS.
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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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2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
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