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Esther Ruiz : Citation Profile


Are you Esther Ruiz?

Universidad Carlos III de Madrid

14

H index

15

i10 index

1058

Citations

RESEARCH PRODUCTION:

38

Articles

57

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1992 - 2017). See details.
   Cites by year: 42
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 50 (4.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru212
   Updated: 2018-02-17    RAS profile: 2017-10-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Veiga, Helena (5)

Carnero, M. Angeles (2)

Corona, Francisco (2)

Hotta, Luiz (2)

Poncela, Pilar (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)

Asai, Manabu (27)

Darné, Olivier (25)

Shephard, Neil (24)

Omori, Yasuhiro (19)

CHARLES, Amelie (17)

Koopman, Siem Jan (16)

Sentana, Enrique (16)

Andersen, Torben (15)

Bos, Charles (15)

Fiorentini, Gabriele (15)

Cites to:

Bollerslev, Tim (93)

Engle, Robert (67)

Harvey, Andrew (51)

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 Financial Econometrics3
Journal of Econometrics3
Journal of Time Series Analysis3
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 (2018 and 2017)


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

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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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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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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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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 ; Braione, Manuela ; Bauwens, Luc. 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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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:


YearTitleTypeCited
2008Testing for conditional heteroscedasticity in the components of inflation In: Working Papers.
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paper3
2009Testing for Conditional Heteroscedasticity in the Components of Inflation.(2009) In: Studies in Nonlinear Dynamics & Econometrics.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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article0
2002 Bootstrapping Financial Time Series. In: Journal of Economic Surveys.
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article22
2004Estimation methods for stochastic volatility models: a survey In: Journal of Economic Surveys.
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article67
2002Estimation methods for stochastic volatility models: a survey.(2002) In: DES - Working Papers. Statistics and Econometrics. WS.
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2004Bootstrap predictive inference for ARIMA processes In: Journal of Time Series Analysis.
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article20
1999Bootstrap Predictive Inference for Arima Processes.(1999) In: DES - Working Papers. Statistics and Econometrics. WS.
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2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
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article34
2009Bootstrap prediction intervals in state-space models In: Journal of Time Series Analysis.
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article8
2008Bootstrap prediction intervals in State Space models.(2008) In: DES - Working Papers. Statistics and Econometrics. WS.
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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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1992Quasi-Maximum Likelihood Estimation of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]
paper1
1994Modelos para series temporales heterocedásticas In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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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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2002Modelos de memoria larga para series económicas y financieras.(2002) In: Investigaciones Economicas.
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1994Stock market regulations and international financial integration: the case of Spain In: DEE - Working Papers. Business Economics. WB.
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1995Stock market regulations and international financial integration: the case of Spain.(1995) In: The European Journal of Finance.
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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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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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