Esther Ruiz : Citation Profile


Are you Esther Ruiz?

Universidad Carlos III de Madrid

16

H index

19

i10 index

1274

Citations

RESEARCH PRODUCTION:

43

Articles

60

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 47
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 59 (4.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru212
   Updated: 2020-08-09    RAS profile: 2020-05-05    
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Relations with other researchers


Works with:

Veiga, Helena (6)

Gonzalez-Rivera, Gloria (5)

Poncela, Pilar (4)

Hotta, Luiz (3)

Corona, Francisco (3)

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 (34)

Darné, Olivier (34)

Asai, Manabu (28)

Shephard, Neil (27)

Omori, Yasuhiro (22)

Veiga, Helena (20)

Hallin, Marc (19)

Sentana, Enrique (18)

CHARLES, Amelie (17)

Fiorentini, Gabriele (17)

Koopman, Siem Jan (16)

Cites to:

Bollerslev, Tim (96)

Engle, Robert (75)

Harvey, Andrew (60)

Diebold, Francis (51)

Bai, Jushan (44)

McAleer, Michael (44)

Shephard, Neil (43)

Ng, Serena (39)

Reichlin, Lucrezia (37)

Watson, Mark (31)

Andersen, Torben (30)

Main data


Where Esther Ruiz has published?


Journals with more than one article published# docs
International Journal of Forecasting10
Computational Statistics & Data Analysis6
Economics Letters4
Journal of Financial Econometrics3
Journal of Economic Surveys3
Journal of Time Series Analysis3
Journal of Econometrics3
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 Estadística43
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4
Working Papers / University of California at Riverside, Department of Economics3
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 (2020 and 2019)


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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2020Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

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2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. 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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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. 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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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). J. J. N'u~nez-Vel'azquez, ; Alonso-Gonz, P J ; Ramos, E. In: Papers. RePEc:arx:papers:2006.16383.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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

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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2019Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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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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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019Prediction regions for interval-valued time series. (2019). Gonzalez-Rivera, Gloria ; Luo, Yun ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29054.

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2019An Improved Bayesian Unit Root Test in Stochastic Volatility Models. (2019). Yu, Jun ; JunYu, ; Li, Yong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:liyu.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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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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2019Experimental investigation of an ammonia-water-hydrogen diffusion absorption refrigerator. (2019). Markides, Christos N ; Ramos, Alba ; Freeman, James ; Najjaran, Ahmad. In: Applied Energy. RePEc:eee:appene:v:256:y:2019:i:c:s0306261919315867.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2020A robust procedure to build dynamic factor models with cluster structure. (2020). Galeano, Pedro ; Alonso, Andres M ; Pea, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:35-52.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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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). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

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2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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2018Portfolio management with targeted constant market volatility. (2018). Doan, Bao ; Sherris, Michael ; Reeves, Jonathan J ; Papageorgiou, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:134-147.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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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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2019Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach. (2019). Paul, Samit ; Karmakar, Madhusudan . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:699-709.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2018ARIMA + GARCH + Bootstrap forecasting method applied to the airline industry. (2018). Nieto, Mara Rosa ; Carmona-Bentez, Rafael Bernardo. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:71:y:2018:i:c:p:1-8.

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2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

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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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2020The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach. (2020). Xiao, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:173-186.

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2020Asymptotic near-efficiency of the “Gibbs-energy (GE) and empirical-variance” estimating functions for fitting Matérn models - II: Accounting for measurement errors via “conditional GE mean”. (2020). Girard, Didier A. In: Statistics & Probability Letters. RePEc:eee:stapro:v:162:y:2020:i:c:s0167715220300298.

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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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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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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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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2019Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model. (2019). Jienwatcharamongkhol, Viroj ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:94-:d:237782.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). 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). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). Ferrara, Laurent ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01757081.

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2020Model uncertainty, nonlinearities and out-of-sample comparison: evidence from international technology diffusion. (2020). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: Working Papers. RePEc:hal:wpaper:hal-02790523.

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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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2019Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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2019How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Dong, Manh Cuong ; Sriboonchitta, Songsak ; Lee, Sangyoel. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z.

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2019Bayesian Testing for Leverage Effect in Stochastic Volatility Models. (2019). Li, Yong ; Chen, Zhong-Tian ; Zhang, Jin-Yu . In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9784-3.

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2019On Jackknife-After-Bootstrap Method for Dependent Data. (2019). Beyaztas, Ufuk. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9827-4.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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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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2020Estimating high dimensional multivariate stochastic volatility models. (2020). Sbrana, Giacomo ; Pelagatti, Matteo. In: Working Papers. RePEc:mib:wpaper:428.

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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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2019Extracting global factors from local yield curves. (2019). Stagnol, Lauren. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00126-4.

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2018Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8.

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2018The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100386.

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2019Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing. (2019). Li, Youwei ; Vigne, Samuel ; Pantelous, Athanasios ; Leung, Melvern. In: MPRA Paper. RePEc:pra:mprapa:101698.

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2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

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

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2019Forecasting 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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2018Calculating joint confidence bands for impulse response functions using highest density regions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1325-3.

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2020Long-term prediction intervals of economic time series. (2020). Wu, W B ; Karmakar, S ; Chud, M. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01689-2.

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2020Realised volatility and parametric estimation of Heston SDEs. (2020). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00427-2.

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

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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1996Which univariate time series model predicts quicker a crisis? The Iberia case 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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2001Outliers and conditional autoregressive heteroscedasticity in time series 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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2004Stochastic volatility models and the Taylor effect In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Using auxiliary residuals to detect conditional heteroscedasticity in inflation In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
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2008Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis.
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2008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES In: DES - Working Papers. Statistics and Econometrics. WS.
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2009GARCH models with leverage effect : differences and similarities In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market In: DES - Working Papers. Statistics and Econometrics. WS.
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2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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2013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics.
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2012Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters.(2012) In: Computational Statistics & Data Analysis.
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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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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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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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2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
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2005Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting.
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2017Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting.
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