17
H index
23
i10 index
1738
Citations
Esther Ruiz : Citation Profile
Universidad Carlos III de Madrid | RESEARCH PRODUCTION: 57 Articles 68 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1992 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Esther Ruiz. | Is cited by:
| Cites to:
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Main data
Where Esther Ruiz has published?
Recent works citing Esther Ruiz (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
| 2024 | Factor-augmented sparse MIDAS regression for nowcasting. (2023). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362. Full description at Econpapers || Download paper |
| 2024 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper |
| 2025 | Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Bootstrap prediction inference of nonlinear autoregressive models. (2024). Politis, Dimitris N ; Wu, Kejin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:800-822. Full description at Econpapers || Download paper |
| 2024 | A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887. Full description at Econpapers || Download paper |
| 2024 | The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991. Full description at Econpapers || Download paper |
| 2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers || Download paper |
| 2024 | A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701. Full description at Econpapers || Download paper |
| 2024 | Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482. Full description at Econpapers || Download paper |
| 2024 | Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; An, Ran ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494. Full description at Econpapers || Download paper |
| 2024 | Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389. Full description at Econpapers || Download paper |
| 2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. Full description at Econpapers || Download paper |
| 2024 | The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Qizi, Madina Mansur ; Khajimuratov, Nizomjon Shukurullaevich ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich ; Hasanov, Akram Shavkatovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062. Full description at Econpapers || Download paper |
| 2024 | Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953. Full description at Econpapers || Download paper |
| 2024 | Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408. Full description at Econpapers || Download paper |
| 2024 | Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776. Full description at Econpapers || Download paper |
| 2024 | Factor-augmented forecasting in big data. (2024). Bae, Juhee. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1660-1688. Full description at Econpapers || Download paper |
| 2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
| 2024 | The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Maqsood, Arfa ; Yaqoob, Tanzeela. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333. Full description at Econpapers || Download paper |
| 2024 | The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548. Full description at Econpapers || Download paper |
| 2025 | The quantile-based empirical likelihood for the difference of quantiles. (2025). Liu, Pengfei ; Dai, Lichun ; Yang, Guangren. In: Statistics & Probability Letters. RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002219. Full description at Econpapers || Download paper |
| 2024 | Foreign economic policy uncertainty and U.S. equity returns. (2024). Jahan-Parvar, Mohammad ; Kitsul, Yuriy ; Rahman, Jamil ; Wilson, Beth Anne. In: International Finance Discussion Papers. RePEc:fip:fedgif:1401. Full description at Econpapers || Download paper |
| 2024 | A Sequential Importance Sampling for Estimating Multi-Period Tail Risk. (2024). Kim, Sunggon ; Seo, Ye-Ji. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:201-:d:1543264. Full description at Econpapers || Download paper |
| 2024 | Perceived shocks and impulse responses. (2024). Smetanina, Katja ; Lu, Jason ; Giacomini, Raffaella. In: IFS Working Papers. RePEc:ifs:ifsewp:cwp21/24. Full description at Econpapers || Download paper |
| 2025 | The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501. Full description at Econpapers || Download paper |
| 2025 | Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x. Full description at Econpapers || Download paper |
| 2024 | Multivariate Modeling of Precipitation-Induced Home Insurance Risks Using Data Depth. (2024). Dey, Asim K ; Lyubchich, Vyacheslav ; Gel, Yulia R. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:29:y:2024:i:1:d:10.1007_s13253-023-00554-1. Full description at Econpapers || Download paper |
| 2024 | A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543. Full description at Econpapers || Download paper |
| 2024 | Empirical prediction intervals for additive Holt–Winters methods under misspecification. (2024). Yau, Chun Yip ; Tang, Xinyi ; Yang, Boning. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:754-770. Full description at Econpapers || Download paper |
Works by Esther Ruiz:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2021 | Expecting the unexpected: economic growth under stress In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Expecting the unexpected: economic growth under stress.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Economic activity and climate change In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | International vulnerability of inflation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Testing for conditional heteroscedasticity in the components of inflation In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Testing for Conditional Heteroscedasticity in the Components of Inflation.(2009) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 1 |
| 2002 | Bootstrapping Financial Time Series In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 30 |
| 2004 | Estimation methods for stochastic volatility models: a survey In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 99 |
| 2002 | Estimation methods for stochastic volatility models: a survey.(2002) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 99 | paper | |
| 2018 | UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 1 |
| 2004 | Bootstrap predictive inference for ARIMA processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 33 |
| 1999 | Bootstrap Predictive Inference for Arima Processes.(1999) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2007 | Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 55 |
| 2009 | Bootstrap prediction intervals in state–space models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
| 2008 | Bootstrap prediction intervals in State Space models.(2008) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2025 | Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2021 | Accurate Confidence Regions for Principal Components Factors In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2012 | Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1992 | Quasi-Maximum Likelihood Estimation of Stochastic Variance Models In: STICERD - Econometrics Paper Series. [Citation analysis] | paper | 1 |
| 1994 | Modelos para series temporales heterocedásticas In: DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS. [Full Text][Citation analysis] | paper | 1 |
| 1997 | Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional In: DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Relaciones dinámicas en el mercado internacional de carne de vacuno In: DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Modelos de memoria larga para series económicas y financieras In: DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Modelos de memoria larga para series económicas y financieras.(2002) In: Investigaciones Economicas. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1994 | Stock market regulations and international financial integration: the case of Spain In: DEE - Working Papers. Business Economics. WB. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Forecasting returns and volatilities in GARCH processes using the bootstrap In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2016 | A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Accurate Subsampling Intervals of Principal Components Factors In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Comparing Forecasts of Extremely Large Conditional Covariance Matrices In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Which univariate time series model predicts quicker a crisis? The Iberia case In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Stochastic volatility versus autoregressive conditional heteroscedasticity In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Effects of parameter estimation on prediction densities a bootstrap approach In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 31 |
| 2001 | Effects of parameter estimation on prediction densities: a bootstrap approach.(2001) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 1999 | Finite sample properties of a QML estimator of stochastic volatility models with long memory In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 23 |
| 2001 | Finite sample properties of a QML estimator of stochastic volatility models with long memory.(2001) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2001 | Bootstrap prediction intervals for power-transformed time series In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 13 |
| 2005 | Bootstrap prediction intervals for power-transformed time series.(2005) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2001 | Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 24 |
| 2001 | Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Properties of the sample autocorrelations in autoregressive stochastic volatllity models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Asymmetric long memory GARCH: a reply to Hwangs model In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Asymmetric long memory GARCH: a reply to Hwangs model.(2003) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2003 | Unobserved component models with asymmetric conditional variances. In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 10 |
| 2006 | Unobserved component models with asymmetric conditional variances.(2006) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2003 | An overview of probabilistic and time series models in finance In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2004 | DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.(2004) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2003 | A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities. In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2004 | SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2004 | Stochastic volatility models and the Taylor effect In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Using auxiliary residuals to detect conditional heteroscedasticity in inflation In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 27 |
| 2008 | Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH.(2008) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2007 | The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Measuring financial risk : comparison of alternative procedures to estimate VaR and ES In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 8 |
| 2009 | GARCH models with leverage effect : differences and similarities In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 45 |
| 2013 | Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk.(2013) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | article | |
| 2010 | Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2010 | Bootstrap prediction intervals for VaR and ES in the context of GARCH models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Comparing sample and plug-in moments in asymmetric Garch Models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bootstrap forecast of multivariate VAR models without using the backward representation In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 3 |
| 2012 | More is not always better : back to the Kalman filter in dynamic factor models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 5 |
| 2013 | One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2014 | The uncertainty of conditional returns, volatilities and correlations in DCC models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 4 |
| 2016 | The uncertainty of conditional returns, volatilities and correlations in DCC models.(2016) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Identification of asymmetric conditional heteroscedasticity in the presence of outliers In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Identification of asymmetric conditional heteroscedasticity in the presence of outliers.(2016) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2014 | Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | chapter | |
| 2015 | Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 27 |
| 2018 | MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2015 | Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Determining the number of factors after stationary univariate transformations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Determining the number of factors after stationary univariate transformations.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2004 | Effects of Level Outliers on the Identification and Estimation of GARCH Models In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations In: Applied Energy. [Full Text][Citation analysis] | article | 13 |
| 2006 | Bootstrap prediction for returns and volatilities in GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 52 |
| 2009 | A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2010 | Conditionally heteroscedastic unobserved component models and their reduced form In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2012 | Estimating GARCH volatility in the presence of outliers In: Economics Letters. [Full Text][Citation analysis] | article | 40 |
| 2023 | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 209 |
| 1994 | Quasi-maximum likelihood estimation of stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 116 |
| 1997 | QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 6 |
| 2005 | Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2011 | Prediction intervals in conditionally heteroscedastic time series with stochastic components In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2011 | Prediction intervals in conditionally heteroscedastic time series with stochastic components.(2011) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2015 | Bootstrap multi-step forecasts of non-Gaussian VAR models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2016 | Frontiers in VaR forecasting and backtesting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 71 |
| 2017 | Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
| 2019 | Growth in stress In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2018 | Growth in Stress.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2021 | Factor extraction using Kalman filter and smoothing: This is not just another survey In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
| 2020 | Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
| 2012 | Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
| 2008 | Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Estimating Non-stationary Common Factors: Implications for Risk Sharing In: Computational Economics. [Full Text][Citation analysis] | article | 9 |
| 2022 | Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components In: Foundations and Trends(R) in Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2012 | Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 35 |
| 2003 | Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models In: Journal of Financial Econometrics. [Citation analysis] | article | 5 |
| 1994 | Multivariate Stochastic Variance Models In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 594 |
| 1999 | Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 0 |
| 2024 | The factor structure of exchange rates volatility: global and intermittent factors In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2025 | Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2022 | Dynamic factor models: Does the specification matter? In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 0 |
| 2020 | A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2017 | A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1995 | Stock market regulations and international financial integration: the case of Spain In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2018 | Prediction Regions for Interval-valued Time Series In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Prediction regions for interval‐valued time series.(2020) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2023 | Expecting the unexpected: Stressed scenarios for economic growth In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Expecting the unexpected: Stressed scenarios for economic growth.(2024) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 1997 | Prediction with univariate time series models: The Iberia case In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] | paper | 0 |
| 1998 | The relation between the level and uncertainty of inflation In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] | paper | 0 |
| 2020 | A comment on the dynamic factor model with dynamic factors In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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