17
H index
22
i10 index
1714
Citations
Universidad Carlos III de Madrid | 17 H index 22 i10 index 1714 Citations RESEARCH PRODUCTION: 54 Articles 68 Papers 1 Chapters RESEARCH ACTIVITY: 32 years (1992 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pru212 |
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: |
Year | Title of citing document | |
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2023 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
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 | |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper | |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper | |
2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. 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 | |
2023 | sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125. 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 | |
2024 | 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 | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. 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 | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387. Full description at Econpapers || Download paper | |
2023 | An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569. Full description at Econpapers || Download paper | |
2023 | Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968. Full description at Econpapers || Download paper | |
2023 | Economic activity and C02 emissions in Spain. (2023). Ortega, Esther Ruiz ; Poncela, Maria Pilar ; de Juan, Aranzazu. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37975. 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 | |
2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper | |
2023 | Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998. Full description at Econpapers || Download paper | |
2023 | Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries. (2023). Castillo, Paul ; Vassallo, Renato ; Rodriguez, Gabriel. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001141. 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 | |
2023 | A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177. Full description at Econpapers || Download paper | |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper | |
2023 | A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778. Full description at Econpapers || Download paper | |
2023 | Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165. 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 | |
2023 | High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Anderson, Brian ; Deistler, Manfred ; Lippi, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. 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 | |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
2023 | Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493. Full description at Econpapers || Download paper | |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper | |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper | |
2023 | Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774. Full description at Econpapers || Download paper | |
2023 | How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722. Full description at Econpapers || Download paper | |
2023 | Performance analysis of ionic liquids for simultaneous cooling and heating absorption system. (2023). Kang, Yong Tae ; Lee, Nam Soo ; Uk, Hyun ; Choi, Hyung Won ; Park, Sejun. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223003997. Full description at Econpapers || Download paper | |
2023 | Thermodynamic screening and analysis of ionic liquids as absorbents paired with low-GWP refrigerants in absorption refrigeration systems. (2023). Zhang, Xiaosong ; Liu, Jian ; Chen, Tao ; Cai, Liang. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s036054422301808x. 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 | |
2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper | |
2023 | Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546. Full description at Econpapers || Download paper | |
2023 | On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis. (2023). Miljkovic, Dragan ; Vatsa, Puneet. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003502. Full description at Econpapers || Download paper | |
2023 | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x. 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 | |
2023 | Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection. (2023). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:144-169. Full description at Econpapers || Download paper | |
2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper | |
2023 | Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430. Full description at Econpapers || Download paper | |
2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper | |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. 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 | 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 | |
2023 | Time-varying exchange rate pass-through into terms of trade. (2023). Dainauskas, Justas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001067. 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 | |
2023 | A flexible INAR(1) time series model with dependent zero-inflated count series and medical contagious cases. (2023). Mohammadpour, M ; Bakouch, Hassan S ; Shirozhan, M. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:206:y:2023:i:c:p:216-230. Full description at Econpapers || Download paper | |
2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper | |
2023 | Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094. Full description at Econpapers || Download paper | |
2023 | Generalized Method of Moments Estimation of Realized Stochastic Volatility Model. (2023). Wang, LI ; Zhang, Luwen. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:8:p:377-:d:1218639. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776. Full description at Econpapers || Download paper | |
2023 | Time-varying ambiguity shocks and business cycles. (2023). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: KIER Working Papers. RePEc:kyo:wpaper:1094. Full description at Econpapers || Download paper | |
2023 | Estimation of final standings in football competitions with a premature ending: the case of COVID-19. (2023). Koopman, Siem Jan ; Lit, R ; Gorgi, P. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00415-7. Full description at Econpapers || Download paper | |
2023 | Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z. Full description at Econpapers || Download paper | |
2023 | Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models. (2023). Ravishanker, Nalini ; Chen, Ming-Hui ; Hu, Guanyu. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:2:d:10.1007_s00180-022-01266-9. Full description at Econpapers || Download paper | |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper | |
2023 | Does climate change affect economic data?. (2023). Choi, IN. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02363-4. Full description at Econpapers || Download paper | |
2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper | |
2023 | Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus. (2023). Ensor, Katherine B ; Raath, Kim C. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00292-3. Full description at Econpapers || Download paper | |
2023 | Performance Improvement of LSTM-based Deep Learning Model for Streamflow Forecasting Using Kalman Filtering. (2023). Taheri, Somayeh ; Nia, Alireza Moghaddam ; Asadi, Ali ; Moradi, Saba ; Ostadkalayeh, Fatemeh Bakhshi. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:37:y:2023:i:8:d:10.1007_s11269-023-03492-2. Full description at Econpapers || Download paper | |
2023 | Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression. (2023). Moussa, Karim ; Koopman, Siem Jan ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230016. Full description at Econpapers || Download paper | |
2023 | Optimal Markowitz Portfolio Using Returns Forecasted with Time Series and Machine Learning Models. (2023). Ślepaczuk, Robert ; Lusarczyk, Damian. In: Working Papers. RePEc:war:wpaper:2023-17. Full description at Econpapers || Download paper | |
2023 | Stock exchange volatility forecasting under market stress with MIDAS regression. (2023). Karan, Mehmet Baha ; Kors, Murat. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:295-306. Full description at Econpapers || Download paper | |
2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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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 |
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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 | 30 |
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: 30 | 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 | 2 |
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 | 44 |
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: 44 | 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 | 24 |
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: 24 | 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 | 3 |
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 | 39 |
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 | 210 |
1994 | Quasi-maximum likelihood estimation of stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 115 |
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 | 69 |
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 | 9 |
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 | 5 |
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 | 592 |
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 |
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 | 0 |
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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