Esther Ruiz : Citation Profile

Universidad Carlos III de Madrid

17

H index

24

i10 index

1793

Citations

RESEARCH PRODUCTION:

59

Articles

71

Papers

5

Chapters

RESEARCH ACTIVITY:

   33 years (1992 - 2025). See details.
   Cites by year: 54
   Journals where Esther Ruiz has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 81 (4.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pru212
   Updated: 2026-02-21    RAS profile: 2026-01-13    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Rodriguez Caballero, Carlos (6)

Gonzalez-Rivera, Gloria (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Esther Ruiz.

Is cited by:

Darné, Olivier (44)

Asai, Manabu (37)

Shephard, Neil (27)

Hallin, Marc (27)

Sentana, Enrique (23)

Veiga, Helena (23)

Omori, Yasuhiro (22)

Koopman, Siem Jan (22)

Barigozzi, Matteo (22)

Fiorentini, Gabriele (21)

Trucíos, Carlos (19)

Cites to:

Reichlin, Lucrezia (125)

Bollerslev, Tim (124)

Giannone, Domenico (94)

Engle, Robert (88)

Bai, Jushan (82)

Harvey, Andrew (78)

Diebold, Francis (77)

Ng, Serena (73)

Shephard, Neil (65)

Watson, Mark (58)

Koopman, Siem Jan (51)

Main data

Where Esther Ruiz has published?

Journals with more than one article published# docs
International Journal of Forecasting12
Computational Statistics & Data Analysis6
Economics Letters5
Journal of Time Series Analysis4
Journal of Economic Surveys4
Journal of Econometrics3
Journal of Financial Econometrics3
Empirical Economics3
SERIEs: Journal of the Spanish Economic Association2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Applied Econometrics2
Journal of Banking & Finance2

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
Papers / arXiv.org7
Working Papers / University of California at Riverside, Department of Economics5
DES - Documentos de Trabajo. Estadística y Econometría. DS / Universidad Carlos III de Madrid. Departamento de Estadística4
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie)3
Documentos de Trabajo (working papers) / Department of Economics - dECON2

Recent works citing Esther Ruiz (2026 and 2025)

YearTitle of citing document
2026A GMM approach to estimate the roughness of stochastic volatility. (2022). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

Full description at Econpapers || Download paper

2025Factor-augmented sparse MIDAS regressions with an application to nowcasting. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2306.13362.

Full description at Econpapers || Download paper

2025The Canonical Decomposition of Factor Models: Weak Factors are Everywhere. (2025). Barigozzi, Matteo ; Gersing, Philipp ; Deistler, Manfred ; Rust, Christoph. In: Papers. RePEc:arx:papers:2307.10067.

Full description at Econpapers || Download paper

2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

Full description at Econpapers || Download paper

2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

Full description at Econpapers || Download paper

2025Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework. (2025). Ozsoy, Ahmet Umur. In: Papers. RePEc:arx:papers:2511.14980.

Full description at Econpapers || Download paper

2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

Full description at Econpapers || Download paper

2025A Market-Based Approach to Reverse Stress Testing the Financial System. (2025). Ojea Ferreiro, Javier. In: Staff Working Papers. RePEc:bca:bocawp:25-32.

Full description at Econpapers || Download paper

2025Multivariate Monitoring of Gross Domestic Product and Inflation Rate in Ghana. (2025). Azebre, Abu Ibrahim ; Mashud, Wahab ; Mohammed, Mutala. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:12:y:2025:i:11:p:956-981.

Full description at Econpapers || Download paper

2025Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso. (2025). Estef, Catalina ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1041.

Full description at Econpapers || Download paper

2025Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005.

Full description at Econpapers || Download paper

2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

Full description at Econpapers || Download paper

2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

Full description at Econpapers || Download paper

2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

Full description at Econpapers || Download paper

2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

Full description at Econpapers || Download paper

2025An Automatic Portmanteau Test For Nonlinear Dependence. (2025). Grivas, Charisios. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:71-83.

Full description at Econpapers || Download paper

2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

Full description at Econpapers || Download paper

2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

Full description at Econpapers || Download paper

2025Non-stationary financial risk factors and macroeconomic vulnerability for the UK. (2025). Szendrei, Tibor ; Varga, Katalin. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007981.

Full description at Econpapers || Download paper

2025What goes around comes around: The US climate-economic cycle. (2025). Boss, Konstantin ; Testa, Alessandra. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:85:y:2025:i:c:s0164070425000175.

Full description at Econpapers || Download paper

2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

Full description at Econpapers || Download paper

2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

Full description at Econpapers || Download paper

2025The 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

2025Local Estimation for Option Pricing: Improving Forecasts with Market State Information. (2025). Oh, Dong Hwan ; Kim, Hyung Joo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-76.

Full description at Econpapers || Download paper

2025Macroeconomic Determinants of the Interest Rate Term Structure: A Svensson Model Analysis. (2025). Benetti, Cristiane ; Varanda, Jos Monteiro ; Mori, Rogrio. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:4:p:108-:d:1634862.

Full description at Econpapers || Download paper

2025Identification and Estimation in Linear Models with Endogeneity Through Time-Varying Volatility. (2025). Hwu, Shih-Tang. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1849-:d:1670290.

Full description at Econpapers || Download paper

2025Volume-driven time-of-day effects in intraday volatility models. (2025). Batista, Igor Ferreira ; Virbickait, Audron ; Nguyen, Hoang ; Lopes, Hedibert Freitas. In: Working Papers. RePEc:hhs:oruesi:2025_014.

Full description at Econpapers || Download paper

2025Fast Computation of Randomly Walking Volatility with Chained Gamma Distributions. (2025). Zhang, DI ; Zhou, Youzhou. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10777-0.

Full description at Econpapers || Download paper

2025The 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

2025Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin. (2025). Chatrath, Arjun ; Hatamerad, Saman ; Raffiee, Kambiz ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:75-105.

Full description at Econpapers || Download paper

2025Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty. (2025). Raffiee, Kambiz ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:15-44.

Full description at Econpapers || Download paper

2025Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S.. (2025). Kresta, Ales ; Hatamerad, Saman ; Adrangi, Bahram ; Tichy, Tomas. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:77-110.

Full description at Econpapers || Download paper

2025Volatility forecasting: a new GARCH-type model for fuzzy sets-valued time series. (2025). Dai, Xingyu ; Cerqueti, Roy ; Wang, Qunwei ; Xiao, Ling. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05746-z.

Full description at Econpapers || Download paper

2025Forecasting 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

2025Is the Fintech Era Making Us Happy?. (2025). Quoc, Bao Khac ; Le, Van. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:178:y:2025:i:3:d:10.1007_s11205-025-03579-w.

Full description at Econpapers || Download paper

2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

Full description at Econpapers || Download paper

2025Conditional quantile estimation for GARCH model based on mixed-frequency data. (2025). Li, Jiamin ; Cheng, Jianhua ; Zhao, Shishun ; Zhang, Zhenming. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01704-y.

Full description at Econpapers || Download paper

2025Inference and prediction for ARCH time series via innovation distribution function. (2025). Yang, Lijian ; Zhang, Yuan Yuan ; Zhong, Chen. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:1:d:10.1007_s11749-024-00949-3.

Full description at Econpapers || Download paper

2025On the Correlations in Linearized Multivariate Stochastic Volatility Models. (2025). Moussa, Karim. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250021.

Full description at Econpapers || Download paper

Works by Esther Ruiz:

YearTitleTypeCited
2021Expecting the unexpected: economic growth under stress In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2021Expecting the unexpected: economic growth under stress.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2022Economic activity and climate change In: Papers.
[Full Text][Citation analysis]		paper2
2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity In: Papers.
[Full Text][Citation analysis]		paper0
2024Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors In: Papers.
[Full Text][Citation analysis]		paper0
2024International vulnerability of inflation In: Papers.
[Full Text][Citation analysis]		paper0
2025Heterogeneous economic growth vulnerability across Euro Area countries under stressed scenarios In: Papers.
[Full Text][Citation analysis]		paper0
2025FARS: Factor Augmented Regression Scenarios in R In: Papers.
[Full Text][Citation analysis]		paper0
2026Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter In: Papers.
[Full Text][Citation analysis]		paper0
2008Testing for conditional heteroscedasticity in the components of inflation In: Working Papers.
[Full Text][Citation analysis]		paper4
2009Testing 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
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2002Bootstrapping Financial Time Series In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article31
2004Estimation methods for stochastic volatility models: a survey In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article104
2002Estimation 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: 104		paper
2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article1
2023Direct versus iterated multiperiod Value‐at‐Risk forecasts In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article0
2004Bootstrap predictive inference for ARIMA processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article34
1999Bootstrap 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: 34		paper
2007Effects of outliers on the identification and estimation of GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article55
2009Bootstrap prediction intervals in state–space models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2008Bootstrap 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
2025Forecasting 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]		article1
2021Accurate Confidence Regions for Principal Components Factors In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2012Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
1992Quasi-Maximum Likelihood Estimation of Stochastic Variance Models In: STICERD - Econometrics Paper Series.
[Citation analysis]		paper1
1994Modelos para series temporales heterocedásticas In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
[Full Text][Citation analysis]		paper1
1997Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
[Full Text][Citation analysis]		paper0
2000Relaciones dinámicas en el mercado internacional de carne de vacuno In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
[Full Text][Citation analysis]		paper0
2001Modelos de memoria larga para series económicas y financieras In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
[Full Text][Citation analysis]		paper4
2002Modelos 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
1994Stock market regulations and international financial integration: the case of Spain In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]		paper1
1995Stock market regulations and international financial integration: the case of Spain.(1995) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2000Forecasting returns and volatilities in GARCH processes using the bootstrap In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2016A Bootstrap Approach for Generalized Autocontour Testing In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2017Accurate Subsampling Intervals of Principal Components Factors In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1996Which univariate time series model predicts quicker a crisis? The Iberia case In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
1993Stochastic volatility versus autoregressive conditional heteroscedasticity In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
1999Effects of parameter estimation on prediction densities a bootstrap approach In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper31
2001Effects 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
1999Finite 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]		paper23
2001Finite 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
2001Bootstrap prediction intervals for power-transformed time series In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper13
2005Bootstrap 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
2001Outliers and conditional autoregressive heteroscedasticity in time series In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper24
2001Is stochastic volatility more flexible than garch? In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2001Properties of the sample autocorrelations in autoregressive stochastic volatllity models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2001Asymmetric long memory GARCH: a reply to Hwangs model In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2003Asymmetric 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
2003Unobserved component models with asymmetric conditional variances. In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper10
2006Unobserved 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
2003An overview of probabilistic and time series models in finance In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2005An Overview of Probabilistic and Time Series Models in Finance.(2005) In: Springer Books.
[Citation analysis]
This paper has nother version. Agregated cites: 0		chapter
2003Detecting level shifts in the presence of conditional heteroscedasticity. In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
2004DETECTING 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
2003A 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]		paper0
2004Spurious and hidden volatility In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2004SPURIOUS AND HIDDEN VOLATILITY.(2004) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2004Stochastic volatility models and the Taylor effect In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper4
2006Using auxiliary residuals to detect conditional heteroscedasticity in inflation In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper30
2008Modelling 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: 30		article
2007The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper2
2008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper8
2009GARCH models with leverage effect : differences and similarities In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
2009Modelling 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]		paper1
2009Comparing univariate and multivariate models to forecast portfolio value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper47
2013Comparing 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: 47		article
2010Bootstrap 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]		paper4
2012Bootstrap 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
2010Bootstrap prediction intervals for VaR and ES in the context of GARCH models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper1
2010Comparing sample and plug-in moments in asymmetric Garch Models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2011Bootstrap forecast of multivariate VAR models without using the backward representation In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper3
2012More 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]		paper5
2013One for all : nesting asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2014The uncertainty of conditional returns, volatilities and correlations in DCC models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper5
2016The 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: 5		article
2014Identification of asymmetric conditional heteroscedasticity in the presence of outliers In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper7
2016Identification 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
2014Score driven asymmetric stochastic volatility models In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper6
2016Small- 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
2015Model uncertainty and the forecast accuracy of ARMA models: A survey In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper28
2018MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper4
2016Determining the number of factors after stationary univariate transformations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper6
2017Determining 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
2004Effects of Level Outliers on the Identification and Estimation of GARCH Models In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper0
2014Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations In: Applied Energy.
[Full Text][Citation analysis]		article13
2006Bootstrap prediction for returns and volatilities in GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article59
2009A 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]		article6
2010Conditionally heteroscedastic unobserved component models and their reduced form In: Economics Letters.
[Full Text][Citation analysis]		article2
2012Estimating GARCH volatility in the presence of outliers In: Economics Letters.
[Full Text][Citation analysis]		article43
2023Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models In: Economics Letters.
[Full Text][Citation analysis]		article1
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]		article211
1994Quasi-maximum likelihood estimation of stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article120
1997QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation In: Econometrics and Statistics.
[Full Text][Citation analysis]		article8
2005Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2011Prediction intervals in conditionally heteroscedastic time series with stochastic components In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2011Prediction 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
2015Bootstrap multi-step forecasts of non-Gaussian VAR models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2016Frontiers in VaR forecasting and backtesting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article73
2017Threshold stochastic volatility: Properties and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article6
2019Growth in stress In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2018Growth in Stress.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2021Factor extraction using Kalman filter and smoothing: This is not just another survey In: International Journal of Forecasting.
[Full Text][Citation analysis]		article11
2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2012Optimal portfolios with minimum capital requirements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2008Estimating and Forecasting GARCH Volatility in the Presence of Outiers In: Working Papers. Serie AD.
[Full Text][Citation analysis]		paper2
2020Estimating Non-stationary Common Factors: Implications for Risk Sharing In: Computational Economics.
[Full Text][Citation analysis]		article9
2022Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components In: Foundations and Trends(R) in Econometrics.
[Full Text][Citation analysis]		article6
2012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article36
2003Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models In: Journal of Financial Econometrics.
[Citation analysis]		article7
1994Multivariate Stochastic Variance Models In: The Review of Economic Studies.
[Full Text][Citation analysis]		article603
1999Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility In: Computing in Economics and Finance 1999.
[Citation analysis]		paper0
2024The factor structure of exchange rates volatility: global and intermittent factors In: Empirical Economics.
[Full Text][Citation analysis]		article0
2025Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain In: Empirical Economics.
[Full Text][Citation analysis]		article0
2022Dynamic factor models: Does the specification matter? In: SERIEs: Journal of the Spanish Economic Association.
[Full Text][Citation analysis]		article0
2024Common Factors and Common Shocks: A Tale of Three (Close) Signal Extraction Procedures In: Springer Books.
[Citation analysis]		chapter0
2024Structural Breaks and Common Factors In: Springer Books.
[Citation analysis]		chapter0
2010Bootstrap Prediction in Unobserved Component Models In: Springer Books.
[Citation analysis]		chapter0
2020A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2017A 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
2025Economic convergence of Balkan regions towards EU In: Journal of Applied Economics.
[Full Text][Citation analysis]		article0
2018Prediction Regions for Interval-valued Time Series In: Working Papers.
[Full Text][Citation analysis]		paper5
2020Prediction regions for interval‐valued time series.(2020) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2023Expecting the unexpected: Stressed scenarios for economic growth In: Working Papers.
[Full Text][Citation analysis]		paper2
2024Expecting the unexpected: Stressed scenarios for economic growth.(2024) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
1997Prediction with univariate time series models: The Iberia case In: Documentos de Trabajo (working papers).
[Full Text][Citation analysis]		paper0
1998The relation between the level and uncertainty of inflation In: Documentos de Trabajo (working papers).
[Full Text][Citation analysis]		paper0
2020A comment on the dynamic factor model with dynamic factors In: Economics Discussion Papers.
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team