ESTHER RUIZ ORTEGA

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M. Angeles CarneroUniversidad de AlicanteAdresse e-mail validée de ua.es
DANIEL PEÑAUniversidad Carlos III de Madrid, SpainAdresse e-mail validée de est-econ.uc3m.es
Helena VeigaUniversidad Carlos III de Madrid and UnideAdresse e-mail validée de est-econ.uc3m.es
Ana Pérez (ORCID:0000-0003-2653-4...Associate Professor of Statistics and Econometrics, Universidad de ValladolidAdresse e-mail validée de uva.es
María Rosa Nieto DelfinUniversidad Anáhuac México NorteAdresse e-mail validée de anahuac.mx
André Portela SantosCUNEFAdresse e-mail validée de cunef.edu
Gloria Gonzalez-RiveraProfessor of EconomicsAdresse e-mail validée de ucr.edu
Carlos Trucíos MazaUniversity of CampinasAdresse e-mail validée de unicamp.br
Antoni EspasaUniversidad Carlos III de MadridAdresse e-mail validée de est-econ.uc3m.es
Francisco J.NogalesFull Professor of Statistics and Optimization, Universidad Carlos III de Madrid, SpainAdresse e-mail validée de uc3m.es
Francisco CoronaInstituto Nacional de Estadística y GeografíaAdresse e-mail validée de inegi.org.mx
Veronika CzellarSKEMA Business SchoolAdresse e-mail validée de skema.edu
Julio Rodriguez PuertaProfesor de Econometria del departamento de Análisis Económico: Economia Cuantitativa de la UAMAdresse e-mail validée de uam.es
João Henrique Gonçalves MazzeuUniversidad Carlos III de MadridAdresse e-mail validée de est-econ.uc3m.es
Dick van DijkProfessor of Financial Econometrics, Erasmus University RotterdamAdresse e-mail validée de ese.eur.nl
Juan Ignacio PeñaCatedratico de Economia Financiera, Universidad Carlos IIIAdresse e-mail validée de eco.uc3m.es

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ESTHER RUIZ ORTEGA

Universidad Carlos III de Madrid

Adresse e-mail validée de est-econ.uc3m.es

Time Series Financial Econometrics Dynamic Factor Models Forecast


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Multivariate stochastic variance models A Harvey, E Ruiz, N Shephard The Review of Economic Studies 61 (2), 247-264, 1994	2119	1994
Quasi-maximum likelihood estimation of stochastic volatility models E Ruiz Journal of econometrics 63 (1), 289-306, 1994	503	1994
Unobserved component time series models with ARCH disturbances A Harvey, E Ruiz, E Sentana Journal of econometrics 52 (1-2), 129-157, 1992	502	1992
Estimation methods for stochastic volatility models: a survey C Broto, E Ruiz Journal of Economic surveys 18 (5), 613-649, 2004	367	2004
Persistence and kurtosis in GARCH and stochastic volatility models MA Carnero, D Peña, E Ruiz Journal of financial econometrics 2 (2), 319-342, 2004	275	2004
Bootstrap prediction for returns and volatilities in GARCH models L Pascual, J Romo, E Ruiz Computational Statistics & Data Analysis 50 (9), 2293-2312, 2006	221	2006
Frontiers in VaR forecasting and backtesting MR Nieto, E Ruiz International Journal of Forecasting 32 (2), 475-501, 2016	168	2016
Bootstrap predictive inference for ARIMA processes L Pascual, J Romo, E Ruiz Journal of Time Series Analysis 25 (4), 449-465, 2004	139	2004
Effects of outliers on the identification and estimation of GARCH models MA Carnero, D Pena, E Ruiz Journal of time series analysis 28 (4), 471-497, 2007	137	2007
Comparing univariate and multivariate models to forecast portfolio value-at-risk AAP Santos, FJ Nogales, E Ruiz Journal of financial econometrics 11 (2), 400-441, 2013	124	2013
Bootstrapping financial time series E Ruiz, L Pascual Journal of Economic Surveys 16 (3), 271-300, 2002	124	2002
Estimating GARCH volatility in the presence of outliers MA Carnero, D Peña, E Ruiz Economics Letters 114 (1), 86-90, 2012	104	2012
Revisiting several popular GARCH models with leverage effect: Differences and similarities MJ Rodríguez, E Ruiz Journal of Financial Econometrics 10 (4), 637-668, 2012	96	2012
MGARCH models: Trade-off between feasibility and flexibility D De Almeida, LK Hotta, E Ruiz International Journal of Forecasting 34 (1), 45-63, 2018	72	2018
Bootstrap prediction intervals in state–space models A Rodriguez, E Ruiz Journal of time series analysis 30 (2), 167-178, 2009	72	2009
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH E Ruiz, H Veiga Computational Statistics & Data Analysis 52 (6), 2846-2862, 2008	67	2008
Effects of parameter estimation on prediction densities: a bootstrap approach L Pascual, J Romo, E Ruiz International Journal of Forecasting 17 (1), 83-103, 2001	67	2001
Bootstrap multi-step forecasts of non-Gaussian VAR models D Fresoli, E Ruiz, L Pascual International Journal of Forecasting 31 (3), 834-848, 2015	42	2015
Optimal portfolios with minimum capital requirements AAP Santos, FJ Nogales, E Ruiz, D Van Dijk Journal of Banking & Finance 36 (7), 1928-1942, 2012	40	2012
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters A Rodriguez, E Ruiz Computational Statistics & Data Analysis 56 (1), 62-74, 2012	39	2012

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