Esther Ruiz
Names
Identifer
Contact
Affiliations
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Universidad Carlos III de Madrid
/ Departamento de Estadistica
Research profile
author of:
- Expecting the unexpected: economic growth under stress (RePEc:aah:create:2021-06)
by Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega - Economic activity and climate change (RePEc:arx:papers:2206.03187)
by Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz - Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity (RePEc:arx:papers:2406.14145)
by C. Vladimir Rodr'iguez-Caballero & Esther Ruiz - Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors (RePEc:arx:papers:2407.06883)
by Diego Fresoli & Pilar Poncela & Esther Ruiz - International vulnerability of inflation (RePEc:arx:papers:2410.20628)
by Ignacio Garr'on & C. Vladimir Rodr'iguez-Caballero & Esther Ruiz - Testing for conditional heteroscedasticity in the components of inflation (RePEc:bde:wpaper:0812)
by Carmen Broto & Esther Ruiz - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:402-03)
by Harvey, Andrew C & Ruiz, Esther - Bootstrapping Financial Time Series (RePEc:bla:jecsur:v:16:y:2002:i:3:p:271-300)
by Esther Ruiz & Lorenzo Pascual - Estimation methods for stochastic volatility models: a survey (RePEc:bla:jecsur:v:18:y:2004:i:5:p:613-649)
by Carmen Broto & Esther Ruiz - Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures (RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419)
by João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga - Bootstrap predictive inference for ARIMA processes (RePEc:bla:jtsera:v:25:y:2004:i:4:p:449-465)
by Lorenzo Pascual & Juan Romo & Esther Ruiz - Effects of outliers on the identification and estimation of GARCH models (RePEc:bla:jtsera:v:28:y:2007:i:4:p:471-497)
by M. Angeles Carnero & Daniel Peña & Esther Ruiz - Bootstrap prediction intervals in state–space models (RePEc:bla:jtsera:v:30:y:2009:i:2:p:167-178)
by Alejandro Rodriguez & Esther Ruiz - Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors (RePEc:bla:jtsera:v:46:y:2025:i:2:p:258-285)
by João F. Caldeira & Werley C. Cordeiro & Esther Ruiz & André A.P. Santos - Accurate Confidence Regions for Principal Components Factors (RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453)
by Javier Maldonado & Esther Ruiz - Testing for Conditional Heteroscedasticity in the Components of Inflation (RePEc:bpj:sndecm:v:13:y:2009:i:2:n:4)
by Broto Carmen & Ruiz Esther - Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models (RePEc:bpj:sndecm:v:16:y:2012:i:3:n:1)
by Ruiz Esther & Pérez Ana - Quasi-Maximum Likelihood Estimation of Stochastic Variance Models (RePEc:cep:stiecm:244)
by Esther Ruiz - Unknown item RePEc:cte:dsrepe:2944 (paper)
- Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional (RePEc:cte:dsrepe:3648)
by Lorenzo, Fernando - Relaciones dinámicas en el mercado internacional de carne de vacuno (RePEc:cte:dsrepe:3672)
by Hernández, Nuria & Pañeda, Cándido - Modelos de memoria larga para series económicas y financieras (RePEc:cte:dsrepe:ds010101)
by Pérez, Ana - Unknown item RePEc:cte:wbrepe:7083 (paper)
- Forecasting returns and volatilities in GARCH processes using the bootstrap (RePEc:cte:wsrepe:10059)
by Pascual, Lorenzo - A Bootstrap Approach for Generalized Autocontour Testing (RePEc:cte:wsrepe:23457)
by González-Rivera, Gloria & Veiga, Helena - Unknown item RePEc:cte:wsrepe:23974 (paper)
- Comparing Forecasts of Extremely Large Conditional Covariance Matrices (RePEc:cte:wsrepe:29291)
by Moura, Guilherme V. & Santos, André A. P. - Which univariate time series model predicts quicker a crisis? The Iberia case (RePEc:cte:wsrepe:4545)
by Lorenzo, Fernando - Unknown item RePEc:cte:wsrepe:5708 (paper)
- Bootstrap Predictive Inference for Arima Processes (RePEc:cte:wsrepe:6283)
by Pascual, Lorenzo - Effects of parameter estimation on prediction densities a bootstrap approach (RePEc:cte:wsrepe:6304)
by Pascual, Lorenzo - Finite sample properties of a QML estimator of stochastic volatility models with long memory (RePEc:cte:wsrepe:6360)
by Pérez, Ana - Bootstrap prediction intervals for power-transformed time series (RePEc:cte:wsrepe:ws010503)
by Pascual, Lorenzo - Outliers and conditional autoregressive heteroscedasticity in time series (RePEc:cte:wsrepe:ws010704)
by Carnero, María Ángeles - Is stochastic volatility more flexible than garch? (RePEc:cte:wsrepe:ws010805)
by Carnero, María Ángeles - Properties of the sample autocorrelations in autoregressive stochastic volatllity models (RePEc:cte:wsrepe:ws011208)
by Pérez, Ana - Asymmetric long memory GARCH: a reply to Hwang's model (RePEc:cte:wsrepe:ws016229)
by Pérez, Ana - Estimation methods for stochastic volatility models: a survey (RePEc:cte:wsrepe:ws025414)
by Broto, Carmen - Unobserved component models with asymmetric conditional variances (RePEc:cte:wsrepe:ws032003)
by Broto, Carmen - An overview of probabilistic and time series models in finance (RePEc:cte:wsrepe:ws032405)
by Romera, Rosario - Detecting level shifts in the presence of conditional heteroscedasticity (RePEc:cte:wsrepe:ws036313)
by Carnero, María Ángeles - A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities (RePEc:cte:wsrepe:ws036716)
by Rodríguez, Julio - Spurious and hidden volatility (RePEc:cte:wsrepe:ws042007)
by Carnero, María Ángeles - Stochastic volatility models and the Taylor effect (RePEc:cte:wsrepe:ws046315)
by Mora Galán, Alberto & Pérez, Ana - Using auxiliary residuals to detect conditional heteroscedasticity in inflation (RePEc:cte:wsrepe:ws060402)
by Broto, Carmen - Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH (RePEc:cte:wsrepe:ws066016)
by Veiga, Helena - Unknown item RePEc:cte:wsrepe:ws072706 (paper)
- Bootstrap prediction intervals in State Space models (RePEc:cte:wsrepe:ws081104)
by Rodríguez, Alejandro - Measuring financial risk : comparison of alternative procedures to estimate VaR and ES (RePEc:cte:wsrepe:ws087326)
by Nieto, María Rosa - GARCH models with leverage effect : differences and similarities (RePEc:cte:wsrepe:ws090302)
by Rodríguez, Mª José - Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market (RePEc:cte:wsrepe:ws092809)
by Alva, Kenedy - Comparing univariate and multivariate models to forecast portfolio value-at-risk (RePEc:cte:wsrepe:ws097222)
by Santos, André A. P. & Nogales, Francisco J. - Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters (RePEc:cte:wsrepe:ws100301)
by Rodríguez, Alejandro - Bootstrap prediction intervals for VaR and ES in the context of GARCH models (RePEc:cte:wsrepe:ws102814)
by Nieto, María Rosa - Comparing sample and plug-in moments in asymmetric Garch Models (RePEc:cte:wsrepe:ws104125)
by Rodríguez, Mª José - Bootstrap forecast of multivariate VAR models without using the backward representation (RePEc:cte:wsrepe:ws113426)
by Pascual, Lorenzo & Fresoli, Diego Eduardo - More is not always better : back to the Kalman filter in dynamic factor models (RePEc:cte:wsrepe:ws122317)
by Poncela, Pilar - Unknown item RePEc:cte:wsrepe:ws131110 (paper)
- The uncertainty of conditional returns, volatilities and correlations in DCC models (RePEc:cte:wsrepe:ws140202)
by Fresoli, Diego Eduardo - Identification of asymmetric conditional heteroscedasticity in the presence of outliers (RePEc:cte:wsrepe:ws141912)
by Carnero Fernández, María Ángeles & Pérez, Ana - Unknown item RePEc:cte:wsrepe:ws142618 (paper)
- Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment (RePEc:cte:wsrepe:ws1502)
by Poncela, Pilar - Model uncertainty and the forecast accuracy of ARMA models: A survey (RePEc:cte:wsrepe:ws1508)
by Veiga, Helena - MGARCH models: tradeoff between feasibility and flexibility (RePEc:cte:wsrepe:ws1516)
by Almeida, Daniel de & Hotta, Luiz - Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk (RePEc:cte:wsrepe:ws1523)
by Hotta, Luiz & Trucíos, Carlos - Determining the number of factors after stationary univariate transformations (RePEc:cte:wsrepe:ws1602)
by Corona, Francisco & Poncela, Maria Pilar - Effects of Level Outliers on the Identification and Estimation of GARCH Models (RePEc:ecm:ausm04:21)
by E. Ruiz & M.A. Carnero & D. Pereira - Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations (RePEc:eee:appene:v:123:y:2014:i:c:p:281-291)
by Ruiz, E. & Ferro, V.R. & de Riva, J. & Moreno, D. & Palomar, J. - The uncertainty of conditional returns, volatilities and correlations in DCC models (RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185)
by Fresoli, Diego E. & Ruiz, Esther - Unobserved component models with asymmetric conditional variances (RePEc:eee:csdana:v:50:y:2006:i:9:p:2146-2166)
by Broto, Carmen & Ruiz, Esther - Bootstrap prediction for returns and volatilities in GARCH models (RePEc:eee:csdana:v:50:y:2006:i:9:p:2293-2312)
by Pascual, Lorenzo & Romo, Juan & Ruiz, Esther - Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (RePEc:eee:csdana:v:52:y:2008:i:6:p:2846-2862)
by Ruiz, Esther & Veiga, Helena - A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (RePEc:eee:csdana:v:53:y:2009:i:10:p:3593-3600)
by Pérez, Ana & Ruiz, Esther & Veiga, Helena - Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters (RePEc:eee:csdana:v:56:y:2012:i:1:p:62-74)
by Rodríguez, Alejandro & Ruiz, Esther - Conditionally heteroscedastic unobserved component models and their reduced form (RePEc:eee:ecolet:v:107:y:2010:i:2:p:88-90)
by Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni - Estimating GARCH volatility in the presence of outliers (RePEc:eee:ecolet:v:114:y:2012:i:1:p:86-90)
by Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther - Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models (RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719)
by Fresoli, Diego & Poncela, Pilar & Ruiz, Esther - Finite sample properties of a QML estimator of stochastic volatility models with long memory (RePEc:eee:ecolet:v:70:y:2001:i:2:p:157-164)
by Perez, Ana & Ruiz, Esther - Asymmetric long memory GARCH: a reply to Hwang's model (RePEc:eee:ecolet:v:78:y:2003:i:3:p:415-422)
by Ruiz, Esther & Perez, Ana - Unobserved component time series models with Arch disturbances (RePEc:eee:econom:v:52:y:1992:i:1-2:p:129-157)
by Harvey, Andrew & Ruiz, Esther & Sentana, Enrique - Quasi-maximum likelihood estimation of stochastic volatility models (RePEc:eee:econom:v:63:y:1994:i:1:p:289-306)
by Ruiz, Esther - QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen (RePEc:eee:econom:v:76:y:1997:i:1-2:p:405-405)
by Ruiz, Esther - Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation (RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105)
by Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena - Effects of parameter estimation on prediction densities: a bootstrap approach (RePEc:eee:intfor:v:17:y:2001:i:1:p:83-103)
by Pascual, Lorenzo & Romo, Juan & Ruiz, Esther - Bootstrap prediction intervals for power-transformed time series (RePEc:eee:intfor:v:21:y:2005:i:2:p:219-235)
by Pascual, Lorenzo & Romo, Juan & Ruiz, Esther - Introduction to nonlinearities, business cycles, and forecasting (RePEc:eee:intfor:v:21:y:2005:i:4:p:623-625)
by Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther - Prediction intervals in conditionally heteroscedastic time series with stochastic components (RePEc:eee:intfor:v:27:y::i:2:p:308-319)
by Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni - Prediction intervals in conditionally heteroscedastic time series with stochastic components (RePEc:eee:intfor:v:27:y:2011:i:2:p:308-319)
by Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni - Bootstrap multi-step forecasts of non-Gaussian VAR models (RePEc:eee:intfor:v:31:y:2015:i:3:p:834-848)
by Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo - Frontiers in VaR forecasting and backtesting (RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501)
by Nieto, Maria Rosa & Ruiz, Esther - Threshold stochastic volatility: Properties and forecasting (RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123)
by Mao, Xiuping & Ruiz, Esther & Veiga, Helena - MGARCH models: Trade-off between feasibility and flexibility (RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63)
by de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther - Growth in stress (RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966)
by González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther - 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial (RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337)
by Escribano, Alvaro & Peña, Daniel & Ruiz, Esther - Factor extraction using Kalman filter and smoothing: This is not just another survey (RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425)
by Poncela, Pilar & Ruiz, Esther & Miranda, Karen - Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485)
by Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther - Optimal portfolios with minimum capital requirements (RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942)
by Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van - Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment (RePEc:eme:aecozz:s0731-905320150000035010)
by Pilar Poncela & Esther Ruiz - Modelos de memoria larga para series económicas y financieras (RePEc:iec:inveco:v:26:y:2002:i:3:p:395-445)
by Ana Pérez & Esther Ruiz - Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity (RePEc:ivi:wpasad:2004-06)
by M. Angeles Carnero & Daniel Peña & Esther Ruiz - Spurious And Hidden Volatility (RePEc:ivi:wpasad:2004-45)
by M. Angeles Carnero & Daniel Peña & Esther Ruiz - Estimating and Forecasting GARCH Volatility in the Presence of Outiers (RePEc:ivi:wpasad:2008-13)
by M. Angeles Carnero & Daniel Peña & Esther Ruiz - Estimating Non-stationary Common Factors: Implications for Risk Sharing (RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9)
by Francisco Corona & Pilar Poncela & Esther Ruiz - Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components (RePEc:now:fnteco:0800000039)
by Esther Ruiz & Pilar Poncela - Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models (RePEc:oup:jfinec:v:1:y:2003:i:3:p:420-444)
by Ana Pérez & Esther Ruiz - Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities (RePEc:oup:jfinec:v:10:y:2012:i:4:p:637-668)
by María José Rodríguez & Esther Ruiz - Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk (RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441)
by André A. P. Santos & Francisco J. Nogales & Esther Ruiz - Multivariate Stochastic Variance Models (RePEc:oup:restud:v:61:y:1994:i:2:p:247-264.)
by Andrew Harvey & Esther Ruiz & Neil Shephard - Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility (RePEc:sce:scecf9:231)
by Rosario Romera & Esther Ruiz - Determining the number of factors after stationary univariate transformations (RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5)
by Francisco Corona & Pilar Poncela & Esther Ruiz - The factor structure of exchange rates volatility: global and intermittent factors (RePEc:spr:empeco:v:67:y:2024:i:1:d:10.1007_s00181-023-02542-3)
by Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz - Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain (RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02673-1)
by Aránzazu Juan & Pilar Poncela & Esther Ruiz - Dynamic factor models: Does the specification matter? (RePEc:spr:series:v:13:y:2022:i:1:d:10.1007_s13209-021-00248-2)
by Karen Miranda & Pilar Poncela & Esther Ruiz - Identification of asymmetric conditional heteroscedasticity in the presence of outliers (RePEc:spr:series:v:7:y:2016:i:1:d:10.1007_s13209-015-0131-4)
by M. Angeles Carnero & Ana Pérez & Esther Ruiz - A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities (RePEc:taf:emetrv:v:39:y:2020:i:10:p:971-990)
by João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga - Stock market regulations and international financial integration: the case of Spain (RePEc:taf:eurjfi:v:1:y:1995:i:4:p:367-382)
by J. I. Pena & E. Ruiz - A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities (RePEc:ucr:wpaper:201709)
by Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga - Growth in Stress (RePEc:ucr:wpaper:201805)
by Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente - Prediction Regions for Interval-valued Time Series (RePEc:ucr:wpaper:201817)
by Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz - Prediction Regions for Interval-valued Time Series (RePEc:ucr:wpaper:201921)
by Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz - Expecting the unexpected: economic growth under stress (RePEc:ucr:wpaper:202106)
by Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz - Expecting the unexpected: Stressed scenarios for economic growth (RePEc:ucr:wpaper:202314)
by Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz - Prediction with univariate time series models: The Iberia case (RePEc:ude:wpaper:0298)
by Ester Ruiz & Fernando Lorenzo - The relation between the level and uncertainty of inflation (RePEc:ude:wpaper:0698)
by Ester Ruiz & Fernando Lorenzo - Prediction regions for interval‐valued time series (RePEc:wly:japmet:v:35:y:2020:i:4:p:373-390)
by Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz - Expecting the unexpected: Stressed scenarios for economic growth (RePEc:wly:japmet:v:39:y:2024:i:5:p:926-942)
by Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz - A comment on the dynamic factor model with dynamic factors (RePEc:zbw:ifwedp:20207)
by Poncela, Pilar & Ruiz, Esther