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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~language:"eng"
~person:"McAleer, Michael"
~person:"Ruiz, Esther"
~type_genre:"Article in journal"
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McAleer, Michael
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of economic surveys
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International journal of forecasting
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ECONIS (ZBW)
6
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1
Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.
;
Nogales, Francisco J.
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
Saved in:
2
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
3
Revisiting several popular GARCH models with leverage effect : differences and similarities
Rodríguez, María José
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 637-668
Persistent link: https://www.econbiz.de/10009671894
Saved in:
4
Dynamic asymmetric GARCH
Caporin, Massimiliano
;
McAleer, Michael
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 385-412
Persistent link: https://www.econbiz.de/10003354083
Saved in:
5
Persistence and kurtosis in GARCH and stochastic volatility models
Carnero, M. Angeles
;
Peña, Daniel
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 319-342
Persistent link: https://www.econbiz.de/10002214313
Saved in:
6
Properties of the sample autocorrelations of nonlinear transformations in long-memory stochastic volatility models
Pérez, Ana
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
3
,
pp. 420-444
Persistent link: https://www.econbiz.de/10002214167
Saved in:
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