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Bootstrap multi-step forecasts of non-Gaussian VAR models

Fresoli, Diego; Ruiz, Esther; Pascual, Lorenzo - In: International journal of forecasting 31 (2015) 3, pp. 834-848

Persistent link: https://www.econbiz.de/10011474590

Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

Fresoli, Diego; Poncela, Pilar; Ruiz, Esther - In: Economics letters 230 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014460331

Bootstrap VAR forecasts : The effect of model uncertainties

Fresoli, Diego - In: Journal of Forecasting 41 (2021) 2, pp. 279-293

Persistent link: https://www.econbiz.de/10012632574

Accurate Confidence Regions for Principal Components Factors*

Maldonado, Javier; Ruiz, Esther - In: Oxford Bulletin of Economics and Statistics 83 (2021) 6, pp. 1432-1453

Persistent link: https://www.econbiz.de/10012538360

Prediction regions for interval‐valued time series

Gonzalez‐Rivera, Gloria; Luo, Yun; Ruiz, Esther - In: Journal of Applied Econometrics 35 (2020) 4, pp. 373-390

Persistent link: https://www.econbiz.de/10012189322

Effects of parameter estimation on prediction densities: a bootstrap approach

Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International Journal of Forecasting 17 (2001) 1, pp. 83-103

Persistent link: https://www.econbiz.de/10005428762

Bootstrap prediction intervals for power-transformed time series

Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - In: International Journal of Forecasting 21 (2005) 2, pp. 219-235

Persistent link: https://www.econbiz.de/10005418314

Introduction to nonlinearities, business cycles, and forecasting

Garcia-Ferrer, Antonio; Gooijer, Jan G. De; Poncela, Pilar - In: International Journal of Forecasting 21 (2005) 4, pp. 623-625

Persistent link: https://www.econbiz.de/10005418565

Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities

Rodríguez, María José; Ruiz, Esther - In: Journal of Financial Econometrics 10 (2012) 4, pp. 637-668

In this paper, we analyze five of the most popular models proposed to represent conditional heteroscedasticity with leverage effect, namely, GQARCH, TGARCH, GJR, EGARCH, and APARCH. We show that when the parameters satisfy the positivity, stationarity, and finite kurtosis conditions, the...

Persistent link: https://www.econbiz.de/10010970327

Estimating GARCH volatility in the presence of outliers

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Economics Letters 114 (2012) 1, pp. 86-90

GARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.

Persistent link: https://www.econbiz.de/10011041771