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Changes in the dependence structure of AROPE components : evidence from the Spanish regions

García-Gómez, César; Pérez, Ana; Prieto Alaiz, Mercedes - In: Hacienda pública española : review of public economics 248 (2024) 1, pp. 21-51

Persistent link: https://www.econbiz.de/10015405708

Comment on "Kernel density estimation for time series data"

Pérez, Ana - In: International journal of forecasting 28 (2012) 1, pp. 15-19

Persistent link: https://www.econbiz.de/10009580817

Finite sample properties of a QML estimator of stochastic volatility models with long memory

Pérez, Ana; Ruiz, Esther - In: Economics letters 70 (2001) 2, pp. 157-164

Persistent link: https://www.econbiz.de/10001537967

Asymmetric long memory GARCH : a reply to Hwang's model

Ruiz, Esther; Pérez, Ana - In: Economics letters 78 (2003) 3, pp. 415-422

Persistent link: https://www.econbiz.de/10001741157

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

Maximally autocorrelated power transformations : a closer look at the properties of stochastic volatility models

Ruiz, Esther; Pérez, Ana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10009656089

A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models

Mármol, Francesc; Pérez, Ana; Reboredo, Juan Carlos - In: Anales de estudios económicos y empresariales 18 (2008), pp. 69-89

Persistent link: https://www.econbiz.de/10009538335

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

Persistent link: https://www.econbiz.de/10011458810

Outliers and misleading leverage effect in asymmetric GARCH-type models

Carnero, M. Angeles; Pérez, Ana - 2018 - Version: January 2018

Persistent link: https://www.econbiz.de/10011819298

Leverage effect in energy futures revisited

Carnero, M. Angeles; Pérez, Ana - In: Energy economics 82 (2019), pp. 237-252

Persistent link: https://www.econbiz.de/10012173930