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A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities

Mazzeu, João Henrique Gonçalves; González-Rivera, Gloria - In: Econometric reviews 39 (2020) 10, pp. 971-990

Persistent link: https://www.econbiz.de/10012406197

González-Rivera, Gloria; Maldonado, Javier; Ruiz, Esther - In: International journal of forecasting 35 (2019) 3, pp. 948-966

Persistent link: https://www.econbiz.de/10012305193

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/10002687759

Factor extraction in dynamic factor models : Kalman filter versus principal components

Ruiz, Esther; Poncela, Pilar - 2022

Persistent link: https://www.econbiz.de/10014239837

Direct versus iterated multiperiod Value-at-Risk forecasts

Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949

Persistent link: https://www.econbiz.de/10014337985

Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors

Caldeira, João F.; Cordeiro, Werley C.; Ruiz, Esther; … - 2023

Persistent link: https://www.econbiz.de/10014371839

Dynamic factor models : does the specification matter?

Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428

Dynamic factor models (DFMs), which assume the existence of a small number of unobserved underlying factors common to a large number of variables, are very popular among empirical macroeconomists. Factors can be extracted using either nonparametric principal components or parametric Kalman...

Persistent link: https://www.econbiz.de/10013326908

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa Terrades, Antoni - In: International journal of forecasting 27 (2011) 2, pp. 308-319

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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

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