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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
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Bayesian inference applied to dynamic Nelson-Siegel model with stochastic volatility
Caldeira, João F.; Laurini, Márcio Poletti; Portugal, … - In: Brazilian review of econometrics : BRE ; the review of … 30 (2010) 1, pp. 123-161
Persistent link: https://www.econbiz.de/10009704732
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A macro-finance term structure model with multivariate stochastic volatility
Laurini, Márcio Poletti; Caldeira, João F. - In: International review of economics & finance : IREF 44 (2016), pp. 68-90
Persistent link: https://www.econbiz.de/10011626008
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Quasi-maximum likelihood estimation of stochastic variance models
Ruiz, Esther - 1992
Persistent link: https://www.econbiz.de/10000839003
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Estimation methods for stochastic volatility models : a survey
Broto, Carmen; Ruiz, Esther - In: Journal of economic surveys 18 (2004) 5, pp. 613-649
Persistent link: https://www.econbiz.de/10002437597
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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
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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
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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
Persistent link: https://www.econbiz.de/10009247501
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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