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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
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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
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Ignoring Cross-Correlated Idiosyncratic Components When Extracting Factors in Dynamic Factor Models1
Fresoli, Diego; Poncela, Pilar; Ruiz, Esther - 2023
In economics, Principal Components, its generalized version that takes into account heteroscedasticity, and Kalman lter and smoothing procedures are among the most popular procedures for factor extraction in the context of Dynamic Factor Models. This paper analyses the consequences on point and...
Persistent link: https://www.econbiz.de/10014260759
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Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293
Persistent link: https://www.econbiz.de/10012817747
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Modelos para series temporales heterocedásticas
Ruiz, Esther - In: Información comercial española / Cuadernos económicos (1994), pp. 73-108
Persistent link: https://www.econbiz.de/10001339984
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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
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Bootstrap predictive inference for ARIMA processes
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther - 1998
Persistent link: https://www.econbiz.de/10001398363
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The relation between the level and uncertainty of inflation
Ruiz, Esther; Lorenzo, F. - 1998
Persistent link: https://www.econbiz.de/10001380364
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Multivariate stochastic variance models
Harvey, Andrew C. - In: The review of economic studies 61 (1994) 2, pp. 247-264
Persistent link: https://www.econbiz.de/10001160740
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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/10001549777