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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

Spurious and hidden volatility

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002440961

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

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

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

Conditionally heteroscedastic unobserved component models and their reduced form

Pellegrini, Santiago; Ruiz, Esther; Espasa Terrades, Antoni - In: Economics letters 107 (2010) 2, pp. 88-90

Persistent link: https://www.econbiz.de/10003991459

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