Narrow search
Showing 31 - 40 of 252
Cover Image
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
Cover Image
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
Cover Image
Revisiting several popular GARCH models with leverage effect : differences and similarities
Rodríguez, María José; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 637-668
Persistent link: https://www.econbiz.de/10009671894
Cover Image
Testing for conditional heteroscedasticity in the components of inflation
Broto, Carmen; Ruiz, Esther - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10009513588
Cover Image
Estimating GARCH volatility in the presence of outliers
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Economics letters 114 (2012) 1, pp. 86-90
Persistent link: https://www.econbiz.de/10009517276
Cover Image
Can we evaluate the predictability of financial markets? : editorial
Crato, Nuno; Ruiz, Esther - In: International journal of forecasting 28 (2012) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10009580819
Cover Image
Estimating and forecasting GARCH volatility in the presence of outliers
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2008
Persistent link: https://www.econbiz.de/10003871607
Cover Image
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
Cover Image
Small- versus big-data factor extraction in dynamic factor models : an empirical assessment
Poncela, Pilar; Ruiz, Esther - In: Dynamic factor models, (pp. 401-434). 2016
Persistent link: https://www.econbiz.de/10011448704
Cover Image
Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949