Person:132024

Available identifiers

zbMath Open ruiz.estherDBLP09/4350WikidataQ100999273 ScholiaQ100999273MaRDI QIDQ132024

List of research outcomes

Publication	Date of Publication	Type
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models	2023-09-12	Paper
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models	2023-03-13	Paper
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components	2023-01-23	Paper
A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities	2022-03-04	Paper
Bootstrap Prediction in Unobserved Component Models	2020-07-14	Paper
Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk	2020-04-23	Paper
Robust bootstrap forecast densities for GARCH returns and volatilities	2020-04-22	Paper
The uncertainty of conditional returns, volatilities and correlations in DCC models	2018-08-15	Paper
Robust bootstrap forecast densities for GARCH returns and volatilities	2017-08-04	Paper
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters	2012-06-20	Paper
Bootstrap prediction intervals in state-space models	2011-02-22	Paper
Testing for Conditional Heteroscedasticity in the Components of Inflation	2010-07-02	Paper
Conditionally heteroscedastic unobserved component models and their reduced form	2010-05-27	Paper
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect	2010-04-01	Paper
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH	2009-06-12	Paper
Unobserved component models with asymmetric conditional variances	2008-12-11	Paper
Bootstrap prediction for returns and volatilities in GARCH models	2008-12-11	Paper
Effects of outliers on the identification and estimation of GARCH models	2007-12-16	Paper
https://portal.mardi4nfdi.de/entity/Q5312871	2005-08-25	Paper
Bootstrap predictive inference for ARIMA processes	2005-05-20	Paper
https://portal.mardi4nfdi.de/entity/Q4458419	2004-03-17	Paper
https://portal.mardi4nfdi.de/entity/Q4458441	2004-03-17	Paper
Finite sample properties of a QML estimator of stochastic volatility models with long memory.	2001-08-20	Paper
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen	1998-11-10	Paper
Quasi-maximum likelihood estimation of stochastic volatility models	1995-11-28	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
country of citizenship	Spain
employer	Carlos III University of Madrid
family name	Ruíz
field of work	Statistics
given name	Esther
instance of	human
languages spoken, written or signed	Spanish
occupation	researcher
second family name in Spanish name	Ortega
sex or gender	female

This page was built for person: Esther Ruiz Ortega