Esther Ruiz

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

This page was built for person: Esther Ruiz