Gloria González-Rivera

University of California, Riverside (UCR) - Department of Economics

Associate Professor

900 University Avenue

4136 Sproul Hall

Riverside, CA 92521

United States

SCHOLARLY PAPERS

5

DOWNLOADS

308

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Monitoring Financial Intermediaries with Subordinated Debt: A Dynamic Signal Model for Bank Risk

AFA 2003 Washington, DC Meetings
Number of pages: 32 Posted: 30 Nov 2002
Gloria González-Rivera and David B. Nickerson
University of California, Riverside (UCR) - Department of Economics and Ryerson University, TGSM
Downloads 308 (98,013)
Citation 2

Abstract:

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2.

Autocontours: Dynamic Specification Testing

Journal of Business and Economic Statistics, Vol. 29, No. 1, pp. 186-200, January 2011
Posted: 23 Nov 2011
Gloria González-Rivera, Zeynep Senyuz and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics, Board of Governors of the Federal Reserve System and Federal Reserve Board

Abstract:

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Autoregressive conditional duration model, Bootstrap, Parameter uncertainty, Probability contour plot

3.

Optimality of the Riskmetrics Model

Finance Research Letters, Vol. 4, No. 3, 2007
Posted: 23 Nov 2011 Last Revised: 24 Nov 2011
Gloria González-Rivera, Tae-Hwy Lee and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics, University of California, Riverside (UCR) - Department of Economics and Federal Reserve Board

Abstract:

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Estimation, Forecasting, Loss functions, Optimality, VaR

4.

Multivariate Autocontours for Specification Testing in Multivariate GARCH Models

VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT ENGLE, Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson, eds., Chapter 11, pp. 213-230, Oxford University Press, January 2010
Posted: 23 Nov 2011
Gloria González-Rivera and Emre Yoldas
University of California, Riverside (UCR) - Department of Economics and Federal Reserve Board

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Probability Contour Plot, Autocontour, Specification Test, Parameter Uncertainty

5.

Autocontour-Based Evaluation of Multivariate Predictive Densities

International Journal of Forecasting, Forthcoming
Posted: 23 Nov 2011
Emre Yoldas and Gloria González-Rivera
Federal Reserve Board and University of California, Riverside (UCR) - Department of Economics

Abstract:

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Probability Contour Plot, Probability Integral Transformation, Parameter Uncertainty, Forecasting Schemes