Esther Ruiz

Universidad Carlos III de Madrid - Department of Statistics and Econometrics

c/ Madrid 126

Getafe (Madrid), 28903

Spain

SCHOLARLY PAPERS

13

DOWNLOADS

1,100

SSRN CITATIONS
Rank 11,395

SSRN RANKINGS

Top 11,395

in Total Papers Citations

33

CROSSREF CITATIONS

73

Scholarly Papers (13)

1.

Optimal Portfolios with Minimum Capital Requirements

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 55 Posted: 04 May 2010 Last Revised: 17 Jul 2012
University of Edinburgh - Edinburgh Business School, Universidad Carlos III de Madrid - Department of Statistics, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 303 (141,162)

Abstract:

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Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

2.

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Journal of Financial Econometrics, Forthcoming
Number of pages: 44 Posted: 17 Jul 2012 Last Revised: 18 Aug 2013
University of Edinburgh - Edinburgh Business School, Universidad Carlos III de Madrid - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 234 (182,680)
Citation 3

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Backtesting, Basel Accords, market risk, composite likelihood, risk management, volatility

3.

Comparing High Dimensional Conditional Covariance Matrices: Implications for Portfolio Selection

Number of pages: 45 Posted: 14 Aug 2018 Last Revised: 20 Apr 2020
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, University of Edinburgh - Edinburgh Business School and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 177 (235,400)
Citation 5

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GARCH, Minimum variance portfolio, Mean-variance portfolio, Risk-adjusted returns, Stochastic volatility, Turnover-constrained portfolios

4.

Asymmetric Stochastic Volatility Models: Properties and ABC Filter-based Maximum Likelihood Estimation

Number of pages: 56 Posted: 03 Jan 2015 Last Revised: 15 Dec 2016
Zhongnan University of Economics and Law - School of Finance, SKEMA Business School, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 171 (242,398)
Citation 17

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ABC filtering, Leverage effect, SV models, Value-at-Risk

5.

Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk

Number of pages: 25 Posted: 17 May 2017
University of Campinas (UNICAMP) - Department of Statistics, University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 91 (384,774)
Citation 2

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Forecast Density, MGARCH, Minimum Variance Portfolio, Outliers, VaR.

6.

Testing for Conditional Heteroscedasticity in the Components of Inflation

Banco de España Working Paper No. 0812
Number of pages: 36 Posted: 19 Jun 2008
Carmen Broto and Esther Ruiz
Banco de España and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 58 (491,175)
Citation 17

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Leverage effect, QGARCH, seasonality, structural time series models, unobserved component

7.

Estimation Methods for Stochastic Volatility Models: A Survey

Journal of Economic Surveys, Vol. 18, No. 5, pp. 613-649, December 2004
Number of pages: 38 Posted: 12 Nov 2004
Carmen Broto and Esther Ruiz
Banco de España and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 30 (630,000)
Citation 4

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Bayesian procedures, GMM, Indirect inference, Kalman filter, Leverage effect, Long-memory, Maximum likelihood, Monte Carlo Markov Chain, QML, SV-M

8.

Effects of Outliers on the Identification and Estimation of GARCH Models

Journal of Time Series Analysis, Vol. 28, No. 4, pp. 471-497, July 2007
Number of pages: 27 Posted: 18 Jun 2007
M. Angeles Carnero, Daniel Peña and Esther Ruiz
Universidad de Alicante - Department of Economic Analysis, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 19 (710,099)
Citation 1

Abstract:

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9.

Bootstrap Predictive Inference for Arima Processes

Number of pages: 17 Posted: 13 Aug 2004
Esther Ruiz, Lorenzo Pascual and Juan Romo
Universidad Carlos III de Madrid - Department of Statistics and Econometrics, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Downloads 13 (761,782)
Citation 1

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Forecasting, non-Gaussian distributions, prediction density, resampling methods, simulation

10.

Bootstrap Prediction Intervals in State–Space Models

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 167-178, March 2009
Number of pages: 12 Posted: 27 Apr 2009
Esther Ruiz and Alejandro Rodriguez
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid
Downloads 3 (864,103)
Citation 1

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11.

Uncertainty and Density Forecasts of ARMA Models: Comparison of Asymptotic, Bayesian, and Bootstrap Procedures

Journal of Economic Surveys, Vol. 32, Issue 2, pp. 388-419, 2018
Number of pages: 32 Posted: 13 Mar 2018
Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 1 (891,577)
Citation 1

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Bayesian forecast, Bootstrap, Fan charts, Model misspecification, Parameter uncertainty

Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 420-444, 2003
Posted: 29 Feb 2008
Ana Pérez and Esther Ruiz
University of Valladolid - Faculty of Law and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

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absolute transformation, Box-Ljung text, conditional heteroscedasticity, log-squared transformation, Peña Rodriguez test, squared observations

Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

Journal of Financial Econometrics, Vol. 1, pp. 420-444, 2003
Posted: 29 Feb 2008
Ana Pérez and Esther Ruiz
University of Valladolid - Faculty of Law and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

Abstract:

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absolute transformation, Box-Ljung text, conditional heteroscedasticity, log-squared transformation, Peña Rodriguez test, squared observations

13.

Persistence and Kurtosis in GARCH and Stochastic Volatility Models

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 319-342, 2004
Posted: 29 Feb 2008
M. Angeles Carnero, Daniel Peña and Esther Ruiz
Universidad de Alicante - Department of Economic Analysis, Universidad Carlos III de Madrid and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

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ARSV, EGARCH, leverage effect, QGARCH