Esther Ruiz

Universidad Carlos III de Madrid - Department of Statistics and Econometrics

c/ Madrid 126

Getafe (Madrid), 28903

Spain

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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Top 10,700

in Total Papers Citations

20

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
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, 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 293 (107,789)

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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
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidad Carlos III de Madrid - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 223 (142,551)
Citation 2

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

3.

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, EDHEC Business School, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 160 (192,563)
Citation 14

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

4.

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

Number of pages: 25 Posted: 17 May 2017
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 72 (336,717)
Citation 1

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

5.

Comparing Forecasts of Extremely Large Conditional Covariance Matrices

Number of pages: 33 Posted: 14 Aug 2018 Last Revised: 30 Nov 2019
Universidade Federal de Santa Catarina (UFSC) - Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 57 (379,946)
Citation 1

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Covariance forecasting, GARCH, Minimum-variance portfolio, Portfolio turnover, Risk-adjusted return, Stochastic volatility

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 50 (403,176)
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 28 (495,844)
Citation 1
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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 17 (560,419)
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9.

Bootstrap Predictive Inference for Arima Processes

Journal of Time Series Analysis, Vol. 25, No. 4, pp. 449-465, July 2004
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 12 (592,336)
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 (654,228)
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 (675,705)
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

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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