Esther Ruiz

Charles III University of Madrid - Department of Statistics and Econometrics

c/ Madrid 126

Getafe (Madrid), 28903

Spain

  • Charles III University of Madrid - Department of Statistics and Econometrics

SCHOLARLY PAPERS

11

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1,555

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52

Scholarly Papers (11)

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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
Andre A. P. Santos, Francisco J. Nogales, Esther Ruiz and Dick J. C. van Dijk
CUNEF Universidad, Universidad Carlos III de Madrid - Department of Statistics, Charles III University of Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 332 (182,034)
Citation 1

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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
Andre A. P. Santos, Francisco J. Nogales and Esther Ruiz
CUNEF Universidad, Universidad Carlos III de Madrid - Department of Statistics and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 278 (219,523)
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
Guilherme V. Moura, Andre A. P. Santos and Esther Ruiz
Federal University of Santa Catarina (UFSC) - Department of Economics, CUNEF Universidad and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 268 (227,646)
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
Xiuping Mao, Veronika Czellar, Esther Ruiz and Helena Veiga
Zhongnan University of Economics and Law - School of Finance, SKEMA Business School, Charles III University of Madrid - Department of Statistics and Econometrics and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 197 (306,014)
Citation 22

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

5.

Forecasting the Yield Curve: The Role of Additional and Time-Varying Decay Parameters, Conditional Heteroscedasticity, and Macro-Economic Factors

Number of pages: 35 Posted: 02 Aug 2023
João Caldeira, Werley Cordeiro, Esther Ruiz and Andre A. P. Santos
Universidade Federal de Santa Catarina & CNPq, Federal University of Santa Catarina (UFSC), Charles III University of Madrid - Department of Statistics and Econometrics and CUNEF Universidad
Downloads 184 (325,627)
Citation 1

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Dynamic Nelson-Siegel-Svensson model, Time-varying decay parameter, Term Structure, Extended Kalman filter

6.

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

Number of pages: 25 Posted: 17 May 2017
Carlos Trucíos, Luiz Koodi Hotta and Esther Ruiz
University of Campinas (UNICAMP) - Department of Statistics, University of Campinas (UNICAMP) - Department of Statistics and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 125 (447,913)
Citation 3

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

7.

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 Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 87 (576,677)
Citation 17

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

8.

The Factor Structure of Exchange Rates Volatility: Global and Intermittent Factors

Number of pages: 15 Posted: 14 Dec 2022
Massimiliano Caporin, Carlos Vladimir Rodriguez-Caballero and Esther Ruiz
University of Padua - Department of Statistical Sciences, Aarhus University - CREATES and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 56 (725,622)

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Long-memory, Multi-level Dynamic Factor Model, Realized Volatility

9.

Ignoring Cross-Correlated Idiosyncratic Components When Extracting Factors in Dynamic Factor Models1

Number of pages: 12 Posted: 22 Feb 2023
Diego Fresoli, Pilar Poncela and Esther Ruiz
affiliation not provided to SSRN, Universidad Autónoma de Madrid and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 28 (936,605)

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EM algorithm, Kalman lter, Principal Components, State-space model

10.

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

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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 Charles III University of 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 Charles III University of 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

11.

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 Charles III University of Madrid - Department of Statistics and Econometrics

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ARSV, EGARCH, leverage effect, QGARCH