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Author ID: ruiz.esther Recent zbMATH articles by "Ruiz, Esther"
Published as: Ruiz, Esther

Publications by Year

Citations contained in zbMATH Open

19 Publications have been cited 411 times in 344 Documents Cited by Year
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
198
1994
Quasi-maximum likelihood estimation of stochastic volatility models. Zbl 0825.62949
Ruiz, Esther
46
1994
Bootstrap prediction for returns and volatilities in GARCH models. Zbl 1445.62314
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
45
2006
Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
32
2004
Effects of outliers on the identification and estimation of GARCH models. Zbl 1164.62041
Carnero, M. Ángeles.; Peña, Daniel; Ruiz, Esther
16
2007
Bootstrap prediction intervals in state-space models. Zbl 1224.62086
Rodriguez, Alejandro; Ruiz, Esther
15
2009
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters. Zbl 1239.62112
Rodríguez, Alejandro; Ruiz, Esther
13
2012
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH. Zbl 1452.62787
Ruiz, Esther; Veiga, Helena
10
2008
Finite sample properties of a QML estimator of stochastic volatility models with long memory. Zbl 1110.62335
Pérez, Ana; Ruiz, Esther
10
2001
Unobserved component models with asymmetric conditional variances. Zbl 1445.62221
Broto, Carmen; Ruiz, Esther
7
2006
A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities. Zbl 1070.62097
Rodríguez, Julio; Ruiz, Esther
4
2005
Outliers and conditional autoregressive heteroscedasticity in time series. Zbl 1034.62077
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther
3
2001
Robust bootstrap forecast densities for GARCH returns and volatilities. Zbl 07192114
Trucíos, Carlos; Hotta, Luiz K.; Ruiz, Esther
3
2017
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Zbl 1453.62176
Pérez, Ana; Ruiz, Esther; Veiga, Helena
2
2009
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen. Zbl 0900.62633
Ruiz, Esther
2
1997
The uncertainty of conditional returns, volatilities and correlations in DCC models. Zbl 1466.62070
Fresoli, Diego E.; Ruiz, Esther
2
2016
Outliers and conditional autoregressive heteroscedasticity in time series. Zbl 1092.62581
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther
1
2001
Testing for conditional heteroscedasticity in the components of inflation. Zbl 1193.91113
Broto, Carmen; Ruiz, Esther
1
2009
Factor extraction in dynamic factor models: Kalman filter versus principal components. Zbl 07644938
Ruiz, Esther; Poncela, Pilar
1
2022
Factor extraction in dynamic factor models: Kalman filter versus principal components. Zbl 07644938
Ruiz, Esther; Poncela, Pilar
1
2022
Robust bootstrap forecast densities for GARCH returns and volatilities. Zbl 07192114
Trucíos, Carlos; Hotta, Luiz K.; Ruiz, Esther
3
2017
The uncertainty of conditional returns, volatilities and correlations in DCC models. Zbl 1466.62070
Fresoli, Diego E.; Ruiz, Esther
2
2016
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters. Zbl 1239.62112
Rodríguez, Alejandro; Ruiz, Esther
13
2012
Bootstrap prediction intervals in state-space models. Zbl 1224.62086
Rodriguez, Alejandro; Ruiz, Esther
15
2009
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Zbl 1453.62176
Pérez, Ana; Ruiz, Esther; Veiga, Helena
2
2009
Testing for conditional heteroscedasticity in the components of inflation. Zbl 1193.91113
Broto, Carmen; Ruiz, Esther
1
2009
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH. Zbl 1452.62787
Ruiz, Esther; Veiga, Helena
10
2008
Effects of outliers on the identification and estimation of GARCH models. Zbl 1164.62041
Carnero, M. Ángeles.; Peña, Daniel; Ruiz, Esther
16
2007
Bootstrap prediction for returns and volatilities in GARCH models. Zbl 1445.62314
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
45
2006
Unobserved component models with asymmetric conditional variances. Zbl 1445.62221
Broto, Carmen; Ruiz, Esther
7
2006
A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities. Zbl 1070.62097
Rodríguez, Julio; Ruiz, Esther
4
2005
Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
32
2004
Finite sample properties of a QML estimator of stochastic volatility models with long memory. Zbl 1110.62335
Pérez, Ana; Ruiz, Esther
10
2001
Outliers and conditional autoregressive heteroscedasticity in time series. Zbl 1034.62077
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther
3
2001
Outliers and conditional autoregressive heteroscedasticity in time series. Zbl 1092.62581
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther
1
2001
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen. Zbl 0900.62633
Ruiz, Esther
2
1997
Multivariate stochastic variance models. Zbl 0805.90026
Harvey, Andrew; Ruiz, Esther; Shephard, Neil
198
1994
Quasi-maximum likelihood estimation of stochastic volatility models. Zbl 0825.62949
Ruiz, Esther
46
1994
all top 5

Cited by 582 Authors

14 Ruiz, Esther
11 Asai, Manabu
10 McAleer, Michael
7 Veiga, Helena
6 Alonso, Andrés M.
6 Yu, Jun
5 Koopman, Siem Jan
5 Mohammadpour, Mehrnaz
5 Shephard, Neil
4 Lee, Youngjo
4 Peña, Daniel
4 Romo, Juan J.
4 Shirozhan, Masoumeh
3 Arteche, Josu
3 Chib, Siddhartha
3 Dellaportas, Petros
3 Franco, Glaura C.
3 Hotta, Luiz Koodi
3 Joe, Harry
3 Kohn, Robert J.
3 Liesenfeld, Roman
3 Lopes, Hedibert Freitas
3 Martin, Gael M.
3 Omori, Yasuhiro
3 Politis, Dimitris Nicolas
3 Ravishanker, Nalini
3 Renault, Eric
3 Rodríguez, Alejandro F.
3 Skaug, Hans Julius
3 Tsai, Henghsiu
3 Wang, Dehui
3 Wang, Joanna J. J.
3 Zaffaroni, Paolo
2 Andersen, Torben G.
2 Beutner, Eric
2 Beyaztas, Beste Hamiye
2 Beyaztas, Ufuk
2 Bollerslev, Tim
2 Bos, Charles S.
2 Breidt, F. Jay
2 Calzolari, Giorgio
2 Carvalho, Carlos Marinho
2 Chan, Jennifer So Kuen
2 Chang, Chialin
2 Chen, Bei
2 Crato, Nuno
2 del Castillo, Joan
2 Elliott, Robert James
2 Ensor, Katherine Bennett
2 Favetto, Benjamin
2 Fresoli, Diego E.
2 Gel, Yulia R.
2 Gil-Alana, Luis Alberiko
2 Golosnoy, Vasyl
2 Gourieroux, Christian
2 Grane, Aurea
2 Gribisch, Bastian
2 Grossi, Luigi
2 Haas, Markus
2 Hamdi, Fayçal
2 Heinemann, Alexander
2 Hidalgo, Javier
2 Ho, Hwai-Chung
2 Hsiao, Cheng
2 Jensen, Mark J.
2 Kapetanios, George
2 Kirby, Chris
2 Selland Kleppe, Tore
2 Krupskii, Pavel
2 Laurini, Márcio Poletti
2 Li, Han
2 Lin, Edward M. H.
2 Lin, Jinguan
2 Lopes, Sílvia R. C.
2 Maheu, John M.
2 Maki, Daiki
2 Meddahi, Nour
2 Meyer, Renate
2 Mittnik, Stefan
2 Nardari, Federico
2 Pan, Li
2 Paolella, Marc S.
2 Paparoditis, Efstathios
2 Perera, Indeewara
2 Pérez, Ana
2 Pitt, Michael K.
2 Poncela, Pilar
2 Prass, Taiane Schaedler
2 Ramezani, Sakineh
2 Ray, Bonnie K.
2 Samson, Adeline
2 Shang, Han Lin
2 Silva, Maria Eduarda
2 Siu, Tak Kuen
2 Smeekes, Stephan
2 So, Mike K. P.
2 Sørensen, Bent E.
2 Tan, Linda S. L.
2 Trucíos, Carlos
2 Tsionas, Mike G.
...and 482 more Authors
all top 5

Cited in 89 Serials

53 Journal of Econometrics
44 Computational Statistics and Data Analysis
22 Econometric Reviews
15 Communications in Statistics. Simulation and Computation
15 Journal of Statistical Computation and Simulation
11 Journal of Statistical Planning and Inference
11 Journal of Time Series Analysis
11 Quantitative Finance
10 Journal of Applied Statistics
8 Economics Letters
6 Journal of Economic Dynamics & Control
5 Statistics & Probability Letters
5 Econometric Theory
4 Mathematics and Computers in Simulation
4 Communications in Statistics. Theory and Methods
4 Studies in Nonlinear Dynamics and Econometrics
4 The Econometrics Journal
4 Applied Stochastic Models in Business and Industry
4 Statistical Methods and Applications
4 Bayesian Analysis
3 Scandinavian Journal of Statistics
3 The Annals of Statistics
3 Annals of Operations Research
3 Computational Statistics
3 Statistical Papers
3 International Journal of Theoretical and Applied Finance
3 AStA. Advances in Statistical Analysis
3 Journal of Computational and Graphical Statistics
2 Annals of the Institute of Statistical Mathematics
2 Journal of the American Statistical Association
2 Journal of Multivariate Analysis
2 Test
2 Finance and Stochastics
2 Statistical Modelling
2 Journal of the Korean Statistical Society
2 Sankhyā. Series B
2 Journal of Time Series Econometrics
1 The Canadian Journal of Statistics
1 International Journal of Systems Science
1 Mathematical Biosciences
1 Metrika
1 Physica A
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Computation
1 International Statistical Review
1 Journal of Computational and Applied Mathematics
1 Naval Research Logistics
1 Statistica Neerlandica
1 Journal of the Japan Statistical Society
1 Insurance Mathematics & Economics
1 Operations Research Letters
1 Revista Colombiana de Estadística
1 Physica D
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistics
1 Statistical Science
1 International Journal of Approximate Reasoning
1 Neural Networks
1 Neural Computation
1 Automation and Remote Control
1 European Journal of Operational Research
1 Statistica Sinica
1 Mathematical Problems in Engineering
1 Mathematical Finance
1 Nonlinear Dynamics
1 Far East Journal of Theoretical Statistics
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Journal of the Royal Statistical Society. Series C. Applied Statistics
1 Journal of Interdisciplinary Mathematics
1 Extremes
1 Statistical Inference for Stochastic Processes
1 Probability in the Engineering and Informational Sciences
1 Methodology and Computing in Applied Probability
1 Brazilian Journal of Probability and Statistics
1 Scandinavian Actuarial Journal
1 North American Actuarial Journal
1 Hacettepe Journal of Mathematics and Statistics
1 Asia-Pacific Financial Markets
1 SORT. Statistics and Operations Research Transactions
1 Journal of Forecasting
1 Computational & Mathematical Methods in Medicine
1 Electronic Journal of Statistics
1 Foundations and Trends in Econometrics
1 Statistics Surveys
1 Journal of Probability and Statistics
1 Sankhyā. Series A
1 Statistics and Computing
1 Journal of the Japan Statistical Society. Japanese Issue
1 SN Operations Research Forum

Citations by Year