Edit Profile (opens in new tab) Ruiz, Esther Co-Author Distance Author ID: ruiz.esther Published as: Ruiz, Esther Documents Indexed: 26 Publications since 1994 1 Contribution as Editor Co-Authors: 22 Co-Authors with 25 Joint Publications 231 Co-Co-Authors all top 5 Co-Authors 2 single-authored 3 Carnero, M. Angeles 3 Peña, Daniel 3 Pérez, Ana 3 Rodríguez, Alejandro F. 3 Veiga, Helena 2 Broto, Carmen 2 Fresoli, Diego E. 2 Harvey, Andrew C. 2 Hotta, Luiz Koodi 2 Pascual, Lorenzo 2 Poncela, Pilar 2 Romo, Juan J. 2 Shephard, Neil 2 Trucíos, Carlos 1 Espasa, Antoni 1 González-Rivera, Gloria 1 Mazzeu, João Henrique G. 1 Pellegrini, Santiago 1 Pollock, D. Stephen G. 1 Proietti, Tommaso 1 Rodríguez, Julio 1 Weinert, Howard L. all top 5 Serials 7 Computational Statistics and Data Analysis 3 Journal of Time Series Analysis 3 Economics Letters 2 Journal of Econometrics 2 Estadística 2 Journal of Statistical Computation and Simulation 2 Studies in Nonlinear Dynamics and Econometrics 1 The Review of Economic Studies 1 Econometric Reviews 1 Statistica Sinica 1 Foundations and Trends in Econometrics all top 5 Fields 27 Statistics (62-XX) 6 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Numerical analysis (65-XX) 1 General and overarching topics; collections (00-XX) 1 Probability theory and stochastic processes (60-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 13 Fields 317 Statistics (62-XX) 125 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 46 Numerical analysis (65-XX) 30 Probability theory and stochastic processes (60-XX) 6 Systems theory; control (93-XX) 3 General and overarching topics; collections (00-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Computer science (68-XX) 3 Biology and other natural sciences (92-XX) 2 Operations research, mathematical programming (90-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Geophysics (86-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year