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Publications

by members of

Departamento de Estadistica
Universidad Carlos III de Madrid
Madrid, Spain

(Department of Statistics, Carlos III University of Madrid)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis.Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles | Chapters |

Working papers

Undated material is listed at the end

2017

  1. Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
  2. Lopes Moreira Da Veiga, María Helena & Gonçalves Mazzeu, Joao Henrique & Mariti, Massimo B., 2017. "Modeling and forecasting the oil volatility index," DES - Working Papers. Statistics and Econometrics. WS 25985, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Rodríguez Caballero, Carlos Vladimir & Ergemen, Yunus Emre, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Senra, Eva & Espasa Terrades, Antoni, 2017. "22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis," DES - Working Papers. Statistics and Econometrics. WS 24678, Universidad Carlos III de Madrid. Departamento de Estadística.

2016

  1. Veiga, Helena & Ruiz, Esther & González-Rivera, Gloria & Gonçalves Mazzeu, Joao Henrique, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Wiper, Michael Peter & Lopes Moreira Da Veiga, María Helena & Deng, Yaguo, 2016. "Efficiency evaluation of Spanish hotel chains," DES - Working Papers. Statistics and Econometrics. WS 23897, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
  4. Carlos Vladimir Rodríguez-Caballero, 2016. "Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure," CREATES Research Papers 2016-31, Department of Economics and Business Economics, Aarhus University.
  5. Ruiz, Esther & Poncela, Maria Pilar & Corona, Francisco, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Ruiz Ortega, Esther & Vicente Maldonado, Javier de, 2016. "Measuring the uncertainty of Principal Components in Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Espasa, Antoni & Carlomagno, Guillermo, 2016. "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," DES - Working Papers. Statistics and Econometrics. WS ws1519, Universidad Carlos III de Madrid. Departamento de Estadística.

2015

  1. Veiga, Helena & Ruiz, Esther & Gonçalves Mazzeu, Joao Henrique, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena & Ramos, Sofía B. & Galán, Jorge, 2015. "An analysis of the dynamics of efficiency of mutual funds," DES - Working Papers. Statistics and Econometrics. WS ws1517, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Lillo Rodríguez, Rosa Elvira & Galeano San Miguel, Pedro & Joseph, Esdras, 2015. "Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance," DES - Working Papers. Statistics and Econometrics. WS ws1503, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero, 2015. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," CREATES Research Papers 2015-58, Department of Economics and Business Economics, Aarhus University.
  5. Ruiz, Esther & Trucíos, Carlos & Hotta, Luiz, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Poncela, Pilar & Ruiz, Esther, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Ruiz, Esther & Hotta, Luiz & Almeida, Daniel De, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Espasa, Antoni & Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.

2014

  1. Veiga, Helena & Martín-Barragán, Belén & Grané, Aurea, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Lopes Moreira Da Veiga, María Helena & Ruiz Ortega, Esther & Mao, Xiuping, 2014. "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws142618, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Wiper, Michael Peter & Galeano San Miguel, Pedro & García de la Fuente, Cristina, 2014. "Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations," DES - Working Papers. Statistics and Econometrics. WS ws141711, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Galeano San Miguel, Pedro & Ausín Olivera, María Concepción & Virbickaite, Audrone & Lopes, Hedibert F., 2014. "Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model," DES - Working Papers. Statistics and Econometrics. WS ws142819, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Lillo Rodríguez, Rosa Elvira & Galeano San Miguel, Pedro & Sguera, Carlo, 2014. "Functional outlier detection with a local spatial depth," DES - Working Papers. Statistics and Econometrics. WS ws141410, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Pérez, Ana & Carnero Fernández, María Ángeles & Ruiz Ortega, Esther, 2014. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS ws141912, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Ruiz, Esther & Fresoli, Diego, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.

2013

  1. Veiga, Helena & Ramos, Sofía B. & Martín-Barragán, Belén, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena & Ramos, Sofía B. & Latoeiro, Pedro, 2013. "Predictability of stock market activity using Google search queries," DES - Working Papers. Statistics and Econometrics. WS ws130605, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Lopes Moreira Da Veiga, María Helena & Ruiz Ortega, Esther & Mao, Xiuping, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Wiper, Michael Peter & Lopes Moreira Da Veiga, María Helena & Galán Camacho, Jorge Eduardo, 2013. "Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector," DES - Working Papers. Statistics and Econometrics. WS ws131918, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Audrone Virbickaite & M. Concepci\'on Aus\'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
  6. Lillo Rodríguez, Rosa Elvira & Galeano San Miguel, Pedro & Joseph, Esdras, 2013. "The Mahalanobis distance for functional data with applications to classification," DES - Working Papers. Statistics and Econometrics. WS ws131312, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013. "Polynomial Regressions and Nonsense Inference," CREATES Research Papers 2013-40, Department of Economics and Business Economics, Aarhus University.

2012

  1. Wang, Chih-Wei & Veiga, Helena & Ramos, Sofía B., 2012. "Asymmetric long-run effects in the oil industry," DES - Working Papers. Statistics and Econometrics. WS ws120502, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Wiper, Michael Peter & Lopes Moreira Da Veiga, María Helena & Galán Camacho, Jorge Eduardo, 2012. "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," DES - Working Papers. Statistics and Econometrics. WS ws121007, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Lillo Rodríguez, Rosa Elvira & Galeano San Miguel, Pedro & Sguera, Carlo, 2012. "Spatial depth-based classification for functional data," DES - Working Papers. Statistics and Econometrics. WS ws120906, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Wiper, Michael Peter & Galeano San Miguel, Pedro & García de la Fuente, Cristina, 2012. "Modeling financial time series with the skew slash distribution," DES - Working Papers. Statistics and Econometrics. WS ws121108, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Ruiz, Esther & Poncela, Pilar, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Mayo, Iván & Espasa, Antoni, 2012. "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS ws110805, Universidad Carlos III de Madrid. Departamento de Estadística.

2011

  1. Veiga, Helena & Bretó, Carles, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Espasa, Antoni & Quilis, Enrique M. & Cuevas, Ángel, 2011. "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS ws114130, Universidad Carlos III de Madrid. Departamento de Estadística.

2010

  1. Ruiz, Esther & Rodríguez, Alejandro, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena & Grané, Aurea, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Veiga, Helena & Ramos, Sofía B., 2010. "Asymmetric effects of oil price fluctuations in international stock markets," DES - Working Papers. Statistics and Econometrics. WS ws100904, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ghosh, Pulak & Galeano, Pedro & Ausín, Concepción, 2010. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," DES - Working Papers. Statistics and Econometrics. WS ws103822, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Ruiz, Esther & Rodríguez, Mª José, 2010. "Comparing sample and plug-in moments in asymmetric Garch Models," DES - Working Papers. Statistics and Econometrics. WS ws104125, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Ruiz, Esther & Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Fernando Lorenzo & Alfonso Capurro & Guillermo Carlomagno & Paula Garda & Bibiana Lanzilotta & Gonzalo Zunino, 2010. "Transmisión de la política monetaria a través del crédito. Enfoques microeconómicos," Documentos de trabajo 2010022, Banco Central del Uruguay.
  8. Fernando Lorenzo & Alfonso Capurro & Guillermo Carlomagno & Paula Garda & Bibiana Lanzilotta & Gonzalo Zunino, 2010. "El canal de crédito, evidencias para Uruguay desde una perspectiva macroeconómica," Documentos de trabajo 2010021, Banco Central del Uruguay.

2009

  1. Veiga, Helena & Grané, Aurea, 2009. "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS ws090403, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena & Ramos, Sofia B., 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Lugo, Haydeé & San Miguel, Maxi & Jiménez Recaredo, Raúl José, 2009. "Resistance to learning and the evolution of cooperation," UC3M Working papers. Economics we092012, Universidad Carlos III de Madrid. Departamento de Economía.
  4. Ruiz, Esther & Romo, Juan & Alva, Kenedy, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Ruiz, Esther & Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Ruiz, Esther & Nogales, Francisco J. & Santos, André A. P., 2009. "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws097222, Universidad Carlos III de Madrid. Departamento de Estadística.

2008

  1. Ruiz, Esther & Rodríguez, Alejandro, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Marc Vorsatz & Helena Veiga, 2008. "The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market," Working Papers 2008-26, FEDEA.
  3. Vorsatz, Marc & Veiga, Helena, 2008. "Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator," DES - Working Papers. Statistics and Econometrics. WS ws084110, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ruiz, Esther & Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España;Working Papers Homepage.

2007

  1. Veiga, Helena, 2007. "The sign of asymmetry and the Taylor Effect in stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws070702, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena & Grané, Aurea, 2007. "Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches," DES - Working Papers. Statistics and Econometrics. WS ws074713, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Veiga, Helena & Grané, Aurea, 2007. "The effect of realised volatility on stock returns risk estimates," DES - Working Papers. Statistics and Econometrics. WS ws076316, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Lugo, Haydeé & Sánchez, Angel & Jiménez Recaredo, Raúl José & Cuesta Ruiz, José Antonio, 2007. "Rewarding cooperation in social dilemmas," UC3M Working papers. Economics we075227, Universidad Carlos III de Madrid. Departamento de Economía.
  5. Espasa, Antoni & Ruiz, Esther & Pellegrini, Santiago, 2007. "The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances," DES - Working Papers. Statistics and Econometrics. WS ws072706, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Grafe, Rosmarie & Espasa, Antoni & Cancelo, José Ramón, 2007. "Forecasting from one day to one week ahead for the Spanish system operator," DES - Working Papers. Statistics and Econometrics. WS ws078418, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Rodriguez-Poo Juan & David Veredas & Antoni Espasa, 2007. "Seminonparametric models for financial durations," ULB Institutional Repository 2013/136235, ULB -- Universite Libre de Bruxelles.

2006

  1. Veiga, Helena & Ruiz, Esther, 2006. "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS ws066016, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Veiga, Helena, 2006. "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS ws060101, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Veiga Helena & Vorsatz Marc, 2006. "Price Manipulation in an Experimental Asset Market," Research Memorandum 024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  6. Ruiz, Esther & Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.

2005

  1. Danilo Coelho & Helena Veiga & R?rt Veszteg, 2005. "Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal," UFAE and IAE Working Papers 636.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  2. Haydée Lugo, 2005. "Incentives to Cooperate in Network Formation," Computing in Economics and Finance 2005 181, Society for Computational Economics.
  3. Lugo, H. & Dalmagro & F. Jiménez J., 2005. "Co-evolution of bounded rational agents in adaptive social networks," Computing in Economics and Finance 2005 354, Society for Computational Economics.
  4. Galeano, Pedro & Ausín, Concepción, 2005. "Bayesian estimation of the gaussian mixture garch model," DES - Working Papers. Statistics and Econometrics. WS ws053605, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Espasa, Antoni & Albacete, Rebeca, 2005. "Forecasting inflation in the euro area using monthly time series models and quarterly econometric models," DES - Working Papers. Statistics and Econometrics. WS ws050401, Universidad Carlos III de Madrid. Departamento de Estadística.

2004

  1. Peña, Daniel & Galeano, Pedro, 2004. "Model selection criteria and quadratic discrimination in ARMA and SETAR time series models," DES - Working Papers. Statistics and Econometrics. WS ws041406, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Tsay, Ruey S. & Peña, Daniel & Galeano, Pedro, 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Galeano, Pedro, 2004. "Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process," DES - Working Papers. Statistics and Econometrics. WS ws046816, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Peña, Daniel & Galeano, Pedro, 2004. "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS ws041305, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Peña, Daniel & Galeano, Pedro, 2004. "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS ws042710, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  7. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  8. Ruiz, Esther & Pérez, Ana & Mora Galán, Alberto, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Albacete, Rebeca & Espasa, Antoni, 2004. "Econometric modelling for short-term inflation forecasting in the EMU," DES - Working Papers. Statistics and Econometrics. WS ws034309, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Albacete, Rebeca & Espasa, Antoni, 2004. "Consideraciones sobre la predicción económica: metodología desarrollada en el boletín de inflación y análisis macroeconómico," DES - Documentos de Trabajo. Estadística y Econometría. DS ds040901, Universidad Carlos III de Madrid. Departamento de Estadística.
  11. Albacete, Rebeca & Espasa, Antoni, 2004. "Considerations on economic forecasting: method developed in the bulletin of EU and US inflation and macroeconomic analysis," DES - Working Papers. Statistics and Econometrics. WS ws045013, Universidad Carlos III de Madrid. Departamento de Estadística.

2003

  1. Maria Helena Lopes Moreira da Veiga, 2003. "Forecasting Volatility Using A Continuous Time Model," UFAE and IAE Working Papers 584.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  2. Maria Helena Lopes Moreira da Veiga, 2003. "Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data," UFAE and IAE Working Papers 585.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  3. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ruiz, Esther & Romera, Rosario & Balbás, Alejandro, 2003. "An overview of probabilistic and time series models in finance," DES - Working Papers. Statistics and Econometrics. WS ws032405, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Ruiz, Esther & Rodríguez, Julio, 2003. "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS ws036716, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Ruiz, Esther & Broto, Carmen, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.

2002

  1. Ruiz, Esther & Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," CORE Discussion Papers 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Senra, Eva & Mínguez, Román & Albacete, Rebeca & Espasa, Antoni, 2002. "Macroeconomic forecasts for the euro-zone and some policy implications," DES - Working Papers. Statistics and Econometrics. WS ws023607, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Senra, Eva & Poncela, Pilar & Espasa, Antoni, 2002. "Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis," DES - Working Papers. Statistics and Econometrics. WS ws020301, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Espasa, Antoni, 2002. "Consideraciones econométricas para el análisis de la coyuntura económica," DES - Documentos de Trabajo. Estadística y Econometría. DS ds021201, Universidad Carlos III de Madrid. Departamento de Estadística.

2001

  1. Peña, Daniel & Galeano, Pedro, 2001. "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS ws012415, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Ruiz, Esther & Pérez, Ana, 2001. "Properties of the sample autocorrelations in autoregressive stochastic volatllity models," DES - Working Papers. Statistics and Econometrics. WS ws011208, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ruiz, Esther & Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Ruiz, Esther & Romo, Juan & Pascual, Lorenzo, 2001. "Bootstrap prediction intervals for power-transformed time series," DES - Working Papers. Statistics and Econometrics. WS ws010503, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Pérez, Ana & Ruiz, Esther, 2001. "Asymmetric long memory GARCH: a reply to Hwang's model," DES - Working Papers. Statistics and Econometrics. WS ws016229, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Albacete, Rebeca & Senra, Eva & Espasa, Antoni, 2001. "Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors," DES - Working Papers. Statistics and Econometrics. WS ws013723, Universidad Carlos III de Madrid. Departamento de Estadística.

2000

  1. Ruiz, Esther & Romo, Juan & Pascual, Lorenzo, 2000. "Forecasting returns and volatilities in GARCH processes using the bootstrap," DES - Working Papers. Statistics and Econometrics. WS 10059, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Ruiz, Esther & Pañeda, Cándido & Hernández, Nuria, 2000. "Relaciones dinámicas en el mercado internacional de carne de vacuno," DES - Documentos de Trabajo. Estadística y Econometría. DS 3672, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Albacete, Rebeca & Senra, Eva & Espasa, Antoni, 2000. "Forecasting monetary union inflation: a disaggregated approach by countries and by sectors," DES - Working Papers. Statistics and Econometrics. WS 10143, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni & Cancelo, José Ramón, 2000. "Análisis cuantitativo de los precios de la vivienda: principales resultados e implicaciones sobre el funcionamiento del mercado de la vivienda en España," DES - Documentos de Trabajo. Estadística y Econometría. DS 3666, Universidad Carlos III de Madrid. Departamento de Estadística.

1999

  1. Rosario Romera & Esther Ruiz, 1999. "Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility," Computing in Economics and Finance 1999 231, Society for Computational Economics.
  2. Ruiz, Esther & Pérez, Ana, 1999. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS 6360, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Ruiz, Esther & Romo, Juan & Pascual, L., 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Ruiz, Esther & Romo, Juan & Pascual, L., 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de Estadística.

1998

  1. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.
  2. Espasa, Antoni & Martínez, José Manuel, 1998. "Modelling nonlinearities in GDP. Some diferences between us and spanish data," DES - Working Papers. Statistics and Econometrics. WS 6259, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Martínez, J. Manuel & Espasa, Antoni, 1998. "Perspectivas de la economía española para 1998-1999: estabilidad en el crecimiento a niveles superiores a la media europea y con una tasa de paro muy elevada," DES - Documentos de Trabajo. Estadística y Econometría. DS 3661, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni & Martínez, J. Manuel, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS 3662, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Martínez, J. Manuel & Espasa, Antoni, 1998. "Tendencia y ciclos en la economía española: modelos, estimaciones y perspectivas para 1998-1999," DES - Documentos de Trabajo. Estadística y Econometría. DS 3663, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Espasa, Antoni & Martínez, J. Manuel, 1998. "Caracterización del PIB español a partir de modelos univariantes no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3660, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Espasa, Antoni & Senra, Eva, 1998. "A nonlinear model for the investment function in Spain," DES - Working Papers. Statistics and Econometrics. WS 4671, Universidad Carlos III de Madrid. Departamento de Estadística.

1997

  1. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
  2. Ruiz, Esther & Lorenzo, Fernando, 1997. "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. Estadística y Econometría. DS 3648, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Espasa, Antoni, 1997. "Perspectivas inflacionistas para 1997-1999 en la economía española," DES - Documentos de Trabajo. Estadística y Econometría. DS 3649, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni & Martínez, José Manuel, 1997. "Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3646, Universidad Carlos III de Madrid. Departamento de Estadística.

1996

  1. Lorenzo, Fernando & Ruiz, Esther, 1996. "Which univariate time series model predicts quicker a crisis? The Iberia case," DES - Working Papers. Statistics and Econometrics. WS 4545, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Cancelo, José Ramón & Revuelta, J. Manuel & Espasa, Antoni, 1996. "Modelización automática de series diarias de actividad económica," DES - Documentos de Trabajo. Estadística y Econometría. DS 3640, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Espasa, Antoni, 1996. "Inflación, política económica, tipos de interés y expectativas," DES - Documentos de Trabajo. Estadística y Econometría. DS 3643, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni, 1996. "Inflación y política económica," DES - Documentos de Trabajo. Estadística y Econometría. DS 3641, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Espasa, Antoni & Cancelo, José Ramón, 1996. "Using high-frequency data and time series models to improve yield management," DES - Working Papers. Statistics and Econometrics. WS 4543, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Moreno, Diego & Espasa, Antoni, 1996. "Empleo, crecimiento y política económica," DES - Documentos de Trabajo. Estadística y Econometría. DS 3638, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Revuelta, J. Manuel & Cancelo, José Ramón & Espasa, Antoni, 1996. "Automatic modelling of daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3356, Universidad Carlos III de Madrid. Departamento de Estadística.

1995

  1. Espasa, Antoni, 1995. "The Spanish economy in 1995: a higher growth rate based on domestic demand," DES - Working Papers. Statistics and Econometrics. WS 10974, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Espasa, Antoni, 1995. "El empresario y el directivo ante los datos sobre inflacción. Diagnóstico sobre la situación actual," DES - Documentos de Trabajo. Estadística y Econometría. DS 10975, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Lorenzo, Fernando & Espasa, Antoni, 1995. "Convergencia con Europa en la tasa de inflación: importancia, perspectivas y medidas económicas necesarias," DES - Documentos de Trabajo. Estadística y Econometría. DS 3584, Universidad Carlos III de Madrid. Departamento de Estadística.

1994

  1. Ruiz, Esther & Peña Sánchez de Rivera, Juan Ignacio, 1994. "Stock market regulations and international financial integration: the case of Spain," DEE - Working Papers. Business Economics. WB 7083, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  2. Ruiz, Esther, 1994. "Modelos para series temporales heterocedásticas," DES - Documentos de Trabajo. Estadística y Econometría. DS 2944, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Espasa, Antoni, 1994. "Perspectives of the Spanish economy at the beginning of 1994," DES - Working Papers. Statistics and Econometrics. WS 11010, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni, 1994. "Fundamentos, información estadística y procedimientos en el análisis de la coyuntura macroeconómica," DES - Documentos de Trabajo. Estadística y Econometría. DS 2947, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Lorenzo, Fernando & Espasa, Antoni, 1994. "Evaluación de la desaceleración del IPC en 1994," DES - Documentos de Trabajo. Estadística y Econometría. DS 10976, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Lorenzo, Fernando & Espasa, Antoni, 1994. "Una propuesta de análisis desagregado de la inflación a través de indicadores adelantados: diagnóstico sobre la situación actual española y consideraciones sobre objetivos de inflación," DES - Documentos de Trabajo. Estadística y Econometría. DS 2949, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Cancelo, José Ramón & Espasa, Antoni, 1994. "El cálculo del crecimiento de variables económicas a partir de modelos cuantitativos," DES - Documentos de Trabajo. Estadística y Econometría. DS 2948, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Espasa, Antoni, 1994. "Domestic and foreign demands in the Spanish economy for 1994," DES - Working Papers. Statistics and Econometrics. WS 10983, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Espasa, Antoni, 1994. "Aproximaciones a la Econometría," DES - Documentos de Trabajo. Estadística y Econometría. DS 2943, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Moreno, Diego & Espasa, Antoni, 1994. "Consideraciones sobre el empleo," DES - Documentos de Trabajo. Estadística y Econometría. DS 10973, Universidad Carlos III de Madrid. Departamento de Estadística.

1993

  1. Ruiz, Esther, 1993. "Stochastic volatility versus autoregressive conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS 5708, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Espasa, Antoni, 1993. "The outlook of the Spanish economy in the first quarter of 1993," DES - Working Papers. Statistics and Econometrics. WS 11020, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Espasa, Antoni, 1993. "Modelling daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS 3682, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Espasa, Antoni, 1993. "Report on the Spanish economy," DES - Working Papers. Statistics and Econometrics. WS 10982, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Espasa, Antoni, 1993. "Consideraciones sobre los fundamentos y desarrollo de la econometría," DES - Documentos de Trabajo. Estadística y Econometría. DS 20102, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Senra, Eva & Espasa, Antoni, 1993. "Consideraciones sobre la función de inversión en España," DES - Documentos de Trabajo. Estadística y Econometría. DS 2942, Universidad Carlos III de Madrid. Departamento de Estadística.

1992

  1. Esther Ruiz, 1992. "Quasi-Maximum Likelihood Estimation of Stochastic Variance Models," STICERD - Econometrics Paper Series 244, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Espasa, Antoni, 1992. "El análisis de la coyuntura económica: un ejercicio basado en modelos," DE - Documentos de Trabajo. Economía. DE 3023, Universidad Carlos III de Madrid. Departamento de Economía.
  3. Espasa, Antoni & Delrieu, Juan C. & Álvarez, Luis J., 1992. "Aproximación lineal por tramos a comportamientos no lineales: estimación de señales de nivel y crecimiento," DES - Documentos de Trabajo. Estadística y Econometría. DS 2940, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Morales, Eduardo & Gómez-Churraca, Rosa & Espasa, Antoni, 1992. "An econometric analysis of tourism in Spain: implications for the sectoral study of exports and some economic policy considerations," UC3M Working papers. Economics 2842, Universidad Carlos III de Madrid. Departamento de Economía.

1991

  1. Cancelo, José Ramón & Espasa, Antoni, 1991. "Model based measures of contemporaneous economic growth," UC3M Working papers. Economics 2809, Universidad Carlos III de Madrid. Departamento de Economía.
  2. Espasa, Antoni, 1991. "Perspectiva historica de los modelos Arima y su utilidad en el análisis economico," DE - Documentos de Trabajo. Economía. DE 3001, Universidad Carlos III de Madrid. Departamento de Economía.
  3. Espasa, Antoni & Cancelo, José Ramón, 1991. "Forecasting daily demand for electricity with multiple-input nonlinear transfer function models: a case study," UC3M Working papers. Economics 2808, Universidad Carlos III de Madrid. Departamento de Economía.
  4. Espasa, Antoni & Cancelo, José Ramón, 1991. "Un nuevo indicador semanal y mensual de actividad basado en el consumo de energía eléctrica," DE - Documentos de Trabajo. Economía. DE 3004, Universidad Carlos III de Madrid. Departamento de Economía.
  5. Espasa, Antoni & Cancelo, José Ramón, 1991. "Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity," UC3M Working papers. Economics 5811, Universidad Carlos III de Madrid. Departamento de Economía.
  6. Llanos Matea, Maria de los & Espasa, Antoni, 1991. "Underlying inflation in the spanish economy: estimation and methodology," UC3M Working papers. Economics 2817, Universidad Carlos III de Madrid. Departamento de Economía.
  7. Espasa, Antoni & Izquierdo, J. Félix & Morales, Eduardo, 1991. "El análisis de la coyuntura industrial en la coyuntura industrial en la comunidad autonóma del País Vasco mediante el uso de modelos univarientes," DE - Documentos de Trabajo. Economía. DE 3005, Universidad Carlos III de Madrid. Departamento de Economía.
  8. Espasa, Antoni & Rey, Pilar & Revilla, Pedro, 1991. "Characterization of production in different branches of production in different branches spanish industrial activity, by means of time series analysis," UC3M Working papers. Economics 2815, Universidad Carlos III de Madrid. Departamento de Economía.
  9. Espasa, Antoni & Izquierdo, J. Félix & Morales, Eduardo, 1991. "Análisis coyuntural de los precios al consumo en las comunidades autonomas españolas: aplicación a Castilla-León," DE - Documentos de Trabajo. Economía. DE 3006, Universidad Carlos III de Madrid. Departamento de Economía.
  10. Espasa, Antoni & Peña, Daniel, 1991. "ARIMA models, the steady state of economic variables and their estimation," UC3M Working papers. Economics 2760, Universidad Carlos III de Madrid. Departamento de Economía.

Undated

  1. Juan de Dios TENA & Antoni ESPASA & Gabriel PINO, "undated". "Forecasting Inflation and Relative Prices in the European Regions: A Case Study," Regional and Urban Modeling 284100040, EcoMod.

Journal articles

2017

  1. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
  2. Rodríguez-Caballero, Carlos Vladimir & Ventosa-Santaulària, Daniel, 2017. "Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA," Energy Economics, Elsevier, vol. 61(C), pages 121-134.
  3. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.

2016

  1. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
  2. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
  3. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
  4. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  5. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
  6. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
  7. Gabriel Pino & J. D. Tena & Antoni Espasa, 2016. "Geographical disaggregation of sectoral inflation. Econometric modelling of the Euro area and Spanish economies," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 799-815, February.

2015

  1. Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2015. "Dynamic effects in inefficiency: Evidence from the Colombian banking sector," European Journal of Operational Research, Elsevier, vol. 240(2), pages 562-571.
  2. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
  3. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
  4. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  5. Cuevas Ángel & Quilis Enrique M. & Espasa Antoni, 2015. "Quarterly Regional GDP Flash Estimates by Means of Benchmarking and Chain Linking," Journal of Official Statistics, De Gruyter Open, vol. 31(4), pages 627-647, December.

2014

  1. Jorge Galán & Helena Veiga & Michael Wiper, 2014. "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," Journal of Productivity Analysis, Springer, vol. 42(1), pages 85-101, August.
  2. Ausín, M. Concepción & Galeano, Pedro & Ghosh, Pulak, 2014. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," European Journal of Operational Research, Elsevier, vol. 232(2), pages 350-358.
  3. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  4. Carlo Sguera & Pedro Galeano & Rosa Lillo, 2014. "Spatial depth-based classification for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 725-750, December.
  5. Carlos Vladimir Rodríguez-Caballero & Oskar Knapik, 2014. "Bayesian log-periodic model for financial crashes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(10), pages 1-14, October.
  6. Carlos Vladimir Rodriguez-Caballero & Daniel Ventosa-Santaularia, 2014. "Granger Causality and Unit Roots," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 3(1), pages 1-7.
  7. Ruiz, E. & Ferro, V.R. & de Riva, J. & Moreno, D. & Palomar, J., 2014. "Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations," Applied Energy, Elsevier, vol. 123(C), pages 281-291.

2013

  1. Ramos, Sofia B. & Veiga, Helena, 2013. "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, vol. 38(C), pages 136-145.
  2. Osvaldo Espin-García & Carlos Vladimir Rodríguez-Caballero, 2013. "Metodología para un scoring de clientes sin referencias crediticias," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, May.
  3. Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013. "Polynomial Regressions and Nonsense Inference," Econometrics, MDPI, Open Access Journal, vol. 1(3), pages 1-13, November.
  4. André A. P. Santos & Francisco J. Nogales & Esther Ruiz, 2013. "Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 400-441, March.
  5. Espasa, Antoni & Mayo-Burgos, Iván, 2013. "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.

2012

  1. Rodríguez, Alejandro & Ruiz, Esther, 2012. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
  2. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 11(2), pages 147-164, August.
  3. Pedro Galeano, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 455-458, September.
  4. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  5. Ruiz Esther & Pérez Ana, 2012. "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-33, September.
  6. Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
  7. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(4), pages 637-668, September.

2011

  1. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  2. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319, April.

2010

  1. Grané, Aurea & Veiga, Helena, 2010. "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2580-2593, November.
  2. Helena Veiga & Marc Vorsatz, 2010. "Information aggregation in experimental asset markets in the presence of a manipulator," Experimental Economics, Springer;Economic Science Association, vol. 13(4), pages 379-398, December.
  3. Pedro Galeano & Ruey S. Tsay, 2010. "Shifts in Individual Parameters of a GARCH Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 122-153, Winter.
  4. Febrero-Bande, Manuel & Galeano, Pedro & González-Manteiga, Wenceslao, 2010. "Measures of influence for the functional linear model with scalar response," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 327-339, February.
  5. Galeano, Pedro & Ausín, M. Concepción, 2010. "The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 559-571.
  6. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
  7. Juan de Dios Tena & Antoni Espasa & Gabriel Pino, 2010. "Forecasting Spanish Inflation Using the Maximum Disaggregation Level by Sectors and Geographical Areas," International Regional Science Review, , vol. 33(2), pages 181-204, April.

2009

  1. Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state-space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
  2. Veiga, Helena & Vorsatz, Marc, 2009. "Price manipulation in an experimental asset market," European Economic Review, Elsevier, vol. 53(3), pages 327-342, April.
  3. Pérez, Ana & Ruiz, Esther & Veiga, Helena, 2009. "A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3593-3600, August.
  4. Helena Veiga, 2009. "Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models," Economics Bulletin, AccessEcon, vol. 29(1), pages 265-276.
  5. Raúl Jiménez & José Cuesta & Haydée Lugo & Angel Sánchez, 2009. "The shared reward dilemma on structured populations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 183-193, November.
  6. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.

2008

  1. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  2. Grané, A. & Veiga, H., 2008. "Accurate minimum capital risk requirements: A comparison of several approaches," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2482-2492, November.
  3. Cancelo, José Ramón & Espasa, Antoni & Grafe, Rosmarie, 2008. "Forecasting the electricity load from one day to one week ahead for the Spanish system operator," International Journal of Forecasting, Elsevier, vol. 24(4), pages 588-602.
  4. Taylor, James W. & Espasa, Antoni, 2008. "Energy forecasting," International Journal of Forecasting, Elsevier, vol. 24(4), pages 561-565.

2007

  1. Helena Veiga, 2007. "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., vol. 7(3-4), pages 105-118.
  2. Manuel Febrero & Pedro Galeano & Wenceslao González-Manteiga, 2007. "A functional analysis of NOx levels: location and scale estimation and outlier detection," Computational Statistics, Springer, vol. 22(3), pages 411-427, September.
  3. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
  4. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
  5. Galeano, Pedro & Peña, Daniel, 2007. "On the connection between model selection criteria and quadratic discrimination in ARMA time series models," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 896-900, May.
  6. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
  7. Antoni Espasa & Rebeca Albacete, 2007. "Econometric modelling for short-term inflation forecasting in the euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 303-316.

2006

  1. Haydée Lugo & Raúl Jiménez, 2006. "Incentives to Cooperate in Network Formation," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 15-27, August.
  2. Galeano, Pedro & Pena, Daniel & Tsay, Ruey S., 2006. "Outlier Detection in Multivariate Time Series by Projection Pursuit," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 654-669, June.
  3. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
  4. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.

2005

  1. Galeano, Pedro & Peña, Daniel, 2005. "A note on prediction and interpolation errors in time series," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 71-78, June.
  2. Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005. "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, vol. 21(4), pages 623-625.
  3. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
  4. Espasa, Antoni, 2005. "Comments on "The Marshallian macroeconomic model: A progress report" by Arnold Zellner and Guillermo Israilevich," International Journal of Forecasting, Elsevier, vol. 21(4), pages 647-650.

2004

  1. Héctor Gertel & Roberto Giuliodori & Alejandro Rodríguez, 2004. "Cambios en la diferenciación de los ingresos de la población del Gran Córdoba entre 1992 y 2000 según el género y nivel de escolaridad," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 0(1), pages 115-139, January.
  2. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  3. Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004. "Bootstrap predictive inference for ARIMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.

2003

  1. Ana Pérez & Esther Ruiz, 2003. "Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 420-444.
  2. Ruiz, Esther & Perez, Ana, 2003. "Asymmetric long memory GARCH: a reply to Hwang's model," Economics Letters, Elsevier, vol. 78(3), pages 415-422, March.
  3. Espasa, Antoni, 2003. "LAUDATIO ON THE OCCASION OF THE INVESTITURE OF PROFESSOR JOHN DENIS SARGAN WITH THE DEGREE OF DOCTOR HONORIS CAUSA OF THE UNIVERSIDAD CARLOS III, 2 February 1993," Econometric Theory, Cambridge University Press, vol. 19(03), pages 439-450, June.

2002

  1. Jiménez, Raúl & Yukich, J. E., 2002. "Strong laws for Euclidean graphs with general edge weights," Statistics & Probability Letters, Elsevier, vol. 56(3), pages 251-259, February.
  2. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
  3. Ruiz, Esther & Pascual, Lorenzo, 2002. " Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 271-300, July.
  4. A. Espasa & E. Senra & R. Albacete, 2002. "Forecasting inflation in the European Monetary Union: A disaggregated approach by countries and by sectors," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 402-421.

2001

  1. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001. "Effects of parameter estimation on prediction densities: a bootstrap approach," International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
  2. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.

1997

  1. Ruiz, Esther, 1997. "QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 405-405.

1996

  1. Jose Ramon Cancelo & Antoni Espasa, 1996. "Modelling and forecastng daily series of electricity demand," Investigaciones Economicas, Fundación SEPI, vol. 20(3), pages 359-376, September.

1995

  1. J. I. Pena & E. Ruiz, 1995. "Stock market regulations and international financial integration: the case of Spain," The European Journal of Finance, Taylor & Francis Journals, vol. 1(4), pages 367-382.

1994

  1. Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
  2. Harvey, Andrew C & Ruiz, Esther, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 402-403, October.
  3. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.

1992

  1. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
  2. Eduardo Morales & Antoni Espasa & María Luisa Rojo, 1992. "Univariate methods for the analysis of the industrial sector in Spain," Investigaciones Economicas, Fundación SEPI, vol. 16(1), pages 127-149, January.

1991

  1. Espasa, Antoni, 1991. "Perspectiva historica de los modelos ARIMA y su utilidad en el analisis economico," Revista de Historia Económica, Cambridge University Press, vol. 9(03), pages 541-549, December.

1990

  1. Antoni Espasa & Daniel Peña, 1990. "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 191-211, May.

1977

  1. Espasa, Antoni & Sargan, J Denis, 1977. "The Spectral Estimation of Simultaneous Equation Systems with Lagged Endogenous Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(3), pages 583-605, October.

Chapters

2016

  1. Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 401-434 Emerald Publishing Ltd.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.