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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

2024

  1. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers 2406.14145, arXiv.org.
  2. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
  3. Ignacio Garr'on & C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "International vulnerability of inflation," Papers 2410.20628, arXiv.org, revised Oct 2024.

2023

  1. Sofia B. Ramosa & Abderrahim Taamouti & Helena Veiga, 2023. "Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach," Working Papers 202309, University of Liverpool, Department of Economics.
  2. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023. "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers 202314, University of California at Riverside, Department of Economics.
  3. Gent Bajraj & Guillermo Carlomagno & Juan M. Wlasiuk, 2023. "Where is the Inflation? The Diverging Patterns of Prices of Goods and Services," Working Papers Central Bank of Chile 969, Central Bank of Chile.
  4. Guillermo Carlomagno & Nicolas Eterovic & L. G. Hernández-Román, 2023. "Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data," Working Papers Central Bank of Chile 986, Central Bank of Chile.

2022

  1. Peeters, Ronald & Vorstaz, Marc, 2022. "An experimental analysis of contagion in financial markets," DES - Working Papers. Statistics and Econometrics. WS 31230, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2022. "Economic activity and climate change," Papers 2206.03187, arXiv.org, revised Jun 2022.

2021

  1. Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
  3. Guillermo Carlomagno & Jorge Fornero & Andrés Sansone, 2021. "Toward a general framework for constructing and evaluating core inflation measures," Working Papers Central Bank of Chile 913, Central Bank of Chile.

2020

  1. Ramos, Sofía & Huang, I-Chuan, 2020. "Valuation in the energy sector: Fundamentals or bubbles?," DES - Working Papers. Statistics and Econometrics. WS 31056, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Poncela, Pilar & Ruiz, Esther, 2020. "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers 2020-7, Kiel Institute for the World Economy (IfW Kiel).
  4. Camacho, Maximo, 2020. "What do international energy prices have in common after taking into account the key drivers?," DES - Working Papers. Statistics and Econometrics. WS 31647, Universidad Carlos III de Madrid. Departamento de Estadística.

2019

  1. Zea Bermudez, Patrícia de, 2019. "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 28214, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Casas, Isabel, 2019. "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS 28234, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Moura, Guilherme V. & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
  5. Laniado Rodas, Henry, 2019. "Shrinkage reweighted regression," DES - Working Papers. Statistics and Econometrics. WS 28500, Universidad Carlos III de Madrid. Departamento de Estadística.

2018

  1. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
  2. Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018. "Growth in Stress," Working Papers 201805, University of California at Riverside, Department of Economics.
  3. Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.

2017

  1. 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.
  2. 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.
  3. Senra, Eva, 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.
  4. Rendon Aguirre, Janeth Carolina, 2017. "Clustering Big Data by Extreme Kurtosis Projections," DES - Working Papers. Statistics and Econometrics. WS 24522, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Laniado Rodas, Henry, 2017. "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS 24613, Universidad Carlos III de Madrid. Departamento de Estadística.

2016

  1. González-Rivera, Gloria & Veiga, Helena, 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. 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. Corona, Francisco & Poncela, Maria Pilar, 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.
  4. 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, 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. Galán, Jorge & Ramos, Sofía B. & Veiga, Helena, 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. Poncela, Pilar, 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.
  4. Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Hotta, Luiz & Trucíos, Carlos, 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. 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. Martín-Barragán, Belén & Veiga, Helena, 2014. "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS ws140503, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. 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.
  3. Fresoli, Diego Eduardo, 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.
  4. Carnero Fernández, María Ángeles & Pérez, Ana, 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.
  5. 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.
  6. Álvarez, Adolfo, 2014. "Recombining partitions from multivariate data: a clustering method on Bayes factors," DES - Working Papers. Statistics and Econometrics. WS ws140804, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Prieto, Francisco J. & Rendón, Carolina, 2014. "Independent components techniques based on kurtosis for functional data analysis," DES - Working Papers. Statistics and Econometrics. WS ws141006, Universidad Carlos III de Madrid. Departamento de Estadística.

2013

  1. Martín-Barragán, Belén & Ramos, Sofía B. & Veiga, Helena, 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. Latoeiro, Pedro & Ramos, Sofía B. & Veiga, Helena, 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. 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.
  4. Álvarez, Adolfo, 2013. "Recombining partitions via unimodality tests," DES - Working Papers. Statistics and Econometrics. WS ws130706, Universidad Carlos III de Madrid. Departamento de Estadística.

2012

  1. Ramos, Sofía B. & Veiga, Helena, 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. Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2012. "Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models," Efficiency Series Papers 2012/03, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
  3. 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.
  4. Mayo, Iván, 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. Bretó, Carles & Veiga, Helena, 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. Pascual, Lorenzo & Fresoli, Diego Eduardo, 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. Quilis, Enrique M., 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.
  4. García-Ferrer, Antonio & González-Prieto, Ester, 2011. "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS ws111611, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Giuliodori, Andrea, 2011. "Handwritten digit classification," DES - Working Papers. Statistics and Econometrics. WS ws111712, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Sánchez, Ismael, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," DES - Working Papers. Statistics and Econometrics. WS ws111813, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Pérez, Betsabé & Molina, Isabel, 2011. "Robust Henderson III estimators of variance components in the nested error model," DES - Working Papers. Statistics and Econometrics. WS ws114332, Universidad Carlos III de Madrid. Departamento de Estadística.

2010

  1. 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, 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. Ramos, Sofía B. & Veiga, Helena, 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. Galeano, Pedro & Ghosh, Pulak, 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. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Juan de Dios TENA & Antoni ESPASA & Gabriel PINO, 2010. "Forecasting Inflation and Relative Prices in the European Regions: A Case Study," Regional and Urban Modeling 284100040, EcoMod.

2009

  1. Veiga, Helena, 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. Ramos, Sofia B. & Veiga, Helena, 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. San Miguel, Maxi & Lugo, Haydeé, 2009. "Resistance to learning and the evolution of cooperation," UC3M Working papers. Economics we092012, Universidad Carlos III de Madrid. Departamento de Economía.
  4. 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.
  5. 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.
  6. Santos, André A. P. & Nogales, Francisco J., 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.
  7. Giuliodori, Andrea, 2009. "Clustering and classifying images with local and global variability," DES - Working Papers. Statistics and Econometrics. WS ws090101, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Sánchez, Ismael, 2009. "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS ws097723, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Álvarez, Adolfo, 2009. "Recombining dependent data: an Order Statistics," DES - Working Papers. Statistics and Econometrics. WS ws098526, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Molina, Isabel & Pérez, Betsabé, 2009. "Robust estimation in linear regression models with fixed effects," DES - Working Papers. Statistics and Econometrics. WS ws098827, Universidad Carlos III de Madrid. Departamento de Estadística.
  11. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009. "Comparison of time series with unequal length in the frequency domain," MPRA Paper 15310, University Library of Munich, Germany.

2008

  1. 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. Veiga, Helena & Vorsatz, Marc, 2008. "The effect of short-selling of the aggregation of information in an experimental asset market," DES - Working Papers. Statistics and Econometrics. WS ws083808, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Veiga, Helena & Vorsatz, Marc, 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. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.
  5. 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.
  6. 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).
  7. Rodríguez, Julio, 2008. "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS ws084512, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. García-Ferrer, Antonio & González-Prieto, Ester, 2008. "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS ws087528, Universidad Carlos III de Madrid. Departamento de Estadística.

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, 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, 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, 2007. "Rewarding cooperation in social dilemmas," UC3M Working papers. Economics we075227, Universidad Carlos III de Madrid. Departamento de Economía.
  5. Cancelo, José Ramón & Grafe, Rosmarie, 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.
  6. Rodriguez-Poo Juan & David Veredas & Antoni Espasa, 2007. "Seminonparametric models for financial durations," ULB Institutional Repository 2013/136235, ULB -- Universite Libre de Bruxelles.
  7. González, Javier & Romera, Rosario, 2007. "A robust partial least squares method with applications," DES - Working Papers. Statistics and Econometrics. WS ws071304, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Alonso Fernández Andrés M. & Peña Sánchez de Rivera Daniel & Rodríguez Puerta Julio, 2007. "Proyecciones de demanda de educación en España," Working Papers 201081, Fundacion BBVA / BBVA Foundation.
  9. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
  10. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.

2006

  1. 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.
  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. "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.
  5. Veiga, H. & Vorsatz, M., 2006. "Price manipulation in an experimental asset market," Research Memorandum 024, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  6. 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.
  7. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006. "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper 2075, University Library of Munich, Germany.

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, 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. 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. 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. Galeano, Pedro & Tsay, Ruey S., 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. 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. 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. Carnero, María Ángeles, 2004. "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS ws042007, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. 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.
  9. Albacete, Rebeca, 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, 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, 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. 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.
  4. Romera, Rosario, 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. 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.
  6. 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.
  7. Guttman, Irwin & Redondas, María Dolores, 2003. "A bayesian approach for predicting with polynomial regresión of unknown degree," DES - Working Papers. Statistics and Econometrics. WS ws032104, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Redondas, María Dolores, 2003. "Bayesian curve estimation by model averaging," DES - Working Papers. Statistics and Econometrics. WS ws034410, Universidad Carlos III de Madrid. Departamento de Estadística.

2002

  1. 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," LIDAM Discussion Papers CORE 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Albacete, Rebeca & Mínguez, Román & Senra, Eva, 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. Poncela, Pilar & Senra, Eva, 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.

2001

  1. 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. 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.
  3. 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.
  4. 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.
  5. 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. 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.
  7. Pérez, Ana, 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. Senra, Eva & Albacete, Rebeca, 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.
  9. Sánchez, Ismael, 2001. "New in-sample prediction errors in time series with applications," DES - Working Papers. Statistics and Econometrics. WS ws011107, Universidad Carlos III de Madrid. Departamento de Estadística.

2000

  1. Hernández, Nuria & Pañeda, Cándido, 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.
  2. 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.
  3. Senra, Eva & Albacete, Rebeca, 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. 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.
  5. Montes, María J., 2000. "La investigación internacional en TQM : análisis de tendencias (1994-1999)," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6312, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  6. Rodríguez, Julio, 2000. "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS 10133, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Poncela, Pilar, 2000. "Forecasting with nostationary dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 9959, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Rodríguez, Julio, 2000. "Descriptive measures of multivariate scatter and linear dependence," DES - Working Papers. Statistics and Econometrics. WS 9960, Universidad Carlos III de Madrid. Departamento de Estadística.

1999

  1. Pascual, Lorenzo, 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Pascual, Lorenzo, 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.
  3. 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.
  4. 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.
  5. Victor Gómez & Agustin Maravall & Daniel Peña, 1999. "Missing observations in ARIMA models: Skipping strategy versus outlier approach," Working Papers 9701, Banco de España.
  6. Gil, J. A. & Rodriguez, J., 1999. "Trend in statistical research productivity by journal publications over the period 1985-1997," DES - Working Papers. Statistics and Econometrics. WS 6355, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Gil, J. A. & Rodriguez, J., 1999. "Statiscal research in Europe:1985-1997," DES - Working Papers. Statistics and Econometrics. WS 6356, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Prieto, Francisco J., 1999. "The kurtosis coeficient and the linear discriminant function," DES - Working Papers. Statistics and Econometrics. WS 6358, 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. 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, 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. 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, 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. 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. 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.
  8. Justel, A., 1998. "Heterogeneity and model uncertainty in bayesian regression models," DES - Working Papers. Statistics and Econometrics. WS 6260, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Tsay, Ruey S. & Pankratz, Alan E., 1998. "Outliers in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS 6285, Universidad Carlos III de Madrid. Departamento de Estadística.
  10. Justel, A. & Tsay, Ruey S., 1998. "Detection of outlier patches in autoregressive time series," DES - Working Papers. Statistics and Econometrics. WS 9821, Universidad Carlos III de Madrid. Departamento de Estadística.

1997

  1. 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.
  2. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
  3. 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.
  4. Prieto, Francisco J., 1997. "Robust covariance matrix estimation and multivariate outlier detection," DES - Working Papers. Statistics and Econometrics. WS 10497, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Gómez, Víctor & Maravall, Agustín, 1997. "Missing observations in ARIMA models: skipping strategy versus additive outlier approach," DES - Working Papers. Statistics and Econometrics. WS 10576, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Guerrero, Victor M. & Poncela, Pilar, 1997. "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS 6212, Universidad Carlos III de Madrid. Departamento de Estadística.
  7. Sánchez, María Jesús, 1997. "The identification of multiple outliers in arima models," DES - Working Papers. Statistics and Econometrics. WS 6220, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Poncela, Pilar, 1997. "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS 6224, Universidad Carlos III de Madrid. Departamento de Estadística.

1996

  1. Lorenzo, Fernando, 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. Revuelta, J. Manuel & Cancelo, José Ramón, 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. 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.
  4. Cancelo, José Ramón & Revuelta, J. Manuel, 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.
  5. Agustín Maravall & Daniel Peña, 1996. "Missing Observations and Additive Outliers in Time Series Models," Working Papers 9612, Banco de España.
  6. JUSTEL, Ana & PEÑA , Daniel, 1996. "Bayesian Unmasking in Linear Models," LIDAM Discussion Papers CORE 1996019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Zamar, Rubén, 1996. "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS 10486, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Poncela, Pilar, 1996. "Pooling information and forecasting with dynamic factor analysis," DES - Working Papers. Statistics and Econometrics. WS 10709, Universidad Carlos III de Madrid. Departamento de Estadística.
  9. Yohai, Víctor J., 1996. "A procedure for robust estimation and diagnostics in regression," DES - Working Papers. Statistics and Econometrics. WS 10710, Universidad Carlos III de Madrid. Departamento de Estadística.

1995

  1. Lorenzo, Fernando, 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.
  2. Victor M. Guerrero & Daniel Peña, 1995. "Linear Combination of Information in Time Series Analysis," Working Papers 9507, Centro de Investigacion Economica, ITAM.
  3. Sánchez, Ismael, 1995. "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS 10347, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Justel, Ana, 1995. "Gibbs sampling will fail in outlier problems with strong masking," DES - Working Papers. Statistics and Econometrics. WS 4203, Universidad Carlos III de Madrid. Departamento de Estadística.

1994

  1. Lorenzo, Fernando, 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.
  2. Lorenzo, Fernando, 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.
  3. Cancelo, José Ramón, 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.
  4. Justel, Ana & Sánchez, María Jesús, 1994. "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. Estadística y Econometría. DS 10755, Universidad Carlos III de Madrid. Departamento de Estadística.
  5. Justel, Ana & Zamar, Rubén, 1994. "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS 3955, Universidad Carlos III de Madrid. Departamento de Estadística.

1993

  1. Senra, Eva, 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.
  2. Zamar, Rubén, 1993. "On bayesian robustness: an asymptotic approach," DES - Working Papers. Statistics and Econometrics. WS 3736, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Gómez, Víctor & Maravall, Agustín, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, 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. Álvarez, Luis J. & Delrieu, Juan C., 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.
  3. Gómez-Churraca, Rosa & Morales, Eduardo, 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.
  4. Juan, Jesús, 1992. "A simple method to identify significant effects in unreplicated two-level factorial designs," UC3M Working papers. Economics 2818, Universidad Carlos III de Madrid. Departamento de Economía.
  5. Guttman, Irwin, 1992. "A Bayesian look at diagnostics in the univariate linear model," UC3M Working papers. Economics 2831, Universidad Carlos III de Madrid. Departamento de Economía.
  6. Guttman, Irwin, 1992. "Comparing probabilistic methods for outlier detection," UC3M Working papers. Economics 2841, Universidad Carlos III de Madrid. Departamento de Economía.

1991

  1. Cancelo, José Ramón, 1991. "Model based measures of contemporaneous economic growth," UC3M Working papers. Economics 2809, Universidad Carlos III de Madrid. Departamento de Economía.
  2. 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.
  3. 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.
  4. 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.
  5. Llanos Matea, Maria de los, 1991. "Underlying inflation in the spanish economy: estimation and methodology," UC3M Working papers. Economics 2817, Universidad Carlos III de Madrid. Departamento de Economía.
  6. Morales, Eduardo & Izquierdo, J. Félix, 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.
  7. Revilla, Pedro & Rey, Pilar, 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.
  8. Morales, Eduardo & Izquierdo, J. Félix, 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.
  9. Tiao, George C., 1991. "A Note on likelihood estimation of missing values in time series," UC3M Working papers. Economics 2748, Universidad Carlos III de Madrid. Departamento de Economía.
  10. Yohai, Víctor J., 1991. "The detection of influential subsets in linear regression using an influence matrix," UC3M Working papers. Economics 2798, Universidad Carlos III de Madrid. Departamento de Economía.
  11. Tiao, George C., 1991. "Bayesian outliers functions for linear models," UC3M Working papers. Economics 5816, Universidad Carlos III de Madrid. Departamento de Economía.

1990

  1. Maravall, Agustín, 1990. "Interpolation, outliers and inverse autocorrelations," UC3M Working papers. Economics 2770, Universidad Carlos III de Madrid. Departamento de Economía.

Journal articles

2025

  1. João F. Caldeira & Werley C. Cordeiro & Esther Ruiz & André A.P. Santos, 2025. "Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors," Journal of Time Series Analysis, Wiley Blackwell, vol. 46(2), pages 258-285, March.
  2. Aránzazu Juan & Pilar Poncela & Esther Ruiz, 2025. "Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain," Empirical Economics, Springer, vol. 68(3), pages 1379-1408, March.

2024

  1. Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena, 2024. "Integrated nested Laplace approximations for threshold stochastic volatility models," Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
  2. Luís F. Costa & Helena Veiga, 2024. "Editors’ note," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 1-2, January.
  3. Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024. "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, vol. 67(1), pages 31-45, July.
  4. Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024. "Expecting the unexpected: Stressed scenarios for economic growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.

2023

  1. Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, vol. 230(C).
  2. Carlomagno, Guillermo & Fornero, Jorge & Sansone, Andrés, 2023. "A proposal for constructing and evaluating core inflation measures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
  3. Daniel Peña & Ruey S. Tsay, 2023. "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 667-685, September.
  4. Camacho, Maximo & Caro, Angela & Peña, Daniel, 2023. "What drives industrial energy prices?," Economic Modelling, Elsevier, vol. 120(C).
  5. Pedro Delicado & Daniel Peña, 2023. "Understanding complex predictive models with ghost variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 107-145, March.

2022

  1. Esther Ruiz & Pilar Poncela, 2022. "Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components," Foundations and Trends(R) in Econometrics, now publishers, vol. 12(2), pages 121-231, November.
  2. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
  3. Carlomagno, Guillermo & Albagli, Elías, 2022. "Trade wars and asset prices," Journal of International Money and Finance, Elsevier, vol. 124(C).
  4. Daniel Peña, 2022. "Comment on “Factor Models for High-Dimensional Tensor Time Series”," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(537), pages 118-123, January.

2021

  1. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  2. Javier Maldonado & Esther Ruiz, 2021. "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1432-1453, December.
  3. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
  4. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
  5. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
  6. Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021. "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1498-1508.

2020

  1. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020. "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, vol. 87(C), pages 92-108.
  2. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
  3. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
  4. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
  5. Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020. "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 118(C).
  6. Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
  7. Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
  8. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
  9. Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.

2019

  1. Yaguo Deng & Helena Veiga & Michael P. Wiper, 2019. "Efficiency evaluation of hotel chains: a Spanish case study," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(2), pages 115-139, June.
  2. João H. Gonçalves Mazzeu & Helena Veiga & Massimo B. Mariti, 2019. "Modeling and forecasting the oil volatility index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(8), pages 773-787, December.
  3. González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019. "Growth in stress," International Journal of Forecasting, Elsevier, vol. 35(3), pages 948-966.
  4. Pedro Galeano & Daniel Peña, 2019. "Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 289-329, June.
  5. Pedro Galeano & Daniel Peña, 2019. "Rejoinder on: Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 363-368, June.
  6. Daniel Peña & Ezequiel Smucler & Victor J. Yohai, 2019. "Forecasting Multiple Time Series With One-Sided Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1683-1694, October.

2018

  1. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
  2. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.

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. 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.
  3. Antoni Espasa & Eva Senra, 2017. "Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis," Econometrics, MDPI, vol. 5(4), pages 1-28, October.

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. 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.
  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. 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.
  7. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.

2015

  1. 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.
  2. 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.
  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, Sciendo, 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. 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. 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, Oxford University Press, vol. 11(2), pages 400-441, March.
  3. 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. 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.
  5. 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.
  6. 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.
  7. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
  8. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2012. "A conditionally heteroskedastic independent factor model with an application to financial stock returns," International Journal of Forecasting, Elsevier, vol. 28(1), pages 70-93.

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.
  3. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Identification of TAR models using recursive estimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(1), pages 31-50, January.
  4. E. Silva & V. M. Guerrero & D. Peña, 2011. "Temporal disaggregation and restricted forecasting of multiple population time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(4), pages 799-815, January.

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, Oxford University Press, 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. Peña, Daniel & Prieto, Francisco J. & Viladomat, Júlia, 2010. "Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 1995-2007, October.

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. Helena Veiga, 2009. "Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models," Economics Bulletin, AccessEcon, vol. 29(1), pages 265-276.
  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. Veiga, Helena & Vorsatz, Marc, 2009. "Price manipulation in an experimental asset market," European Economic Review, Elsevier, vol. 53(3), pages 327-342, April.
  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.
  7. Daniel Peña, 2009. "Dimension reduction in time series and the dynamic factor model," Biometrika, Biometrika Trust, vol. 96(2), pages 494-496.

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, September.
  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.
  8. Daniel Peña & Ismael Sánchez, 2007. "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 886-909, November.
  9. Benito, Monica & Pena, Daniel, 2007. "Detecting defects with image data," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6395-6403, August.

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.
  5. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
  6. Pena, Daniel & Redondas, Dolores, 2006. "Bayesian curve estimation by model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 688-709, February.
  7. Andrés Alonso & Daniel Peña & Juan Romo, 2006. "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, vol. 47(2), pages 167-179, March.

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. 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.
  3. 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.
  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.
  5. Daniel Pena & Ismael Sanchez, 2005. "Multifold Predictive Validation in ARMAX Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 135-146, March.
  6. Pena, Daniel & Rodriguez, Julio, 2005. "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, vol. 21(4), pages 731-748.

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. 42(1), pages 115-139, Junio.
  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.
  4. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.

2003

  1. 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.
  2. Ana Pérez & Esther Ruiz, 2003. "Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 420-444.
  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(3), pages 439-450, June.
  4. Peña, Daniel & Rodríguez, Julio, 2003. "Descriptive measures of multivariate scatter and linear dependence," Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 361-374, May.
  5. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 13-20, October.
  6. Andrés Alonso & Daniel Peña & Juan Romo, 2003. "Resampling time series using missing values techniques," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 765-796, December.

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. Esther Ruiz & Lorenzo Pascual, 2002. "Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 271-300, July.
  3. 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.
  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.
  5. Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.

2001

  1. 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.
  2. 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.
  3. Pena D. & Prieto F.J., 2001. "Cluster Identification Using Projections," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1433-1445, December.
  4. Ismael Sanchez & Daniel Pena, 2001. "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
  5. Justel, Ana & Pena, Daniel, 2001. "Bayesian unmasking in linear models," Computational Statistics & Data Analysis, Elsevier, vol. 36(1), pages 69-84, March.
  6. Pena, Daniel, 2001. "George Box: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 17(1), pages 1-9.

2000

  1. Peña, Daniel, 2000. "Sebastián Coll y Marta Guijarro: Estadística aplicada a las ciencias sociales, Madrid, Pirámide, 1998," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 18(3), pages 687-690, December.
  2. Peña, Daniel & Prieto, Francisco J., 2000. "The kurtosis coefficient and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 49(3), pages 257-261, September.
  3. Juan Gil & Daniel Peña & Julio Rodríguez, 2000. "Statistical research in Europe: 1985–1997," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(1), pages 255-281, June.

1999

  1. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.

1998

  1. Pena, Daniel & Ruiz-Castillo, Javier, 1998. "The Estimation of Food Expenditures from Household Budget Data in the Presence of Bulk Purchases," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 292-303, July.
  2. Guerrero, Victor M & Pena, Daniel & Poncela, Pilar, 1998. "Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 489-497, October.
  3. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.
  4. Nozer Singpurwalla & G. Box & D. Cox & D. Dey & A. Fries & J. Ghosh & M. Gómez-Villegas & T. Irony & W. Kliemann & S. Kotz & D. Lindley & M. McGrath & D. Peña & N. Singpurwalla, 1998. "The stochastic control of process capability indices," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 7(1), pages 1-74, June.

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.
  2. Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997. "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, vol. 35(3), pages 251-259, October.
  3. Peña, Daniel & Zamar, Ruben, 1997. "A simple diagnostic tool for local prior sensitivity," Statistics & Probability Letters, Elsevier, vol. 36(2), pages 205-212, December.

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.
  2. George Casella & Juan Ferrándiz & Daniel Peña & David Insua & José Bernardo & P. García-López & A. González & J. Berger & A. Dawid & Thomas Diciccio & Martin Wells & Paul Gustafson & Larry Wasserman &, 1996. "Statistical inference and Monte Carlo algorithms," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(2), pages 249-344, December.

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. 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.
  2. Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
  3. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
  4. Alvaro Escribano & Daniel Peña, 1994. "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 577-586, November.

1993

  1. Joseph Kadane & Javier Girón & Daniel Peña & Peter Fishburn & Simon French & D. Lindley & Giovanni Parmigiani & Robert Winkler, 1993. "Several Bayesians: A review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 2(1), pages 1-32, December.

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 / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 9(3), 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.
  2. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.

1987

  1. Daniel Peña, 1987. "Observaciones influyentes en modelos econométricos," Investigaciones Economicas, Fundación SEPI, vol. 11(1), pages 3-24, January.

1984

  1. Pena, Daniel & Ruiz-Castillo, Javier, 1984. "Robust Methods of Building Regression Models-An Application to the Housing Sector," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 10-20, January.
  2. Daniel Peña, 1984. "The Autocorrelation Function Of Seasonal Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(4), pages 269-272, July.
  3. Pena, Daniel & Ruiz-Castillo, Javier, 1984. "Distributional aspects of public rental housing and rent control policies in Spain," Journal of Urban Economics, Elsevier, vol. 15(3), pages 350-370, May.

1980

  1. DANIEL PEÑA & Professor JOSÉ SUMPSI, 1980. "The relationship between farm and retail prices in the Spanish broiler chicken industry: An application of the Box-Jenkins approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 7(3), pages 267-288.

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 Group Publishing Limited.

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