Publications

by members of

Universidad Carlos III de Madrid → Departamento de Estadistica

Carlos III University of Madrid → Department of Statistics

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

2026

1. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2026, "The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 49336, Feb.
2. Matteo Barigozzi & Diego Fresoli & Esther Ruiz, 2026, "Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter," Papers, arXiv.org, number 2601.04087, Jan.
3. A. Monta~n'es & E. Ruiz, 2026, "Interpreting (and testing) factor loadings," Papers, arXiv.org, number 2607.12568, Jul.
4. A. Monta~n'es & E. Ruiz, 2026, "Robust estimation of the autocorrelation function via forward ratios," Papers, arXiv.org, number 2607.23744, Jul.

2025

1. Javier Aliaga Lordemann & Ignacio Garrón Vedia & Beatriz Muriel Hernández, 2025, "Eficiencia en la producción de quinua en Bolivia: Un análisis de Fronteras Estocásticas," Development Research Working Paper Series, Institute for Advanced Development Studies, number 08/2025, Oct.
2. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2025, "FARS: Factor Augmented Regression Scenarios in R," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 48180, Oct.
3. Claudio Lissona & Esther Ruiz, 2025, "Heterogeneous economic growth vulnerability across Euro Area countries under stressed scenarios," Papers, arXiv.org, number 2506.14321, Jun.
4. Gian Pietro Bellocca & Ignacio Garr'on & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2025, "FARS: Factor Augmented Regression Scenarios in R," Papers, arXiv.org, number 2507.10679, Jul, revised Jul 2026.

2024

1. Javier Aliaga Lordemann & Ignacio Garrón Vedia & María Cecilia Lenis Abastoflor, 2024, "Rastreando la trayectoria de los precios de la quinua en Bolivia: Quiebres estructurales y persistencia de choques," Development Research Working Paper Series, Institute for Advanced Development Studies, number 08/2024, Jun.
2. Javier Aliaga Lordemann & Ignacio Garrón Vedia & María Cecilia Lenis Abastoflor, 2024, "Tracking the trend of quinoa price in Bolivia: Structural breaks and persistence of shoks," Development Research Working Paper Series, Institute for Advanced Development Studies, number 10/2024, Jun.
3. Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2024, "International vulnerability of inflation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 44814, Nov.
4. De Oliveira Amado, Cristina Alexandra & Garrón Vedia, Ignacio & Veiga, Helena, 2024, "On the relationship of country geopolitical risk on energy inflation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 45113, Nov.
   
   • Cristina Amado & Ignacio Garrón & Helena Veiga, 2024, "On the relationship of country geopolitical risk on energy inflation," NIPE Working Papers, NIPE - Universidade do Minho, number 1/2024.
5. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024, "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers, arXiv.org, number 2406.14145, Jun.
6. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024, "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers, arXiv.org, number 2407.06883, Jul.
7. Ignacio Garr'on & C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024, "International vulnerability of inflation," Papers, arXiv.org, number 2410.20628, Oct, revised Oct 2024.

2023

1. Lissette Briones & Guillermo Carlomagno & Pablo García, 2023, "Inflation and Labour Markets in the Wake of the Pandemic: The Case of Chile," Economic Policy Papers Central Bank of Chile, Central Bank of Chile, number 73, Apr.
2. 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, Central Bank of Chile, number 969, Jan.
3. 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, Central Bank of Chile, number 986, Jul.
4. Aliaga Lordemann, Javier & Garrón, Ignacio & Mulder, Nanno, 2023, "Análisis comparativo de distintos choques sobre el precio del banano y el cacao en América Latina y el Caribe: el rol de la estructura de mercado," Documentos de Proyectos, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 68690, Nov.
5. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023, "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers, University of California at Riverside, Department of Economics, number 202314, Nov.
   
   • 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., volume 39, issue 5, pages 926-942, August, DOI: 10.1002/jae.3060.
6. Sofia B. Ramosa & Abderrahim Taamouti & Helena Veiga, 2023, "Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach," Working Papers, University of Liverpool, Department of Economics, number 202309.
   
   • Ramos Sofia B. & Taamouti Abderrahim & Veiga Helena, 2025, "Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 1, pages 39-52, DOI: 10.1515/snde-2023-0005.

2022

1. Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2022, ""Daily Growth at Risk: financial or real drivers? The answer is not always the same"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202208, Jun, revised Jun 2022.
   
   • Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024, "Daily growth at risk: Financial or real drivers? The answer is not always the same," International Journal of Forecasting, Elsevier, volume 40, issue 2, pages 762-776, DOI: 10.1016/j.ijforecast.2023.05.008.
2. Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2022, ""Monitoring daily unemployment at risk"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202211, Jul, revised Jul 2022.
3. Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2022, "Economic activity and climate change," Papers, arXiv.org, number 2206.03187, Jun, revised Jun 2022.
   
   • De Juan Fernández, Aránzazu & Poncela, Pilar & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2022, "Economic activity and climate change," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 35044, Jun.
4. Veiga, Helena & Peeters, Ronald & Vorstaz, Marc, 2022, "An experimental analysis of contagion in financial markets," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31230, Oct.
   
   • Peeters, Ronald & Veiga, Helena & Vorsatz, Marc, 2025, "An experimental analysis of contagion in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 171, issue C, DOI: 10.1016/j.jedc.2024.105033.

2021

1. Guillermo Carlomagno & Jorge Fornero & Andrés Sansone, 2021, "Toward a general framework for constructing and evaluating core inflation measures," Working Papers Central Bank of Chile, Central Bank of Chile, number 913, Apr.
2. Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2021, ""Vulnerable Funding in the Global Economy"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202106, Mar, revised Mar 2021.
   
   • Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024, "Vulnerable funding in the global economy," Journal of Banking & Finance, Elsevier, volume 169, issue C, DOI: 10.1016/j.jbankfin.2024.107314.
3. Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021, "Expecting the unexpected: economic growth under stress," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-06, Mar.
   
   • González Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2021, "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 32148, Mar.
   • Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021, "Expecting the unexpected: economic growth under stress," Working Papers, University of California at Riverside, Department of Economics, number 202106, Mar.
4. Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Veiga, Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31804, Jan.
   
   • 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, volume 30, issue C, pages 15-35, DOI: 10.1016/j.ecosta.2021.08.006.

2020

1. María José Roa & Alejandra Villegas & Ignacio Garrón, 2020, "Effects of interest rate caps on microcredit: evidence from a natural experiment in Bolivia," Development Research Working Paper Series, Institute for Advanced Development Studies, number 03/2020, Sep.
2. Camacho, Maximo & Caro Navarro, Ángela & Peña, Daniel, 2020, "What do international energy prices have in common after taking into account the key drivers?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31647, Dec.
3. Poncela, Pilar & Ruiz, Esther, 2020, "A comment on the dynamic factor model with dynamic factors," Economics Discussion Papers, Kiel Institute for the World Economy, number 2020-7.
4. Ramos, Sofía & Veiga, Helena & Huang, I-Chuan, 2020, "Valuation in the energy sector: Fundamentals or bubbles?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31056, Oct.
5. Casas Villalba, Maria Isabel & Mao, Xiuping & Veiga, Helena, 2020, "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31648, Dec.

2019

1. Cabana Garceran del Vall, Elisa & Lillo Rodríguez, Rosa Elvira & Laniado Rodas, Henry, 2019, "Shrinkage reweighted regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28500, Jun.
2. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019, "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-23, Dec.
3. Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019, "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 29291, Nov.
4. Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2019, "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28214, Mar.
   
   • P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020, "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, volume 39, issue 10, pages 1057-1074, November, DOI: 10.1080/07474938.2020.1770997.
5. Casas, Isabel & Veiga, Helena, 2019, "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28234, Mar.
   
   • Isabel Casas & Helena Veiga, 2021, "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 1015-1039, April, DOI: 10.1007/s10614-020-10005-5.

2018

1. Caro Navarro, Ángela & Peña, Daniel, 2018, "Estimation of the common component in Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 27047, Jun.
2. Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018, "Growth in Stress," Working Papers, University of California at Riverside, Department of Economics, number 201805, Apr.
   
   • González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019, "Growth in stress," International Journal of Forecasting, Elsevier, volume 35, issue 3, pages 948-966, DOI: 10.1016/j.ijforecast.2019.04.006.
   • González-Rivera, Gloria & Ruiz Ortega, Esther & Maldonado, Javier, 2018, "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 26623, Mar.
3. Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201817, Oct.
   
   • Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020, "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 4, pages 373-390, June, DOI: 10.1002/jae.2754.
   • González-Rivera, Gloria & Luo, Yun & Ruiz Ortega, Esther, 2019, "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 29054, Oct.
   • Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201921, Sep.
4. 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, Department of Economics and Business Economics, Aarhus University, number 2018-10, Mar.

2017

1. Cabana Garceran del Vall, Elisa & Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira, 2017, "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24613, May.
2. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 24678, Jun.
3. Peña, Daniel & Prieto Fernández, Francisco Javier & Rendon Aguirre, Janeth Carolina, 2017, "Clustering Big Data by Extreme Kurtosis Projections," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24522, Apr.
4. Maldonado, Javier & Ruiz Ortega, Esther, 2017, "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 23974, Dec.
5. 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, University of California at Riverside, Department of Economics, number 201709, Jul.
   
   • 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, volume 39, issue 10, pages 971-990, November, DOI: 10.1080/07474938.2020.1761150.
6. Mariti, Massimo B. & Gonçalves Mazzeu, Joao Henrique & Veiga, Helena, 2017, "Modeling and forecasting the oil volatility index," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 25985, Nov.
   
   • João H. Gonçalves Mazzeu & Helena Veiga & Massimo B. Mariti, 2019, "Modeling and forecasting the oil volatility index," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 8, pages 773-787, December, DOI: 10.1002/for.2598.

2016

1. Carlomagno, Guillermo & Espasa, Antoni, 2016, "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1519, Aug.
2. Gonçalves Mazzeu, Joao Henrique & González-Rivera, Gloria & Ruiz Ortega, Esther & Veiga, Helena, 2016, "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 23457, Jul.
3. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2016, "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1602, Feb.
   
   • Francisco Corona & Pilar Poncela & Esther Ruiz, 2017, "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, volume 53, issue 1, pages 351-372, August, DOI: 10.1007/s00181-016-1158-5.
4. Deng, Yaguo & Veiga, Helena & Wiper, Michael Peter, 2016, "Efficiency evaluation of Spanish hotel chains," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 23897, Nov.

2015

1. Carlomagno, Guillermo & Espasa, Antoni, 2015, "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1518, Sep.
2. Joseph, Esdras & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2015, "Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1503, Mar.
3. Ruiz Ortega, Esther & Poncela, Pilar, 2015, "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1502, Jan.
   
   • Pilar Poncela & Esther Ruiz, 2016, "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035010.
4. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015, "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1508, May.
5. Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015, "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1516, Jul.
   
   • de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018, "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 45-63, DOI: 10.1016/j.ijforecast.2017.08.003.
6. Hotta, Luiz & Trucíos, Carlos & Ruiz Ortega, Esther, 2015, "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1523, Nov.
7. 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1517, Jul.

2014

1. Carlomagno, Guillermo & Espasa, Antoni, 2014, "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141309, May.
2. García de la Fuente, Cristina & Galeano San Miguel, Pedro & Wiper, Michael Peter, 2014, "Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141711, Jun.
3. Virbickaite, Audrone & Lopes, Hedibert F. & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2014, "Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws142819, Oct.
4. Sguera, Carlo & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2014, "Functional outlier detection with a local spatial depth," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141410, Jun.
5. Álvarez, Adolfo & Peña, Daniel, 2014, "Recombining partitions from multivariate data: a clustering method on Bayes factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140804, Mar.
6. Peña, Daniel & Prieto, Francisco J. & Rendón, Carolina, 2014, "Independent components techniques based on kurtosis for functional data analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141006, May.
7. Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 2014, "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140202, Feb.
   
   • Fresoli, Diego E. & Ruiz, Esther, 2016, "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 170-185, DOI: 10.1016/j.csda.2015.03.017.
8. Carnero Fernández, María Ángeles & Pérez, Ana & Ruiz Ortega, Esther, 2014, "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141912, Jul.
   
   • 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, volume 7, issue 1, pages 179-201, March, DOI: 10.1007/s13209-015-0131-4.
9. Mao, Xiuping & Ruiz Ortega, Esther & Veiga, Helena, 2014, "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws142618, Oct.
10. Grané Chávez, Aurea & Martín-Barragán, Belén & Veiga, Helena, 2014, "Outliers in multivariate Garch models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140503, Feb.

2013

1. 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, arXiv.org, number 1301.5129, Jan, revised Jan 2014.
   
   • 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, volume 100, issue C, pages 814-829, DOI: 10.1016/j.csda.2014.12.005.
   • Virbickaite, Audrone & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2013, "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131009, May.
2. Joseph, Esdras & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2013, "The Mahalanobis distance for functional data with applications to classification," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131312, May.
3. Álvarez, Adolfo & Peña, Daniel, 2013, "Recombining partitions via unimodality tests," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws130706, Mar.
4. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2013, "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131718, Jun.
5. Mao, Xiuping & Ruiz Ortega, Esther & Veiga, Helena, 2013, "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131110, May.
6. 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws130504, Mar.
   
   • Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015, "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, volume 50, issue C, pages 212-227, DOI: 10.1016/j.econmod.2015.06.010.
7. Latoeiro, Pedro & Ramos, Sofía B. & Veiga, Helena, 2013, "Predictability of stock market activity using Google search queries," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws130605, Mar.
8. Galán Camacho, Jorge Eduardo & Veiga, Helena & Wiper, Michael Peter, 2013, "Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131918, Jun.

2012

1. Espasa, Antoni & Mayo, Iván, 2012, "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws110805, Aug.
   
   • Espasa, Antoni & Mayo-Burgos, Iván, 2013, "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, volume 29, issue 4, pages 718-732, DOI: 10.1016/j.ijforecast.2012.10.004.
2. Sguera, Carlo & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2012, "Spatial depth-based classification for functional data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws120906, May.
   
   • 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, volume 23, issue 4, pages 725-750, December, DOI: 10.1007/s11749-014-0379-1.
3. García de la Fuente, Cristina & Galeano San Miguel, Pedro & Wiper, Michael Peter, 2012, "Modeling financial time series with the skew slash distribution," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws121108, Jun.
4. Poncela, Pilar & Ruiz Ortega, Esther, 2012, "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws122317, Oct.
5. Ramos, Sofía B. & Veiga, Helena & Wang, Chih-Wei, 2012, "Asymmetric long-run effects in the oil industry," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws120502, Feb.
6. Galán Camacho, Jorge Eduardo & Veiga, Helena & Wiper, Michael Peter, 2012, "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws121007, May.
   
   • Jorge Galán & Helena Veiga & Michael Wiper, 2014, "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," Journal of Productivity Analysis, Springer, volume 42, issue 1, pages 85-101, August, DOI: 10.1007/s11123-013-0377-4.
   • Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2012, "Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2012/03.

2011

1. Cuevas Rumín, Ángel & Quilis, Enrique M. & Espasa, Antoni, 2011, "Combining benchmarking and chain-linking for short-term regional forecasting," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws114130, Dec.
2. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2011, "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111611, May.
3. Giuliodori, Andrea & Lillo Rodríguez, Rosa Elvira & Peña, Daniel, 2011, "Handwritten digit classification," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111712, Jun.
4. Bermejo Mancera, Miguel Ángel & Peña, Daniel & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111813, Jun.
5. Pérez, Betsabé & Peña, Daniel & Molina, Isabel, 2011, "Robust Henderson III estimators of variance components in the nested error model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws114332, Dec.
6. Pascual, Lorenzo & Ruiz Ortega, Esther & Fresoli, Diego Eduardo, 2011, "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws113426, Oct.
7. Bretó, Carles & Veiga, Helena, 2011, "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws112518, Jul.

2010

1. 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, Banco Central del Uruguay, number 2010021, Apr.
2. 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, Banco Central del Uruguay, number 2010022, Apr.
3. 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, EcoMod, number 284100040, Jan.
4. Ausín Olivera, María Concepción & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws103822, Sep.
   
   • 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, volume 232, issue 2, pages 350-358, DOI: 10.1016/j.ejor.2013.07.008.
5. Rodríguez, Alejandro & Ruiz Ortega, Esther, 2010, "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100301, Jan.
   
   • 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, volume 56, issue 1, pages 62-74, January.
6. Nieto, María Rosa & Ruiz Ortega, Esther, 2010, "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws102814, May.
7. Rodríguez, Mª José & Ruiz Ortega, Esther, 2010, "Comparing sample and plug-in moments in asymmetric Garch Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws104125, Oct.
8. Grané Chávez, Aurea & Veiga, Helena, 2010, "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100502, Jan.
9. Ramos, Sofía B. & Veiga, Helena, 2010, "Asymmetric effects of oil price fluctuations in international stock markets," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100904, Feb.

2009

1. Jiménez Recaredo, Raúl José & San Miguel, Maxi & Lugo, Haydeé, 2009, "Resistance to learning and the evolution of cooperation," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we092012, Feb.
2. Giuliodori, Andrea & Lillo Rodríguez, Rosa Elvira & Peña, Daniel, 2009, "Clustering and classifying images with local and global variability," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws090101, Jan.
3. Bermejo Mancera, Miguel Ángel & Peña, Daniel & Sánchez, Ismael, 2009, "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097723, Dec.
4. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2009, "Time series segmentation by Cusum, AutoSLEX and AutoPARM methods," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098025, Dec.
5. Álvarez, Adolfo & Peña, Daniel, 2009, "Recombining dependent data: an Order Statistics," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098526, Dec.
6. Molina, Isabel & Peña, Daniel & Pérez, Betsabé, 2009, "Robust estimation in linear regression models with fixed effects," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098827, Dec.
7. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009, "Comparison of time series with unequal length in the frequency domain," MPRA Paper, University Library of Munich, Germany, number 15310, Apr.
8. Rodríguez, Mª José & Ruiz Ortega, Esther, 2009, "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws090302, Jan.
9. Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009, "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws092809, Mar.
10. Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009, "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097222, Nov.
    
    • 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, volume 11, issue 2, pages 400-441, March.
11. Grané Chávez, Aurea & Veiga, Helena, 2009, "Wavelet-based detection of outliers in volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws090403, Jan.
12. Ramos, Sofia B. & Veiga, Helena, 2009, "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws096920, Nov.
    
    • Ramos, Sofia B. & Veiga, Helena, 2011, "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, volume 33, issue 3, pages 525-542, May.

2008

1. Alonso Fernández, Andrés Modesto & Peña, Daniel & Rodríguez, Julio, 2008, "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws084512, Sep.
2. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2008, "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws087528, Dec.
3. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008, "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-13, Oct.
4. Rodríguez, Alejandro & Ruiz Ortega, Esther, 2008, "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws081104, Mar.
   
   • Alejandro Rodriguez & Esther Ruiz, 2009, "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 2, pages 167-178, March, DOI: 10.1111/j.1467-9892.2008.00604.x.
5. Carmen Broto & Esther Ruiz, 2008, "Testing for conditional heteroscedasticity in the components of inflation," Working Papers, Banco de España, number 0812, Jun.
   
   • Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
6. Nieto, María Rosa & Ruiz Ortega, Esther, 2008, "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws087326, Dec.
7. 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws083808, Jul.
   
   • Marc Vorsatz & Helena Veiga, 2008, "The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market," Working Papers, FEDEA, number 2008-26, Jul.
8. 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws084110, Sep.
   
   • Helena Veiga & Marc Vorsatz, 2008, "Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator," Working Papers, FEDEA, number 2008-29, Sep.

2007

1. Cancelo, José Ramón & Espasa, Antoni & Grafe, Rosmarie, 2007, "Forecasting from one day to one week ahead for the Spanish system operator," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws078418, Dec.
2. Rodriguez-Poo Juan & David Veredas & Antoni Espasa, 2007, "Seminonparametric models for financial durations," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136235.
3. Pellegrini, Santiago & Ruiz Ortega, Esther & Espasa, Antoni, 2007, "The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws072706, Apr.
4. Cuesta, José A. & Jiménez Recaredo, Raúl José & Sánchez, Angel & Lugo, Haydeé, 2007, "Rewarding cooperation in social dilemmas," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we075227, Jun.
5. González, Javier & Peña, Daniel & Romera, Rosario, 2007, "A robust partial least squares method with applications," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws071304, Mar.
6. Alonso Fernández Andrés M. & Peña Sánchez de Rivera Daniel & Rodríguez Puerta Julio, 2007, "Proyecciones de demanda de educación en España," Working Papers, Fundacion BBVA / BBVA Foundation, number 201081, Jun.
7. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007, "Is there an identity within international stock market volatilities?," MPRA Paper, University Library of Munich, Germany, number 2069.
8. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007, "Comparison of time series with unequal length," MPRA Paper, University Library of Munich, Germany, number 6605, Dec.
9. Veiga, Helena, 2007, "The sign of asymmetry and the Taylor Effect in stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws070702, Feb.
10. Grané Chávez, Aurea & Veiga, Helena, 2007, "Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws074713, May.
11. Grané Chávez, Aurea & Veiga, Helena, 2007, "The effect of realised volatility on stock returns risk estimates," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws076316, Sep.

2006

1. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006, "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper, University Library of Munich, Germany, number 2075.
2. Broto, Carmen & Ruiz Ortega, Esther, 2006, "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws060402, Jan.
3. Ruiz Ortega, Esther & Veiga, Helena, 2006, "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws066016, Oct.
   
   • Ruiz, Esther & Veiga, Helena, 2008, "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 2846-2862, February.
4. Veiga, Helena, 2006, "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws060101, Jan.
   
   • Helena Veiga, 2007, "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., volume 7, issue 3‐4, pages 105-118, September, DOI: 10.1111/j.1468-2443.2007.00070.x.
5. Veiga, Helena, 2006, "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws061303, Feb.
6. Veiga, Helena, 2006, "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws062509, Apr.
7. Veiga, H. & Vorsatz, M., 2006, "Price manipulation in an experimental asset market," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 024, Jan, DOI: 10.26481/umamet.2006024.
   
   • Veiga, Helena & Vorsatz, Marc, 2009, "Price manipulation in an experimental asset market," European Economic Review, Elsevier, volume 53, issue 3, pages 327-342, April.

2005

1. Albacete, Rebeca & Espasa, Antoni, 2005, "Forecasting inflation in the euro area using monthly time series models and quarterly econometric models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws050401, Jan.
2. Ausín Olivera, María Concepción & Galeano, Pedro, 2005, "Bayesian estimation of the gaussian mixture garch model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws053605, May.
   
   • Ausin, Maria Concepcion & Galeano, Pedro, 2007, "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 5, pages 2636-2652, February.
3. Haydée Lugo, 2005, "Incentives to Cooperate in Network Formation," Computing in Economics and Finance 2005, Society for Computational Economics, number 181, Nov.
   
   • Haydée Lugo & Raúl Jiménez, 2006, "Incentives to Cooperate in Network Formation," Computational Economics, Springer;Society for Computational Economics, volume 28, issue 1, pages 15-27, August, DOI: 10.1007/s10614-006-9033-7.
4. Lugo, H. & Dalmagro & F. Jiménez J., 2005, "Co-evolution of bounded rational agents in adaptive social networks," Computing in Economics and Finance 2005, Society for Computational Economics, number 354, Nov.
5. 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, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 636.05, Jan.

2004

1. Espasa, Antoni & Albacete, Rebeca, 2004, "Econometric modelling for short-term inflation forecasting in the EMU," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws034309, Feb.
2. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ds040901, May.
3. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws045013, May.
4. Galeano, Pedro & Peña, Daniel, 2004, "Model selection criteria and quadratic discrimination in ARMA and SETAR time series models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041406, Feb.
5. Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004, "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws044211, Sep.
6. 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws046816, Dec.
   
   • 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, volume 51, issue 12, pages 6151-6165, August.
7. Galeano, Pedro & Peña, Daniel, 2004, "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041305, Feb.
8. Galeano, Pedro & Peña, Daniel, 2004, "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042710, Sep.
   
   • Galeano, Pedro & Peña, Daniel, 2005, "A note on prediction and interpolation errors in time series," Statistics & Probability Letters, Elsevier, volume 73, issue 1, pages 71-78, June.
9. Benito Bonito, Mónica & Peña, Daniel, 2004, "Dimensionality reduction with image data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041003, Feb.
10. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004, "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042007, Jul.
    
    • M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004, "Spurious And Hidden Volatility," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-45, Nov.
11. Mora Galán, Alberto & Pérez, Ana & Ruiz Ortega, Esther, 2004, "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws046315, Nov.
12. 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, Econometric Society, number 21, Aug.

2003

1. Guttman, Irwin & Peña, Daniel & Redondas, María Dolores, 2003, "A bayesian approach for predicting with polynomial regresión of unknown degree," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032104, Apr.
2. Peña, Daniel & Redondas, María Dolores, 2003, "Bayesian curve estimation by model averaging," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws034410, Sep.
   
   • Pena, Daniel & Redondas, Dolores, 2006, "Bayesian curve estimation by model averaging," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 3, pages 688-709, February.
3. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2003, "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws036313, Nov.
   
   • M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004, "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-06, Feb.
4. Broto, Carmen & Ruiz Ortega, Esther, 2003, "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032003, Nov.
   
   • Broto, Carmen & Ruiz, Esther, 2006, "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 9, pages 2146-2166, May.
5. Balbás, Alejandro & Romera, Rosario & Ruiz Ortega, Esther, 2003, "An overview of probabilistic and time series models in finance," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032405, May.
   
   • Alejandro Balbás & Rosario Romera & Esther Ruiz, 2005, "An Overview of Probabilistic and Time Series Models in Finance," Springer Books, Springer, in: Ricardo Baeza-Yates & Joseph Glaz & Henryk Gzyl & Jürgen Hüsler & José Luis Palacios, "Recent Advances in Applied Probability", DOI: 10.1007/0-387-23394-6_2.
6. Rodríguez, Julio & Ruiz Ortega, Esther, 2003, "A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws036716, Nov.
7. Maria Helena Lopes Moreira da Veiga, 2003, "Forecasting Volatility Using A Continuous Time Model," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 584.03, Sep.
8. 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, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 585.03, Sep.

2002

1. 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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002023, Apr.
   
   • David Veredas & Juan Rodriguez-Poo & Antoni Espasa, 2001, "On the (Intradaily) Seasonality and Dynamics of a Financial Point Process : A Semiparametric Approach," Working Papers, Center for Research in Economics and Statistics, number 2001-19.
   • Veredas, David & Rodríguez Poo, Juan M. & Espasa, Antoni, 2001, "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws013321, Jun.
2. Espasa, Antoni & Albacete, Rebeca & Mínguez, Román & Senra, Eva, 2002, "Macroeconomic forecasts for the euro-zone and some policy implications," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws023607, Mar.
3. Espasa, Antoni & Poncela, Pilar & Senra, Eva, 2002, "Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws020301, Jan.
4. Espasa, Antoni, 2002, "Consideraciones econométricas para el análisis de la coyuntura económica," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number ds021201, Jul.
5. Broto, Carmen & Ruiz Ortega, Esther, 2002, "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws025414, Nov.
   
   • Carmen Broto & Esther Ruiz, 2004, "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, volume 18, issue 5, pages 613-649, December, DOI: 10.1111/j.1467-6419.2004.00232.x.

2001

1. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws013723, Jun.
   
   • 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, volume 8, issue 4, pages 402-421, DOI: 10.1080/13518470210167284.
2. Galeano, Pedro & Peña, Daniel, 2001, "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws012415, Mar.
3. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001, "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010704, Feb.
4. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001, "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010805, Mar.
5. Peña, Daniel & Sánchez, Ismael, 2001, "New in-sample prediction errors in time series with applications," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws011107, Jan.
6. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2001, "Introducing model uncertainty in time series bootstrap," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws011409, Feb.
7. Pérez, Ana & Ruiz Ortega, Esther, 2001, "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number ds010101, Jun.
   
   • Ana Pérez & Esther Ruiz, 2002, "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 395-445, September.
8. Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 2001, "Bootstrap prediction intervals for power-transformed time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010503, Jan.
   
   • Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005, "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 219-235.
9. Pérez, Ana & Ruiz Ortega, Esther, 2001, "Properties of the sample autocorrelations in autoregressive stochastic volatllity models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws011208, Jan.
10. Ruiz Ortega, Esther & Pérez, Ana, 2001, "Asymmetric long memory GARCH: a reply to Hwang's model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws016229, Nov.
    
    • Ruiz, Esther & Perez, Ana, 2003, "Asymmetric long memory GARCH: a reply to Hwang's model," Economics Letters, Elsevier, volume 78, issue 3, pages 415-422, March.

2000

1. Espasa, Antoni & Senra, Eva & Albacete, Rebeca, 2000, "Forecasting monetary union inflation: a disaggregated approach by countries and by sectors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10143, Dec.
2. Cancelo, José Ramón & Espasa, Antoni, 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 3666.
3. Álvarez, María José & Montes, María J. & Peña, Daniel, 2000, "La investigación internacional en TQM : análisis de tendencias (1994-1999)," DEE - Documentos de Trabajo. Economía de la Empresa. DB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 6312, Nov.
4. Peña, Daniel & Rodríguez, Julio, 2000, "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10133, Dec.
   
   • 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, volume 97, pages 601-610, June.
5. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2000, "Forecasting time series with sieve bootstrap," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9858, Feb.
6. Peña, Daniel, 2000, "An interview to George Box," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9920, Jul.
7. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2000, "Resampling time series by missing values techniques," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9923, Jul.
8. Peña, Daniel & Poncela, Pilar, 2000, "Forecasting with nostationary dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9959, Jul.
   
   • Pena, Daniel & Poncela, Pilar, 2004, "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 291-321, April.
9. Peña, Daniel & Rodríguez, Julio, 2000, "Descriptive measures of multivariate scatter and linear dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9960, Sep.
   
   • Peña, Daniel & Rodríguez, Julio, 2003, "Descriptive measures of multivariate scatter and linear dependence," Journal of Multivariate Analysis, Elsevier, volume 85, issue 2, pages 361-374, May.
10. Hernández, Nuria & Pañeda, Cándido & Ruiz Ortega, Esther, 2000, "Relaciones dinámicas en el mercado internacional de carne de vacuno," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3672, Mar.
11. Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 2000, "Forecasting returns and volatilities in GARCH processes using the bootstrap," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10059.

1999

1. Victor Gómez & Agustin Maravall & Daniel Peña, 1999, "Missing observations in ARIMA models: Skipping strategy versus outlier approach," Working Papers, Banco de España, number 9701.
2. Gil, J. A. & Peña, Daniel & Rodriguez, J., 1999, "Trend in statistical research productivity by journal publications over the period 1985-1997," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6355, Oct.
3. Gil, J. A. & Peña, Daniel & Rodriguez, J., 1999, "Statiscal research in Europe:1985-1997," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6356, Oct.
   
   • 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, volume 9, issue 1, pages 255-281, June, DOI: 10.1007/BF02595861.
4. Peña, Daniel & Prieto, Francisco J., 1999, "The kurtosis coeficient and the linear discriminant function," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6358, Oct.
   
   • Peña, Daniel & Prieto, Francisco J., 2000, "The kurtosis coefficient and the linear discriminant function," Statistics & Probability Letters, Elsevier, volume 49, issue 3, pages 257-261, September.
5. Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 1999, "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6283, Mar.
   
   • Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004, "Bootstrap predictive inference for ARIMA processes," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 4, pages 449-465, July, DOI: 10.1111/j.1467-9892.2004.01713.x.
6. Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 1999, "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6304, Apr.
   
   • Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001, "Effects of parameter estimation on prediction densities: a bootstrap approach," International Journal of Forecasting, Elsevier, volume 17, issue 1, pages 83-103.
7. Pérez, Ana & Ruiz Ortega, Esther, 1999, "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6360, Sep.
   
   • Perez, Ana & Ruiz, Esther, 2001, "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, volume 70, issue 2, pages 157-164, February.
8. 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, Society for Computational Economics, number 231, Mar.

1998

1. Martínez, José Manuel & Espasa, Antoni, 1998, "Modelling nonlinearities in GDP. Some diferences between us and spanish data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6259, Mar.
2. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 3661, Feb.
3. Martínez, J. Manuel & Espasa, Antoni, 1998, "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3662, Feb.
4. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 3663, May.
5. Martínez, J. Manuel & Espasa, Antoni, 1998, "Caracterización del PIB español a partir de modelos univariantes no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3660, Feb.
6. Senra, Eva & Espasa, Antoni, 1998, "A nonlinear model for the investment function in Spain," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4671, May.
7. Justel, A. & Peña, Daniel, 1998, "Heterogeneity and model uncertainty in bayesian regression models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6260, Sep.
8. Tsay, Ruey S. & Peña, Daniel & Pankratz, Alan E., 1998, "Outliers in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6285, Dec.
9. Justel, A. & Peña, Daniel & Tsay, Ruey S., 1998, "Detection of outlier patches in autoregressive time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9821, Feb.
10. Ester Ruiz & Fernando Lorenzo, 1998, "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0698, Dec.

1997

1. Espasa, Antoni, 1997, "Perspectivas inflacionistas para 1997-1999 en la economía española," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3649, Oct.
2. Martínez, José Manuel & Espasa, Antoni, 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 3646, Sep.
3. Peña, Daniel, 1997, "La mejora de la calidad en la educación: reflexiones y experiencias," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3645, Jul.
4. Peña, Daniel & Prieto, Francisco J., 1997, "Robust covariance matrix estimation and multivariate outlier detection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10497, Feb.
5. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1997, "Missing observations in ARIMA models: skipping strategy versus additive outlier approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10576, Feb.
6. Guerrero, Victor M. & Peña, Daniel & Poncela, Pilar, 1997, "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6212, Oct.
   
   • 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, volume 16, issue 4, pages 489-497, October.
7. Sánchez, María Jesús & Peña, Daniel, 1997, "The identification of multiple outliers in arima models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6220, Oct.
8. Peña, Daniel & Poncela, Pilar, 1997, "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6224, Dec.
9. Lorenzo, Fernando & Ruiz Ortega, Esther, 1997, "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3648, Nov.
10. Ester Ruiz & Fernando Lorenzo, 1997, "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0298, Dec.

1996

1. Espasa, Antoni & Revuelta, J. Manuel & Cancelo, José Ramón, 1996, "Modelización automática de series diarias de actividad económica," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3640, Apr.
2. Espasa, Antoni, 1996, "Inflación, política económica, tipos de interés y expectativas," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3643, Nov.
3. Espasa, Antoni, 1996, "Inflación y política económica," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3641, Jul.
4. Cancelo, José Ramón & Espasa, Antoni, 1996, "Using high-frequency data and time series models to improve yield management," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4543, Apr.
5. Espasa, Antoni & Moreno, Diego, 1996, "Empleo, crecimiento y política económica," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3638, Jan.
6. Espasa, Antoni & Cancelo, José Ramón & Revuelta, J. Manuel, 1996, "Automatic modelling of daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3356, Apr.
7. Agustín Maravall & Daniel Peña, 1996, "Missing Observations and Additive Outliers in Time Series Models," Working Papers, Banco de España, number 9612.
   
   • Maravall, Agustín & Peña, Daniel, 1992, "Missing observations and additive outliers in time series models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2888, Sep.
8. JUSTEL, Ana & PEÑA , Daniel, 1996, "Bayesian Unmasking in Linear Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1996019, May.
   
   • Justel, Ana & Pena, Daniel, 2001, "Bayesian unmasking in linear models," Computational Statistics & Data Analysis, Elsevier, volume 36, issue 1, pages 69-84, March.
   • Justel, Ana & Peña, Daniel, 1996, "Bayesian unmasking in linear models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10458, Sep.
9. Peña, Daniel, 1996, "El futuro de los métodos estadísticos," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3639, Feb.
10. Peña, Daniel & Zamar, Rubén, 1996, "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10486, Sep.
    
    • Peña, Daniel & Zamar, Ruben, 1997, "A simple diagnostic tool for local prior sensitivity," Statistics & Probability Letters, Elsevier, volume 36, issue 2, pages 205-212, December.
11. Peña, Daniel & Poncela, Pilar, 1996, "Pooling information and forecasting with dynamic factor analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10709, Nov.
12. Peña, Daniel & Yohai, Víctor J., 1996, "A procedure for robust estimation and diagnostics in regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10710, Dec.
13. Peña, Daniel, 1996, "Measuring service quality by linear indicators," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10736, Sep.
14. Ruiz Ortega, Esther & Lorenzo, Fernando, 1996, "Which univariate time series model predicts quicker a crisis? The Iberia case," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4545, Jul.

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, Universidad Carlos III de Madrid. Departamento de Estadística, number 10974.
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, Universidad Carlos III de Madrid. Departamento de Estadística, number 10975, Feb.
3. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 3584, Sep.
4. Victor M. Guerrero & Daniel Peña, 1995, "Linear Combination of Information in Time Series Analysis," Working Papers, Centro de Investigacion Economica, ITAM, number 9507, Sep.
   
   • Guerrero, Víctor M. & Peña, Daniel, 1995, "Linear combination of information in time series analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10340, Nov.
5. Peña, Daniel, 1995, "Experiencias de mejora de la calidad en la universidad," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10881, Oct.
6. Sánchez, Ismael & Peña, Daniel, 1995, "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10347, Dec.
   
   • Ismael Sanchez & Daniel Pena, 2001, "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 1, pages 45-66, January, DOI: 10.1111/1467-9892.00211.
   • Daniel Peña & Ismael Sánchez, 1999, "Properties Of Predictors In Overdifferenced Nearly Nonstationary Autoregression," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1999-08, May.
7. Justel, Ana & Peña, Daniel, 1995, "Gibbs sampling will fail in outlier problems with strong masking," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4203, Jun.
8. Peña, Daniel & Ruiz-Castillo, Javier, 1995, "Inflation and inequality bias in the presence of bulk purchases for food and drinks," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4514, Oct.
9. Peña, Daniel, 1995, "Combining information in statistical modelling," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4516, Nov.

1994

1. Espasa, Antoni, 1994, "Perspectives of the Spanish economy at the beginning of 1994," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 11010, Jan.
2. Espasa, Antoni, 1994, "Fundamentos, información estadística y procedimientos en el análisis de la coyuntura macroeconómica," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2947, Oct.
3. Espasa, Antoni & Lorenzo, Fernando, 1994, "Evaluación de la desaceleración del IPC en 1994," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10976, Oct.
4. Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number 2949, Dec.
5. Espasa, Antoni & Cancelo, José Ramón, 1994, "El cálculo del crecimiento de variables económicas a partir de modelos cuantitativos," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2948, Oct.
6. Espasa, Antoni, 1994, "Domestic and foreign demands in the Spanish economy for 1994," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10983, May.
7. Espasa, Antoni, 1994, "Aproximaciones a la Econometría," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2943, Jan.
8. Espasa, Antoni & Moreno, Diego, 1994, "Consideraciones sobre el empleo," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10973.
9. Justel, Ana & Peña, Daniel & Sánchez, María Jesús, 1994, "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10755, May.
10. Justel, Ana & Peña, Daniel & Zamar, Rubén, 1994, "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3955, Sep.
    
    • Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997, "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, volume 35, issue 3, pages 251-259, October.
11. Ruiz Ortega, Esther, 1994, "Modelos para series temporales heterocedásticas," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2944, Feb.
12. Peña, Juan Ignacio & Ruiz Ortega, Esther, 1994, "Stock market regulations and international financial integration: the case of Spain," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 7083, Jul.
    
    • 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, volume 1, issue 4, pages 367-382, DOI: 10.1080/13518479500000025.

1993

1. Espasa, Antoni, 1993, "The outlook of the Spanish economy in the first quarter of 1993," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 11020, Nov.
2. Espasa, Antoni, 1993, "Modelling daily series of economic activity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3682, Nov.
3. Espasa, Antoni, 1993, "Report on the Spanish economy," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10982, Nov.
4. Espasa, Antoni, 1993, "Consideraciones sobre los fundamentos y desarrollo de la econometría," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 20102, May.
5. Espasa, Antoni & Senra, Eva, 1993, "Consideraciones sobre la función de inversión en España," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2942, Feb.
6. Escribano, Álvaro & Peña, Daniel, 1993, "Cointegration and common factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3680, Apr.
   
   • Alvaro Escribano & Daniel Peña, 1994, "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, volume 15, issue 6, pages 577-586, November, DOI: 10.1111/j.1467-9892.1994.tb00213.x.
7. Peña, Daniel & Zamar, Rubén, 1993, "On bayesian robustness: an asymptotic approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3736, Oct.
8. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1993, "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3737, Oct.
9. Peña, Daniel, 1993, "Forecasting growth with time series models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3740, Dec.
10. Ruiz Ortega, Esther, 1993, "Stochastic volatility versus autoregressive conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 5708, Dec.

1992

1. Espasa, Antoni, 1992, "El análisis de la coyuntura económica: un ejercicio basado en modelos," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3023, Jun.
2. Álvarez, Luis J. & Delrieu, Juan C. & Espasa, Antoni, 1992, "Aproximación lineal por tramos a comportamientos no lineales: estimación de señales de nivel y crecimiento," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 2940, Dec.
   
   • Luis J. Alvarez & Juan C. Delrieu & Antoni Espasa, 1992, "Aproximación lineal por tramos a comportamientos no lineales : estimación de señales de nivel y crecimiento," Working Papers, Banco de España, number 9226.
3. Espasa, Antoni & Gómez-Churruca, 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, Universidad Carlos III de Madrid. Departamento de Economía, number 2842, Jul.
4. Peña, Daniel, 1992, "Reflexiones sobre la enseñanza experimental de la estadística," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3009, Feb.
5. Juan, Jesús & Peña, Daniel, 1992, "A simple method to identify significant effects in unreplicated two-level factorial designs," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2818, Feb.
6. Guttman, Irwin & Peña, Daniel, 1992, "A Bayesian look at diagnostics in the univariate linear model," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2831, May.
7. Peña, Daniel & Guttman, Irwin, 1992, "Comparing probabilistic methods for outlier detection," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2841, Jul.
8. Esther Ruiz, 1992, "Quasi-Maximum Likelihood Estimation of Stochastic Variance Models," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 244.

1991

1. Espasa, Antoni & Cancelo, José Ramón, 1991, "Model based measures of contemporaneous economic growth," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2809, Jul.
2. Espasa, Antoni, 1991, "Perspectiva historica de los modelos Arima y su utilidad en el análisis economico," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3001, Feb.
   
   • 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, volume 9, issue 3, pages 541-549, December.
3. Cancelo, José Ramón & Espasa, Antoni, 1991, "Forecasting daily demand for electricity with multiple-input nonlinear transfer function models: a case study," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2808, Jul.
4. Cancelo, José Ramón & Espasa, Antoni, 1991, "Un nuevo indicador semanal y mensual de actividad basado en el consumo de energía eléctrica," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3004, Jul.
5. Cancelo, José Ramón & Espasa, Antoni, 1991, "Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 5811, Feb.
6. Espasa, Antoni & Llanos Matea, Maria de los, 1991, "Underlying inflation in the spanish economy: estimation and methodology," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2817, Nov.
7. Morales, Eduardo & Izquierdo, J. Félix & Espasa, Antoni, 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, Universidad Carlos III de Madrid. Departamento de Economía, number 3005, Jul.
8. Revilla, Pedro & Rey, Pilar & Espasa, Antoni, 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, Universidad Carlos III de Madrid. Departamento de Economía, number 2815, Nov.
9. Morales, Eduardo & Izquierdo, J. Félix & Espasa, Antoni, 1991, "Análisis coyuntural de los precios al consumo en las comunidades autonomas españolas: aplicación a Castilla-León," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3006, Sep.
10. Peña, Daniel & Espasa, Antoni, 1991, "ARIMA models, the steady state of economic variables and their estimation," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2760, Feb.
11. Peña, Daniel & Tiao, George C., 1991, "A Note on likelihood estimation of missing values in time series," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2748, Feb.
12. Peña, Daniel & Yohai, Víctor J., 1991, "The detection of influential subsets in linear regression using an influence matrix," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2798, Mar.
13. Peña, Daniel & Tiao, George C., 1991, "Bayesian outliers functions for linear models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 5816, Mar.

1990

1. Peña, Daniel, 1990, "Measuring influence in dynamic regression models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2768, Jun.
2. Peña, Daniel & Maravall, Agustín, 1990, "Interpolation, outliers and inverse autocorrelations," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2770, Feb.

---

Journal articles

2026

1. Garrón, Ignacio & Rodríguez-Caballero, Vladimir & Ruiz, Esther, 2026, "International factors and inflation risks," International Journal of Forecasting, Elsevier, volume 42, issue 3, pages 889-908, DOI: 10.1016/j.ijforecast.2025.12.003.

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, volume 46, issue 2, pages 258-285, March, DOI: 10.1111/jtsa.12769.
2. Aránzazu Juan & Pilar Poncela & Esther Ruiz, 2025, "Economic activity and $$\hbox {CO}_2$$ CO 2 emissions in Spain," Empirical Economics, Springer, volume 68, issue 3, pages 1379-1408, March, DOI: 10.1007/s00181-024-02673-1.
3. María A. González-Álvarez & Antonio Montañés & Esther Ruiz & Skender Uku, 2025, "Economic convergence of Balkan regions towards EU," Journal of Applied Economics, Taylor & Francis Journals, volume 28, issue 1, pages 2460149-246, December, DOI: 10.1080/15140326.2025.2460149.
4. Ramos Sofia B. & Taamouti Abderrahim & Veiga Helena, 2025, "Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 1, pages 39-52, DOI: 10.1515/snde-2023-0005.
   
   • Sofia B. Ramosa & Abderrahim Taamouti & Helena Veiga, 2023, "Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach," Working Papers, University of Liverpool, Department of Economics, number 202309.
5. Peeters, Ronald & Veiga, Helena & Vorsatz, Marc, 2025, "An experimental analysis of contagion in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 171, issue C, DOI: 10.1016/j.jedc.2024.105033.
   
   • Veiga, Helena & Peeters, Ronald & Vorstaz, Marc, 2022, "An experimental analysis of contagion in financial markets," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31230, Oct.

2024

1. Carlomagno, Guillermo & Eterovic, Nicolás & Hernández-Román, Luis G., 2024, "Disentangling demand and supply inflation shocks from electronic payments data," Economic Modelling, Elsevier, volume 141, issue C, DOI: 10.1016/j.econmod.2024.106871.
2. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024, "Daily growth at risk: Financial or real drivers? The answer is not always the same," International Journal of Forecasting, Elsevier, volume 40, issue 2, pages 762-776, DOI: 10.1016/j.ijforecast.2023.05.008.
   
   • Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2022, ""Daily Growth at Risk: financial or real drivers? The answer is not always the same"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202208, Jun, revised Jun 2022.
3. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024, "Vulnerable funding in the global economy," Journal of Banking & Finance, Elsevier, volume 169, issue C, DOI: 10.1016/j.jbankfin.2024.107314.
   
   • Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2021, ""Vulnerable Funding in the Global Economy"," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 202106, Mar, revised Mar 2021.
4. Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024, "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, volume 67, issue 1, pages 31-45, July, DOI: 10.1007/s00181-023-02542-3.
5. 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., volume 39, issue 5, pages 926-942, August, DOI: 10.1002/jae.3060.
   
   • Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023, "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers, University of California at Riverside, Department of Economics, number 202314, Nov.
6. 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, volume 30, issue C, pages 15-35, DOI: 10.1016/j.ecosta.2021.08.006.
   
   • Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Rue, Havard & Veiga, Helena, 2021, "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31804, Jan.
7. Luís F. Costa & Helena Veiga, 2024, "Editors’ note," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 23, issue 1, pages 1-2, January, DOI: 10.1007/s10258-023-00251-4.

2023

1. 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, volume 4, issue 3, DOI: 10.1016/j.latcb.2023.100094.
2. Daniel Peña & Ruey S. Tsay, 2023, "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 5-6, pages 667-685, September, DOI: 10.1111/jtsa.12706.
3. Camacho, Maximo & Caro, Angela & Peña, Daniel, 2023, "What drives industrial energy prices?," Economic Modelling, Elsevier, volume 120, issue C, DOI: 10.1016/j.econmod.2022.106158.
4. 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, volume 32, issue 1, pages 107-145, March, DOI: 10.1007/s11749-022-00826-x.
5. Esther Ruiz & María Rosa Nieto, 2023, "Direct versus iterated multiperiod Value‐at‐Risk forecasts," Journal of Economic Surveys, Wiley Blackwell, volume 37, issue 3, pages 915-949, July, DOI: 10.1111/joes.12522.
6. Fresoli, Diego & Poncela, Pilar & Ruiz, Esther, 2023, "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," Economics Letters, Elsevier, volume 230, issue C, DOI: 10.1016/j.econlet.2023.111246.
   
   • Fresoli, Diego Eduardo & Poncela, Pilar & Ruiz Ortega, Esther, 2022, "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 36251, Dec.

2022

1. Carlomagno, Guillermo & Albagli, Elías, 2022, "Trade wars and asset prices," Journal of International Money and Finance, Elsevier, volume 124, issue C, DOI: 10.1016/j.jimonfin.2022.102631.
2. María José Roa & Alejandra Villegas & Ignacio Garrón, 2022, "Interest rate caps on microcredit: evidence from a natural experiment in Bolivia," Journal of Development Effectiveness, Taylor & Francis Journals, volume 14, issue 2, pages 125-142, April, DOI: 10.1080/19439342.2021.1968934.
3. Daniel Peña, 2022, "Comment on “Factor Models for High-Dimensional Tensor Time Series”," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 537, pages 118-123, January, DOI: 10.1080/01621459.2021.2024214.
4. Esther Ruiz & Pilar Poncela, 2022, "Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components," Foundations and Trends(R) in Econometrics, now publishers, volume 12, issue 2, pages 121-231, November, DOI: 10.1561/0800000039.
5. 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, volume 13, issue 1, pages 397-428, May, DOI: 10.1007/s13209-021-00248-2.
   
   • Miranda Gualdrón, Karen Alejandra & Poncela, Pilar & Ruiz Ortega, Esther, 2021, "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 32210, Mar.

2021

1. 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, volume 83, issue 3, pages 641-662, June, DOI: 10.1111/obes.12412.
2. 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, volume 37, issue 4, pages 1333-1337, DOI: 10.1016/j.ijforecast.2021.06.004.
3. 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, volume 37, issue 4, pages 1498-1508, DOI: 10.1016/j.ijforecast.2020.10.008.
4. Javier Maldonado & Esther Ruiz, 2021, "Accurate Confidence Regions for Principal Components Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 83, issue 6, pages 1432-1453, December, DOI: 10.1111/obes.12436.
5. 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, volume 37, issue 4, pages 1399-1425, DOI: 10.1016/j.ijforecast.2021.01.027.
   
   • Poncela, Pilar & Ruiz Ortega, Esther & Miranda Gualdrón, Karen Alejandra, 2020, "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 30644, Jun.
6. Isabel Casas & Helena Veiga, 2021, "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 1015-1039, April, DOI: 10.1007/s10614-020-10005-5.
   
   • Casas, Isabel & Veiga, Helena, 2019, "Exploring option pricing and hedging via volatility asymmetry," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28234, Mar.

2020

1. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020, "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 35-52, DOI: 10.1016/j.jeconom.2020.01.004.
2. Peña, Daniel, 2020, "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, volume 36, issue 4, pages 1241-1251, DOI: 10.1016/j.ijforecast.2019.12.005.
3. 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, volume 13, issue C, pages 84-105, DOI: 10.1016/j.ecosta.2019.08.002.
4. 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, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105882.
5. Francisco Corona & Pilar Poncela & Esther Ruiz, 2020, "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, volume 55, issue 1, pages 37-60, January, DOI: 10.1007/s10614-018-9875-9.
   
   • Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017, "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24585, May.
6. 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, volume 39, issue 10, pages 971-990, November, DOI: 10.1080/07474938.2020.1761150.
   
   • 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, University of California at Riverside, Department of Economics, number 201709, Jul.
7. Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020, "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 4, pages 373-390, June, DOI: 10.1002/jae.2754.
   
   • Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201817, Oct.
   • Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019, "Prediction Regions for Interval-valued Time Series," Working Papers, University of California at Riverside, Department of Economics, number 201921, Sep.
8. Ramos, Sofia B. & Latoeiro, Pedro & Veiga, Helena, 2020, "Limited attention, salience of information and stock market activity," Economic Modelling, Elsevier, volume 87, issue C, pages 92-108, DOI: 10.1016/j.econmod.2019.07.010.
9. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020, "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, volume 39, issue 10, pages 1057-1074, November, DOI: 10.1080/07474938.2020.1770997.
   
   • Zea Bermúdez, Patricia de & Marín Díazaraque, Juan Miguel & Veiga, Helena, 2019, "Data cloning estimation for asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 28214, Mar.

2019

1. María José Roa & Ignacio Garrón & Jonathan Barboza, 2019, "Financial Decisions and Financial Capabilities in the Andean Region," Journal of Consumer Affairs, Wiley Blackwell, volume 53, issue 2, pages 296-323, June, DOI: 10.1111/joca.12187.
2. 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, volume 28, issue 2, pages 289-329, June, DOI: 10.1007/s11749-019-00651-9.
3. 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, volume 28, issue 2, pages 363-368, June, DOI: 10.1007/s11749-019-00652-8.
4. 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, volume 114, issue 528, pages 1683-1694, October, DOI: 10.1080/01621459.2018.1520117.
5. González-Rivera, Gloria & Maldonado, Javier & Ruiz, Esther, 2019, "Growth in stress," International Journal of Forecasting, Elsevier, volume 35, issue 3, pages 948-966, DOI: 10.1016/j.ijforecast.2019.04.006.
   
   • González-Rivera, Gloria & Ruiz Ortega, Esther & Maldonado, Javier, 2018, "Growth in Stress," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 26623, Mar.
   • Gloria Gonzalez-Rivera & Esther Ruiz & Javier Vicente, 2018, "Growth in Stress," Working Papers, University of California at Riverside, Department of Economics, number 201805, Apr.
6. 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, volume 10, issue 2, pages 115-139, June, DOI: 10.1007/s13209-019-0188-6.
7. João H. Gonçalves Mazzeu & Helena Veiga & Massimo B. Mariti, 2019, "Modeling and forecasting the oil volatility index," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 8, pages 773-787, December, DOI: 10.1002/for.2598.
   
   • Mariti, Massimo B. & Gonçalves Mazzeu, Joao Henrique & Veiga, Helena, 2017, "Modeling and forecasting the oil volatility index," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 25985, Nov.

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, volume 32, issue 2, pages 388-419, April, DOI: 10.1111/joes.12197.
2. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018, "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, volume 34, issue 1, pages 45-63, DOI: 10.1016/j.ijforecast.2017.08.003.
   
   • Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015, "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1516, Jul.

2017

1. 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, volume 5, issue 4, pages 1-28, October.
2. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017, "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, volume 33, issue 4, pages 1105-1123, DOI: 10.1016/j.ijforecast.2017.07.001.
3. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017, "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, volume 53, issue 1, pages 351-372, August, DOI: 10.1007/s00181-016-1158-5.
   
   • Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2016, "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1602, Feb.

2016

1. 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, volume 48, issue 9, pages 799-815, February, DOI: 10.1080/00036846.2015.1088141.
2. Oscar A. Díaz Quevedo & Ignacio Garrón Vedia, 2016, "Un modelo de equilibrio general estocástico dinámico para analizar el efecto de la política monetaria sobre el sistema financiero boliviano," Revista de Análisis del BCB, Banco Central de Bolivia, volume 24, issue 1, pages 147-192, June.
3. Ignacio Garrón Vedia & Tatiana Rocabado Palomeque, 2016, "Economías de escala y eficiencia en la banca boliviana: el efecto de la especialización del crédito," Revista de Análisis del BCB, Banco Central de Bolivia, volume 25, issue 2, pages 141-190, July.
4. 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, volume 100, issue C, pages 814-829, DOI: 10.1016/j.csda.2014.12.005.
   
   • 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, arXiv.org, number 1301.5129, Jan, revised Jan 2014.
   • Virbickaite, Audrone & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2013, "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131009, May.
5. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016, "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 54-68, DOI: 10.1016/j.jempfin.2016.08.007.
6. Daniel Peña & Victor J. Yohai, 2016, "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 515, pages 1121-1131, July, DOI: 10.1080/01621459.2015.1072542.
7. Fresoli, Diego E. & Ruiz, Esther, 2016, "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 170-185, DOI: 10.1016/j.csda.2015.03.017.
   
   • Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 2014, "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140202, Feb.
8. Nieto, Maria Rosa & Ruiz, Esther, 2016, "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 475-501, DOI: 10.1016/j.ijforecast.2015.08.003.
9. 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, volume 7, issue 1, pages 179-201, March, DOI: 10.1007/s13209-015-0131-4.
   
   • Carnero Fernández, María Ángeles & Pérez, Ana & Ruiz Ortega, Esther, 2014, "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141912, Jul.

2015

1. Cuevas Ángel & Quilis Enrique M. & Espasa Antoni, 2015, "Quarterly Regional GDP Flash Estimates by Means of Benchmarking and Chain Linking," Journal of Official Statistics, Paradigm, volume 31, issue 4, pages 627-647, December, DOI: 10.1515/jos-2015-0038.
2. 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, volume 29, issue 1, pages 76-96, February.
3. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015, "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 834-848, DOI: 10.1016/j.ijforecast.2014.04.001.
4. Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015, "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, volume 50, issue C, pages 212-227, DOI: 10.1016/j.econmod.2015.06.010.
   
   • 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws130504, Mar.
5. 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, volume 240, issue 2, pages 562-571, DOI: 10.1016/j.ejor.2014.07.005.

2014

1. 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, volume 232, issue 2, pages 350-358, DOI: 10.1016/j.ejor.2013.07.008.
   
   • Ausín Olivera, María Concepción & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws103822, Sep.
2. Galeano, Pedro & Wied, Dominik, 2014, "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 262-282, DOI: 10.1016/j.csda.2013.02.031.
3. 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, volume 23, issue 4, pages 725-750, December, DOI: 10.1007/s11749-014-0379-1.
   
   • Sguera, Carlo & Galeano San Miguel, Pedro & Lillo Rodríguez, Rosa Elvira, 2012, "Spatial depth-based classification for functional data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws120906, May.
4. 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, volume 123, issue C, pages 281-291, DOI: 10.1016/j.apenergy.2014.02.061.
5. Jorge Galán & Helena Veiga & Michael Wiper, 2014, "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," Journal of Productivity Analysis, Springer, volume 42, issue 1, pages 85-101, August, DOI: 10.1007/s11123-013-0377-4.
   
   • Galán Camacho, Jorge Eduardo & Veiga, Helena & Wiper, Michael Peter, 2012, "Bayesian estimation of inefficiency heterogeneity in stochastic frontier models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws121007, May.
   • Galán, Jorge E. & Veiga, Helena & Wiper, Michael P., 2012, "Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2012/03.

2013

1. Espasa, Antoni & Mayo-Burgos, Iván, 2013, "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, volume 29, issue 4, pages 718-732, DOI: 10.1016/j.ijforecast.2012.10.004.
   
   • Espasa, Antoni & Mayo, Iván, 2012, "Forecasting aggregates and disaggregates with common features," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws110805, Aug.
2. Javier Aliaga Lordemann & Ignacio Garrón Vedia, 2013, "Pruebas de tensión al sistema bancario boliviano," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB), issue 19, pages 9-53.
   
   • Ignacio Garrón Vedia & Javier Aliaga Lordemann, 2013, "Pruebas de Tensión al Sistema Bancario Boliviano," Documentos de trabajo, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana, number 6/2013, Jun.
3. 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, volume 11, issue 2, pages 400-441, March.
   
   • Santos, André A. P. & Nogales, Francisco J. & Ruiz Ortega, Esther, 2009, "Comparing univariate and multivariate models to forecast portfolio value-at-risk," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097222, Nov.
4. Ramos, Sofia B. & Veiga, Helena, 2013, "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, volume 38, issue C, pages 136-145, DOI: 10.1016/j.eneco.2013.03.011.

2012

1. 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, volume 21, issue 3, pages 455-458, September, DOI: 10.1007/s11749-012-0300-8.
2. Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012, "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, volume 114, issue 1, pages 86-90, DOI: 10.1016/j.econlet.2011.09.023.
3. 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, volume 28, issue 1, pages 70-93, DOI: 10.1016/j.ijforecast.2011.02.010.
4. 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, volume 56, issue 1, pages 62-74, January.
   
   • Rodríguez, Alejandro & Ruiz Ortega, Esther, 2010, "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws100301, Jan.
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, volume 16, issue 3, pages 1-33, September, DOI: 10.1515/1558-3708.1880.
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, volume 36, issue 7, pages 1928-1942, DOI: 10.1016/j.jbankfin.2012.03.001.
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, volume 10, issue 4, pages 637-668, September.
8. Aurea Grané & Helena Veiga, 2012, "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 11, issue 2, pages 147-164, August, DOI: 10.1007/s10258-012-0081-8.

2011

1. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011, "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 308-319, April.
   
   • Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011, "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, volume 27, issue 2, pages 308-319, DOI: 10.1016/j.ijforecast.2010.05.007.
2. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011, "Identification of TAR models using recursive estimation," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 1, pages 31-50, January.
3. 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, volume 38, issue 4, pages 799-815, January, DOI: 10.1080/02664761003692316.
4. Ramos, Sofia B. & Veiga, Helena, 2011, "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, volume 33, issue 3, pages 525-542, May.
   
   • Ramos, Sofia B. & Veiga, Helena, 2009, "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws096920, Nov.

2010

1. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010, "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, volume 107, issue 2, pages 88-90, May.
2. Pedro Galeano & Ruey S. Tsay, 2010, "Shifts in Individual Parameters of a GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 1, pages 122-153, Winter.
3. 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, volume 101, issue 2, pages 327-339, February.
4. 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, volume 28, issue 4, pages 559-571.
5. 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, volume 101, issue 9, pages 1995-2007, October.
6. Grané, Aurea & Veiga, Helena, 2010, "Wavelet-based detection of outliers in financial time series," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2580-2593, November.
7. Helena Veiga & Marc Vorsatz, 2010, "Information aggregation in experimental asset markets in the presence of a manipulator," Experimental Economics, Springer;Economic Science Association, volume 13, issue 4, pages 379-398, December, DOI: 10.1007/s10683-010-9247-3.

2009

1. 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, volume 4, issue 2, pages 183-193, November, DOI: 10.1007/s11403-009-0053-y.
2. Daniel Peña, 2009, "Dimension reduction in time series and the dynamic factor model," Biometrika, Biometrika Trust, volume 96, issue 2, pages 494-496.
3. Alejandro Rodriguez & Esther Ruiz, 2009, "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 2, pages 167-178, March, DOI: 10.1111/j.1467-9892.2008.00604.x.
   
   • Rodríguez, Alejandro & Ruiz Ortega, Esther, 2008, "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws081104, Mar.
4. Broto Carmen & Ruiz Esther, 2009, "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 13, issue 2, pages 1-30, May, DOI: 10.2202/1558-3708.1620.
   
   • Carmen Broto & Esther Ruiz, 2008, "Testing for conditional heteroscedasticity in the components of inflation," Working Papers, Banco de España, number 0812, Jun.
5. 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, volume 53, issue 10, pages 3593-3600, August.
6. Helena Veiga, 2009, "Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models," Economics Bulletin, AccessEcon, volume 29, issue 1, pages 265-276.
7. Veiga, Helena & Vorsatz, Marc, 2009, "Price manipulation in an experimental asset market," European Economic Review, Elsevier, volume 53, issue 3, pages 327-342, April.
   
   • Veiga, H. & Vorsatz, M., 2006, "Price manipulation in an experimental asset market," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 024, Jan, DOI: 10.26481/umamet.2006024.

2008

1. 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, volume 24, issue 4, pages 588-602.
2. Taylor, James W. & Espasa, Antoni, 2008, "Energy forecasting," International Journal of Forecasting, Elsevier, volume 24, issue 4, pages 561-565.
3. Ruiz, Esther & Veiga, Helena, 2008, "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 6, pages 2846-2862, February.
   
   • Ruiz Ortega, Esther & Veiga, Helena, 2006, "Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws066016, Oct.
4. Grané, A. & Veiga, H., 2008, "Accurate minimum capital risk requirements: A comparison of several approaches," Journal of Banking & Finance, Elsevier, volume 32, issue 11, pages 2482-2492, November.

2007

1. Antoni Espasa & Rebeca Albacete, 2007, "Econometric modelling for short-term inflation forecasting in the euro area," Journal of Forecasting, John Wiley & Sons, Ltd., volume 26, issue 5, pages 303-316, DOI: 10.1002/for.1021.
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, volume 22, issue 3, pages 411-427, September, DOI: 10.1007/s00180-007-0048-x.
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, volume 51, issue 12, pages 6151-6165, August.
   
   • 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws046816, Dec.
4. Ausin, Maria Concepcion & Galeano, Pedro, 2007, "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 5, pages 2636-2652, February.
   
   • Ausín Olivera, María Concepción & Galeano, Pedro, 2005, "Bayesian estimation of the gaussian mixture garch model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws053605, May.
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, volume 77, issue 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, volume 28, issue 4, pages 471-497, July, DOI: 10.1111/j.1467-9892.2006.00519.x.
7. Daniel Peña & Ismael Sánchez, 2007, "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 6, pages 886-909, November, DOI: 10.1111/j.1467-9892.2007.00538.x.
8. Benito, Monica & Pena, Daniel, 2007, "Detecting defects with image data," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 12, pages 6395-6403, August.
9. Helena Veiga, 2007, "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., volume 7, issue 3‐4, pages 105-118, September, DOI: 10.1111/j.1468-2443.2007.00070.x.
   
   • Veiga, Helena, 2006, "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws060101, Jan.

2006

1. 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, volume 101, pages 654-669, June.
2. Haydée Lugo & Raúl Jiménez, 2006, "Incentives to Cooperate in Network Formation," Computational Economics, Springer;Society for Computational Economics, volume 28, issue 1, pages 15-27, August, DOI: 10.1007/s10614-006-9033-7.
   
   • Haydée Lugo, 2005, "Incentives to Cooperate in Network Formation," Computing in Economics and Finance 2005, Society for Computational Economics, number 181, Nov.
3. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006, "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 10, pages 2668-2684, June.
4. Pena, Daniel & Redondas, Dolores, 2006, "Bayesian curve estimation by model averaging," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 3, pages 688-709, February.
   
   • Peña, Daniel & Redondas, María Dolores, 2003, "Bayesian curve estimation by model averaging," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws034410, Sep.
5. Andrés Alonso & Daniel Peña & Juan Romo, 2006, "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, volume 47, issue 2, pages 167-179, March, DOI: 10.1007/s00362-005-0282-7.
6. Broto, Carmen & Ruiz, Esther, 2006, "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 9, pages 2146-2166, May.
   
   • Broto, Carmen & Ruiz Ortega, Esther, 2003, "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032003, Nov.
7. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006, "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 9, pages 2293-2312, May.

2005

1. Espasa, Antoni, 2005, "Comments on "The Marshallian macroeconomic model: A progress report" by Arnold Zellner and Guillermo Israilevich," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 647-650.
2. Galeano, Pedro & Peña, Daniel, 2005, "A note on prediction and interpolation errors in time series," Statistics & Probability Letters, Elsevier, volume 73, issue 1, pages 71-78, June.
   
   • Galeano, Pedro & Peña, Daniel, 2004, "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042710, Sep.
3. Daniel Pena & Ismael Sanchez, 2005, "Multifold Predictive Validation in ARMAX Time Series Models," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 135-146, March.
4. Pena, Daniel & Rodriguez, Julio, 2005, "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 731-748.
5. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005, "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 219-235.
   
   • Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 2001, "Bootstrap prediction intervals for power-transformed time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010503, Jan.
6. Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005, "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 623-625.

2004

1. Pena, Daniel & Poncela, Pilar, 2004, "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 291-321, April.
   
   • Peña, Daniel & Poncela, Pilar, 2000, "Forecasting with nostationary dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9959, Jul.
2. 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, volume 42, issue 1, pages 115-139, Junio, DOI: 10.55444/2451.7321.2004.v42.n1.3801.
3. Carmen Broto & Esther Ruiz, 2004, "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, volume 18, issue 5, pages 613-649, December, DOI: 10.1111/j.1467-6419.2004.00232.x.
   
   • Broto, Carmen & Ruiz Ortega, Esther, 2002, "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws025414, Nov.
4. Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004, "Bootstrap predictive inference for ARIMA processes," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 4, pages 449-465, July, DOI: 10.1111/j.1467-9892.2004.01713.x.
   
   • Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 1999, "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6283, Mar.

2003

1. 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, volume 19, issue 3, pages 439-450, June.
2. Peña, Daniel & Rodríguez, Julio, 2003, "Descriptive measures of multivariate scatter and linear dependence," Journal of Multivariate Analysis, Elsevier, volume 85, issue 2, pages 361-374, May.
   
   • Peña, Daniel & Rodríguez, Julio, 2000, "Descriptive measures of multivariate scatter and linear dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9960, Sep.
3. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003, "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, volume 65, issue 1, pages 13-20, October.
4. 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, volume 55, issue 4, pages 765-796, December, DOI: 10.1007/BF02523392.
5. Ruiz, Esther & Perez, Ana, 2003, "Asymmetric long memory GARCH: a reply to Hwang's model," Economics Letters, Elsevier, volume 78, issue 3, pages 415-422, March.
   
   • Ruiz Ortega, Esther & Pérez, Ana, 2001, "Asymmetric long memory GARCH: a reply to Hwang's model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws016229, Nov.
6. 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, volume 1, issue 3, pages 420-444.

2002

1. 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, volume 8, issue 4, pages 402-421, DOI: 10.1080/13518470210167284.
   
   • Espasa, Antoni & 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, Universidad Carlos III de Madrid. Departamento de Estadística, number ws013723, Jun.
2. Jiménez, Raúl & Yukich, J. E., 2002, "Strong laws for Euclidean graphs with general edge weights," Statistics & Probability Letters, Elsevier, volume 56, issue 3, pages 251-259, February.
3. 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, volume 97, pages 601-610, June.
   
   • Peña, Daniel & Rodríguez, Julio, 2000, "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10133, Dec.
4. Esther Ruiz & Lorenzo Pascual, 2002, "Bootstrapping Financial Time Series," Journal of Economic Surveys, Wiley Blackwell, volume 16, issue 3, pages 271-300, July, DOI: 10.1111/1467-6419.00170.
5. Ana Pérez & Esther Ruiz, 2002, "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, volume 26, issue 3, pages 395-445, September.
   
   • Pérez, Ana & Ruiz Ortega, Esther, 2001, "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number ds010101, Jun.

2001

1. Pena D. & Prieto F.J., 2001, "Cluster Identification Using Projections," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 1433-1445, December.
2. Ismael Sanchez & Daniel Pena, 2001, "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 1, pages 45-66, January, DOI: 10.1111/1467-9892.00211.
   
   • Sánchez, Ismael & Peña, Daniel, 1995, "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10347, Dec.
   • Daniel Peña & Ismael Sánchez, 1999, "Properties Of Predictors In Overdifferenced Nearly Nonstationary Autoregression," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 1999-08, May.
3. Justel, Ana & Pena, Daniel, 2001, "Bayesian unmasking in linear models," Computational Statistics & Data Analysis, Elsevier, volume 36, issue 1, pages 69-84, March.
   
   • JUSTEL, Ana & PEÑA , Daniel, 1996, "Bayesian Unmasking in Linear Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1996019, May.
   • Justel, Ana & Peña, Daniel, 1996, "Bayesian unmasking in linear models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10458, Sep.
4. Pena, Daniel, 2001, "George Box: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, volume 17, issue 1, pages 1-9.
5. Perez, Ana & Ruiz, Esther, 2001, "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, volume 70, issue 2, pages 157-164, February.
   
   • Pérez, Ana & Ruiz Ortega, Esther, 1999, "Finite sample properties of a QML estimator of stochastic volatility models with long memory," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6360, Sep.
6. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001, "Effects of parameter estimation on prediction densities: a bootstrap approach," International Journal of Forecasting, Elsevier, volume 17, issue 1, pages 83-103.
   
   • Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 1999, "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6304, Apr.

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, volume 18, issue 3, pages 687-690, December.
2. Peña, Daniel & Prieto, Francisco J., 2000, "The kurtosis coefficient and the linear discriminant function," Statistics & Probability Letters, Elsevier, volume 49, issue 3, pages 257-261, September.
   
   • Peña, Daniel & Prieto, Francisco J., 1999, "The kurtosis coeficient and the linear discriminant function," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6358, Oct.
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, volume 9, issue 1, pages 255-281, June, DOI: 10.1007/BF02595861.
   
   • Gil, J. A. & Peña, Daniel & Rodriguez, J., 1999, "Statiscal research in Europe:1985-1997," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6356, Oct.

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, volume 8, issue 1, pages 1-73, June, DOI: 10.1007/BF02595862.

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, volume 16, issue 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, volume 16, issue 4, pages 489-497, October.
   
   • Guerrero, Victor M. & Peña, Daniel & Poncela, Pilar, 1997, "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6212, Oct.
3. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998, "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, volume 88, issue 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, volume 7, issue 1, pages 1-74, June, DOI: 10.1007/BF02565102.

1997

1. Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997, "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, volume 35, issue 3, pages 251-259, October.
   
   • Justel, Ana & Peña, Daniel & Zamar, Rubén, 1994, "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3955, Sep.
2. Peña, Daniel & Zamar, Ruben, 1997, "A simple diagnostic tool for local prior sensitivity," Statistics & Probability Letters, Elsevier, volume 36, issue 2, pages 205-212, December.
   
   • Peña, Daniel & Zamar, Rubén, 1996, "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10486, Sep.
3. Ruiz, Esther, 1997, "QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen," Journal of Econometrics, Elsevier, volume 76, issue 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, volume 20, issue 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, volume 5, issue 2, pages 249-344, December, DOI: 10.1007/BF02562621.

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, volume 1, issue 4, pages 367-382, DOI: 10.1080/13518479500000025.
   
   • Peña, Juan Ignacio & Ruiz Ortega, Esther, 1994, "Stock market regulations and international financial integration: the case of Spain," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 7083, Jul.

1994

1. Alvaro Escribano & Daniel Peña, 1994, "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, volume 15, issue 6, pages 577-586, November, DOI: 10.1111/j.1467-9892.1994.tb00213.x.
   
   • Escribano, Álvaro & Peña, Daniel, 1993, "Cointegration and common factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3680, Apr.
2. Harvey, Andrew C & Ruiz, Esther, 1994, "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 4, pages 402-403, October.
3. Ruiz, Esther, 1994, "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 289-306, July.
4. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994, "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 61, issue 2, pages 247-264.

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, volume 2, issue 1, pages 1-32, December, DOI: 10.1007/BF02562668.

1992

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

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, volume 9, issue 3, pages 541-549, December.
   
   • Espasa, Antoni, 1991, "Perspectiva historica de los modelos Arima y su utilidad en el análisis economico," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3001, Feb.

1990

1. Antoni Espasa & Daniel Peña, 1990, "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, volume 14, issue 2, pages 191-211, May.
2. Pena, Daniel, 1990, "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, volume 8, issue 2, pages 235-241, April.

1987

1. Daniel Peña, 1987, "Observaciones influyentes en modelos econométricos," Investigaciones Economicas, Fundación SEPI, volume 11, issue 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, volume 2, issue 1, pages 10-20, January.
2. Daniel Peña, 1984, "The Autocorrelation Function Of Seasonal Arma Models," Journal of Time Series Analysis, Wiley Blackwell, volume 5, issue 4, pages 269-272, July, DOI: 10.1111/j.1467-9892.1984.tb00392.x.
3. Pena, Daniel & Ruiz-Castillo, Javier, 1984, "Distributional aspects of public rental housing and rent control policies in Spain," Journal of Urban Economics, Elsevier, volume 15, issue 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, volume 7, issue 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, volume 18, issue 3, pages 583-605, October.

---

Chapters

2024

1. Pilar Poncela & Esther Ruiz, 2024, "Common Factors and Common Shocks: A Tale of Three (Close) Signal Extraction Procedures," Springer Books, Springer, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine, "Recent Advances in Econometrics and Statistics", DOI: 10.1007/978-3-031-61853-6_18.
2. Antonio Montañés & Esther Ruiz, 2024, "Structural Breaks and Common Factors," Springer Books, Springer, in: Chang Chiann & Aluisio de Souza Pinheiro & Clélia Maria Castro Toloi, "Time Series and Wavelet Analysis", DOI: 10.1007/978-3-031-66398-7_3.

2018

1. María José Roa & Ignacio Garrón & Jonathan Barboza, 2018, "The Role of Cognitive Characteristics, Personality Traits, and Financial Literacy in Financial Decision Making," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 7, in: María José Roa García & Diana Mejía, "Financial Decisions of Households and Financial Inclusion: Evidence for Latin America and the Caribbean".
2. María José Roa & Ignacio Garrón & Jonathan Barboza, 2018, "Características cognitivas, rasgos de personalidad y alfabetización financiera: papel en las decisiones financieras," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 7, in: María José Roa García & Diana Mejía, "Decisiones financieras de los hogares e inclusión financiera: evidencia para América Latina y el Caribe".

2016

1. Pilar Poncela & Esther Ruiz, 2016, "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035010.
   
   • Ruiz Ortega, Esther & Poncela, Pilar, 2015, "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws1502, Jan.

2010

1. Alejandro F. Rodríguez & Esther Ruiz, 2010, "Bootstrap Prediction in Unobserved Component Models," Springer Books, Springer, in: Yves Lechevallier & Gilbert Saporta, "Proceedings of COMPSTAT'2010", DOI: 10.1007/978-3-7908-2604-3_11.

2005

1. Alejandro Balbás & Rosario Romera & Esther Ruiz, 2005, "An Overview of Probabilistic and Time Series Models in Finance," Springer Books, Springer, in: Ricardo Baeza-Yates & Joseph Glaz & Henryk Gzyl & Jürgen Hüsler & José Luis Palacios, "Recent Advances in Applied Probability", DOI: 10.1007/0-387-23394-6_2.
   
   • Balbás, Alejandro & Romera, Rosario & Ruiz Ortega, Esther, 2003, "An overview of probabilistic and time series models in finance," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032405, May.

---