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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
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Revisiting several popular GARCH models with leverage effect : differences and similarities
Rodríguez, María José; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 637-668
Persistent link: https://www.econbiz.de/10009671894
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Properties of the sample autocorrelations of nonlinear transformations in long-memory stochastic volatility models
Pérez, Ana; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 420-444
Persistent link: https://www.econbiz.de/10002214167
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Persistence and kurtosis in GARCH and stochastic volatility models
Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 319-342
Persistent link: https://www.econbiz.de/10002214313