Similar Search Results

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

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

Comparing high-dimensional conditional covariance matrices : implications for portfolio selection

Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012521005

Estimating and forecasting GARCH volatility in the presence of outliers

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2008

Persistent link: https://www.econbiz.de/10003871607

Identification of asymmetric conditional heteroscedasticity in the presence of outliers

Carnero, M. Angeles; Pérez, Ana; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 179-201

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

Persistent link: https://www.econbiz.de/10011458810

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

Testing for conditional heteroscedasticity in the components of inflation

Broto, Carmen; Ruiz, Esther - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10009513588

Estimating GARCH volatility in the presence of outliers

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - In: Economics letters 114 (2012) 1, pp. 86-90

Persistent link: https://www.econbiz.de/10009517276

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

Spurious and hidden volatility

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002440961