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A note on the estimation of minimum tracking error portfolios

Naibert, Paulo F.; Caldeira, João F.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 209-214

Persistent link: https://www.econbiz.de/10012271404

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

Modelos para series temporales heterocedásticas

Ruiz, Esther - In: Información comercial española / Cuadernos económicos (1994), pp. 73-108

Persistent link: https://www.econbiz.de/10001339984

Quasi-maximum likelihood estimation of stochastic variance models

Ruiz, Esther - 1992

Persistent link: https://www.econbiz.de/10000839003

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa Terrades, Antoni - In: International journal of forecasting 27 (2011) 2, pp. 308-319

Persistent link: https://www.econbiz.de/10009247501

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