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Modelling business cycle data using autoregressive-asymmetric moving average models

Brännäs, Kurt; Gooijer, Jan G. de - 1991

Persistent link: https://www.econbiz.de/10000822488

Quasi-maximum likelihood estimation of stochastic variance models

Ruiz, Esther - 1992

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

Threshold stochastic volatility : properties and forecasting

Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123

Persistent link: https://www.econbiz.de/10011746949

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

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

Estimation methods for stochastic volatility models : a survey

Broto, Carmen; Ruiz, Esther - In: Journal of economic surveys 18 (2004) 5, pp. 613-649

Persistent link: https://www.econbiz.de/10002437597

Maximally autocorrelated power transformations : a closer look at the properties of stochastic volatility models

Ruiz, Esther; Pérez, Ana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10009656089

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

Asymmetric Stochastic Volatility Models : Properties and ABC Filter-based Maximum Likelihood Estimation

Mao, Xiuping - 2016

In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical expressions of moments and autocorrelations of...

Persistent link: https://www.econbiz.de/10013005479

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