← All authors Esther Ruiz Universidad Carlos III de Madrid (from arXiv:2601.04087, 2026) · ORCID · OpenAlex
73 papers in scope · 67 published · 7 on the econ.EM arXiv · 3,964 citations · h-index 26 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Claudio Lissona Matteo Luciani Lorenzo Tonni Matteo Barigozzi Vladimir Rodríguez-Caballero Gian Pietro Bellocca Diego Fresoli Pilar Poncela Thomas Hasenzagl Lucrezia Reichlin Filippo Pellegrino Mike West G. Ricco Domenico Giannone Tobias Adrian Alessandro Morico Philipp Gersing Ignacio Garrón Ovidijus Stauskas Seunghyun Moon Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (7 of 73)
working paper 2026 · arXiv
working paper 2025 · arXiv · 1 citations
working paper 2025 · arXiv
Extreme temperatures and the profitability of large European firms
published 2025 · Journal of Climate Finance · 2 citations
Economic convergence of Balkan regions towards EU
published 2025 · Journal of Applied Economics
with M. González-Álvarez, Antonio Montañés, Skënder Uku
published 2025 · International Review of Environmental and Resource Economics · 2 citations · first circulated 2022
Economic activity and $$\hbox {CO}_2$$ emissions in Spain
published 2024 · Empirical Economics · 2 citations
working paper 2024 · arXiv
Forecasting the yield curve: the role of additional and time‐varying decay parameters, conditional heteroscedasticity, and macro‐economic factors
published 2024 · Journal of Time Series Analysis · 2 citations · first circulated 2023
with João F. Caldeira, Werley Cordeiro, André Alves Portela Santos
working paper 2024 · arXiv
working paper 2024 · arXiv
Expecting the unexpected: Stressed scenarios for economic growth
published 2024 · Journal of Applied Econometrics · 1 citations
The factor structure of exchange rates volatility: global and intermittent factors
published 2024 · Empirical Economics · 2 citations · first circulated 2022
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
published 2023 · Economics Letters · 1 citations
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
published 2022 · Foundations and Trends® in Econometrics · 8 citations
Direct versus iterated multiperiod Value‐at‐Risk forecasts
published 2022 · Journal of Economic Surveys · 3 citations
with María Rosa Nieto
Dynamic factor models: Does the specification matter?
published 2021 · SERIEs · 10 citations
30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial
published 2021 · International Journal of Forecasting · 7 citations
with Álvaro Escribano, Daniel Peña
Accurate Confidence Regions for Principal Components Factors*
published 2021 · Oxford Bulletin of Economics and Statistics · 4 citations
with Javier Maldonado
Factor extraction using Kalman filter and smoothing: This is not just another survey
published 2021 · International Journal of Forecasting · 30 citations
Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection
published 2020 · Journal of Banking & Finance · 27 citations
A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
published 2020 · Econometric Reviews · 2 citations · first circulated 2016
with João Henrique Gonçalves Mazzeu, Gloria González-Rivera, Helena Veiga
Prediction regions for interval‐valued time series
published 2020 · Journal of Applied Econometrics · 16 citations · first circulated 2018
with Gloria González-Rivera, Yun Luo
Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
published 2019 · Econometrics and Statistics · 14 citations
with Xiuping Mao, Veronika Czellar, Helena Veiga
Growth in stress
published 2019 · International Journal of Forecasting · 20 citations
with Gloria González-Rivera, Javier Maldonado
Estimating Non-stationary Common Factors: Implications for Risk Sharing
published 2018 · Computational Economics · 26 citations · first circulated 2017
Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
published 2018 · Journal of Statistical Computation and Simulation · 13 citations · first circulated 2017
with Carlos Trucíos, Luiz Koodi Hotta, Carlos Truccos
MGARCH models: Trade-off between feasibility and flexibility
published 2017 · International Journal of Forecasting · 53 citations
with Daniel de Almeida, Luiz Koodi Hotta
Threshold stochastic volatility: Properties and forecasting
published 2017 · International Journal of Forecasting · 13 citations
with Xiuping Mao, Helena Veiga
Robust bootstrap forecast densities for GARCH returns and volatilities
published 2017 · Journal of Statistical Computation and Simulation · 29 citations · first circulated 2015
with Carlos Trucíos, Luiz Koodi Hotta
UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
published 2017 · Journal of Economic Surveys · 3 citations
with João Henrique Gonçalves Mazzeu, Helena Veiga
Labour Tax Cuts and Employment: A General Equilibrium Approach for France
published 2017 · Economie & prévision · first circulated 2014
with Zineddine Alla, Raphaël Espinoza, Esther Pérez Ruiz
no link
Emploi et réforme de la fiscalité sur le travail : une approche en équilibre général pour la France
published 2017 · Économie & prévision
with Zineddine Alla, Raphaël Espinoza, Esther Pérez Ruiz
Determining the number of factors after stationary univariate transformations
published 2016 · Empirical Economics · 14 citations
Asymmetric Stochastic Volatility Models: Properties and Estimation
published 2016 · 48th Scientific Meeting of the Italian Statistical Society · 1 citations · first circulated 2015
with Veronika Czellar, Xiuping Mao, Helena Veiga
Frontiers in VaR forecasting and backtesting
published 2016 · International Journal of Forecasting · 134 citations
with María Rosa Nieto
Identification of asymmetric conditional heteroscedasticity in the presence of outliers
published 2015 · SERIEs · 7 citations · first circulated 2014
with M. Angeles Carnero, Ana Pérez
The uncertainty of conditional returns, volatilities and correlations in DCC models
published 2015 · Computational Statistics & Data Analysis · 17 citations · first circulated 2014
Bootstrap multi-step forecasts of non-Gaussian VAR models
published 2014 · International Journal of Forecasting · 37 citations
Introduction to Flash Indicators
published 2013 · International Journal of Forecasting · 2 citations
with Dean Croushore, Miriam Scaglione
Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
published 2012 · Journal of Financial Econometrics · 89 citations · first circulated 2009
with André Alves Portela Santos, Francisco J. Nogales
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
published 2012 · Studies in Nonlinear Dynamics and Econometrics · 2 citations
with Ana Pérez
The third special issue on Statistical Signal Extraction and Filtering
published 2012 · Computational Statistics & Data Analysis
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
published 2012 · Journal of Financial Econometrics · 67 citations · first circulated 2009
with Marisol Rodríguez, Ma José Rodríguez Rodríguez
Optimal portfolios with minimum capital requirements
published 2012 · Journal of Banking & Finance · 28 citations · first circulated 2010
with André Alves Portela Santos, Francisco J. Nogales, Dick van Dijk
Estimating GARCH volatility in the presence of outliers
published 2011 · Economics Letters · 77 citations
with M. Angeles Carnero, Daniel Peña
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
published 2011 · Computational Statistics & Data Analysis · 46 citations · first circulated 2010
with Alejandro Rodríguez
Can we evaluate the predictability of financial markets?
published 2011 · International Journal of Forecasting · 5 citations
with Nuno Crato
Prediction intervals in conditionally heteroscedastic time series with stochastic components
published 2010 · International Journal of Forecasting · 25 citations
with Santiago Pellegrini, Antoni Espasa
Conditionally heteroscedastic unobserved component models and their reduced form
published 2009 · Economics Letters · 1 citations
with Santiago Pellegrini, Antoni Espasa
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
published 2009 · Computational Statistics & Data Analysis · 10 citations
with Ana Pérez, Helena Veiga
Bootstrap prediction intervals in state–space models
published 2009 · Journal of Time Series Analysis · 70 citations · first circulated 2008
with Alejandro Rodríguez
Testing for Conditional Heteroscedasticity in the Components of Inflation
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 32 citations · first circulated 2008
with Carmen Broto
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
published 2007 · Computational Statistics & Data Analysis · 45 citations · first circulated 2006
with Helena Veiga
Effects of Level Outliers on the Identification and Estimation of GARCH Models
published 2006 · Journal of Time Series Analysis · 109 citations · first circulated 2004
with M. Angeles Carnero, Daniel Peña, Dulce G. Pereira
Introduction to nonlinearities, business cycles, and forecasting
published 2005 · International Journal of Forecasting · 1 citations
Unobserved component models with asymmetric conditional variances
published 2005 · Computational Statistics & Data Analysis · 20 citations · first circulated 2003
with Carmen Broto
Bootstrap prediction for returns and volatilities in GARCH models
published 2005 · Computational Statistics & Data Analysis · 159 citations
with Lorenzo Pascual, Juan Romo
Estimation methods for stochastic volatility models: a survey
published 2004 · Journal of Economic Surveys · 263 citations · first circulated 2002
with Carmen Broto
Bootstrap prediction intervals for power-transformed time series
published 2004 · International Journal of Forecasting · 28 citations · first circulated 2001
with Lorenzo Pascual, Juan Romo
Bootstrap predictive inference for ARIMA processes
published 2004 · Journal of Time Series Analysis · 137 citations · first circulated 1999
with Lorenzo Pascual, Juan Romo
Asymmetric long memory GARCH: a reply to Hwang’s model
published 2003 · Economics Letters · 10 citations · first circulated 2001
with Ana Pérez
Bootstrapping Financial Time Series
published 2002 · Journal of Economic Surveys · 82 citations
with Lorenzo Pascual
Finite sample properties of a QML estimator of stochastic volatility models with long memory
published 2001 · Economics Letters · 26 citations · first circulated 1999
with Ana Pérez
Effects of parameter estimation on prediction densities: a bootstrap approach
published 2001 · International Journal of Forecasting · 61 citations · first circulated 1999
with Lorenzo Pascual, Juan Romo
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen
published 1997 · Journal of Econometrics · 5 citations
Stock market regulations and international financial integration: the case of Spain
published 1995 · European Journal of Finance · 3 citations · first circulated 1994
with Juan Ignacio Peña
[Bayesian Analysis of Stochastic Volatility Models]: Comment
published 1994 · Journal of Business and Economic Statistics
with Andrew Harvey
Comment
published 1994 · Journal of Business and Economic Statistics
with Andrew Harvey
Quasi-maximum likelihood estimation of stochastic volatility models
published 1994 · Journal of Econometrics · 316 citations · first circulated 1992
Multivariate Stochastic Variance Models
published 1994 · The Review of Economic Studies · 1404 citations
Unobserved component time series models with Arch disturbances
published 1992 · Journal of Econometrics · 340 citations
with Andrew Harvey, Enrique Sentana
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