Esther Ruiz

Institution: Universidad Carlos III de Madrid

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/view/esther-ruiz-ortega?pli=1

First Publication: 1992

Most Recent: 2024

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	0.00	0.00	3.03	0.84	3.87	74%
Last 10 Years	0.00	0.00	7.40	1.18	8.58	85%
All Time	2.69	9.42	11.77	3.87	27.75	96%

Publication Statistics

Raw Publications 30

Coauthorship-Adjusted Count 24.91

Publications (30)

Year	Article	Journal	Tier	Authors
2024	Expecting the unexpected: Stressed scenarios for economic growth	Journal of Applied Econometrics	B	3
2023	Direct versus iterated multiperiod Value‐at‐Risk forecasts	Journal of Economic Surveys	C	2
2023	Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models	Economics Letters	C	3
2021	30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial	International Journal of Forecasting	B	3
2021	Factor extraction using Kalman filter and smoothing: This is not just another survey	International Journal of Forecasting	B	3
2021	Accurate Confidence Regions for Principal Components Factors	Oxford Bulletin of Economics and Statistics	B	2
2020	Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection	Journal of Banking & Finance	B	3
2020	Prediction regions for interval‐valued time series	Journal of Applied Econometrics	B	3
2019	Growth in stress	International Journal of Forecasting	B	3
2018	Uncertainty and Density Forecasts of Arma Models: Comparison of Asymptotic, Bayesian, and Bootstrap Procedures	Journal of Economic Surveys	C	3
2018	MGARCH models: Trade-off between feasibility and flexibility	International Journal of Forecasting	B	3
2017	Threshold stochastic volatility: Properties and forecasting	International Journal of Forecasting	B	3
2016	Frontiers in VaR forecasting and backtesting	International Journal of Forecasting	B	2
2015	Bootstrap multi-step forecasts of non-Gaussian VAR models	International Journal of Forecasting	B	3
2012	Estimating GARCH volatility in the presence of outliers	Economics Letters	C	3
2012	Optimal portfolios with minimum capital requirements	Journal of Banking & Finance	B	4
2011	Prediction intervals in conditionally heteroscedastic time series with stochastic components	International Journal of Forecasting	B	3
2011	Prediction intervals in conditionally heteroscedastic time series with stochastic components	International Journal of Forecasting	B	3
2010	Conditionally heteroscedastic unobserved component models and their reduced form	Economics Letters	C	3
2005	Introduction to nonlinearities, business cycles, and forecasting	International Journal of Forecasting	B	4
2005	Bootstrap prediction intervals for power-transformed time series	International Journal of Forecasting	B	3
2004	Estimation methods for stochastic volatility models: a survey	Journal of Economic Surveys	C	2
2003	Asymmetric long memory GARCH: a reply to Hwang's model	Economics Letters	C	2
2002	Bootstrapping Financial Time Series	Journal of Economic Surveys	C	2
2001	Finite sample properties of a QML estimator of stochastic volatility models with long memory	Economics Letters	C	2
2001	Effects of parameter estimation on prediction densities: a bootstrap approach	International Journal of Forecasting	B	3
1997	QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen	Journal of Econometrics	A	1
1994	Multivariate Stochastic Variance Models	Review of Economic Studies	S	3
1994	Quasi-maximum likelihood estimation of stochastic volatility models	Journal of Econometrics	A	1
1992	Unobserved component time series models with Arch disturbances	Journal of Econometrics	A	3