The data shown for the Universidad Carlos III de Madrid are partial, as they are intended to answer 2 questions:

  • Who is researching a specific topic?
  • What is an expert, group or particular department researching?

The search results will adhere to the following limits: active Researchers at Carlos III University of Madrid, Projects since 2006 and Publications, Theses, Patents and Software since 2008.

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Author profile at the institutional portal

Ruiz Ortega, Esther ortega@est-econ.uc3m.es

Estadística / Universidad Carlos III de Madrid

Publications

Open Access

Dynamic factor models: Does the specification matter?

  • Miranda, Karen
  • Poncela, Pilar
  • Ruiz, Esther;

SERIEs (p. 397-428) - 1/5/2022

Editor: UNIVERSIDAD CARLOS III DE MADRID

https://doi.org/10.1007/s13209-021-00248-2 View at source

  • EISSN 1869-4195
  • ISSN 18694187
Open Access

Direct versus iterated multiperiod Value-at-Risk forecasts

  • Ruiz Ortega, Esther
  • Nieto Delfin, Maria Rosa

JOURNAL OF ECONOMIC SURVEYS (p. 915-949) - 7/2023

10.1111/joes.12522 View at source

  • EISSN 1467-6419
  • ISSN 0950-0804

Conditionally Heterocedastic Unobserved Component Models and their Reduced Form

  • Pellegrini, Santiago
  • Ruiz Ortega, Esther
  • Espasa Terrades, Antoni

ECONOMICS LETTERS (p. 88-90) - 5/2010

https://doi.org/10.1016/j.econlet.2009.12.034 View at source

  • EISSN 1873-7374
  • ISSN 0165-1765

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

  • Moura, Guilherme V.
  • Alves Portela Santos, Andre
  • Ruiz Ortega, Esther

JOURNAL OF BANKING & FINANCE (p. 1-13) - 9/2020

https://doi.org/10.1016/j.jbankfin.2020.105882 View at source

  • EISSN 1872-6372
  • ISSN 0378-4266

Can we evaluate the predictability of financial markets?

  • Crato, Nuno
  • Ruiz Ortega, Esther

INTERNATIONAL JOURNAL OF FORECASTING (p. 1-2) - 3/2012

https://doi.org/10.1016/j.ijforecast.2011.02.002 View at source

  • EISSN 1872-8200
  • ISSN 0169-2070
Open Access

Bootstrap multi-step forecasts of non-Gaussian VAR models

  • Fresoli, Diego
  • Ruiz, Esther
  • Pascual, Lorenzo;

INTERNATIONAL JOURNAL OF FORECASTING (p. 834-848) - 1/8/2015

https://doi.org/10.1016/j.ijforecast.2014.04.001 View at source

  • EISSN 1872-8200
  • ISSN 01692070
Open Access

Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation

  • Mao, Xiuping
  • Czellar, Veronika
  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena

Econometrics and Statistics (p. 84-105) - 1/2020

https://doi.org/10.1016/j.ecosta.2019.08.002 View at source

  • ISSN 2452-3062
Open Access

Accurate Confidence Regions for Principal Components Factors*

  • Vicente Maldonado, Javier De
  • Ruiz Ortega, Esther

OXFORD BULLETIN OF ECONOMICS AND STATISTICS (p. 1432-1453) - 12/2021

https://doi.org/10.1111/obes.12436 View at source

  • EISSN 1468-0084
  • ISSN 0305-9049

A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities

  • Mazzeu, João Henrique G.
  • Gonzalez Rivera, Maria Gloria
  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena

Econometric Reviews (p. 971-990) - 5/2020

https://doi.org/10.1080/07474938.2020.1761150 View at source

  • ISSN 0747-4938

A Note on the Properties of Power-Transformed Returns in Long-Memory Stochastic Volatility Models with Leverage Effect

  • Ruiz Ortega, Esther
  • Perez Espartero, Ana
  • Lopes Moreira Da Veiga, Maria Helena

COMPUTATIONAL STATISTICS & DATA ANALYSIS (p. 3593-3600) - 8/2009

  • EISSN 1872-7352
  • ISSN 0167-9473

This researcher has no books.

Small- versus big-data factor extraction in dynamic factor models: an empirical assessment. In: Dynamic factor models

  • Poncela Blanco, Maria Pilar
  • Ruiz Ortega, Esther

Dynamic factor models - 1/2016

Editor: EMERALD GROUP PUBLISHING LIMITED

https://doi.org/10.1108/s0731-905320150000035010 View at source

  • ISBN 978-1-78560-353-2

Presentación. In: Nuevo métodos de predicción económica con datos masivos

  • Peña Sanchez De Rivera, Daniel
  • Poncela Blanco, Maria Pilar
  • Ruiz Ortega, Esther

Nuevo métodos de predicción económica con datos masivos (p. 1-3) - 2/2021

Editor: FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS)

  • ISBN 9788417609481
Open Access

Presentación. In: Análisis econométrico y big data

  • Peña Sanchez De Rivera, Daniel
  • Poncela Blanco, Maria Pilar
  • Ruiz Ortega, Esther

Análisis econométrico y big data (p. 3) - 6/2021

Editor: FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS)

  • ISBN 9788417609542

Predicción de series temporales basada en Machine Learning: aplicaciones económicas y financieras. In: Nuevo métodos de predicción económica con datos masivos

  • Ruiz Ortega, Esther
  • Pascual Caneiro, Lorenzo Jose

Nuevo métodos de predicción económica con datos masivos (p. 189-214) - 2/2021

Editor: FUNDACIÓN DE LOS BANCOS Y CAJAS DE CECA (FUNCAS)

  • ISBN 9788417609481

More is not always better: Kalman filtering in dynamic factor models. In: Unobserved components and time series econometrics

  • Ruiz Ortega, Esther
  • Poncela Blanco, Maria Pilar

Unobserved components and time series econometrics - 1/2015

Editor: Oxford University Press (Ed.)

The uncertainty of conditional correlations in DCC models

  • Ruiz Ortega, Esther
  • Fresoli, Diego Eduardo

7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013) - 2013

The Relationship between ARIMA-GARCH and Unobserved Component Models with GARCH Disturbances

  • Pellegrini, Santiago
  • Ruiz Ortega, Esther
  • Espasa Terrades, Antoni

2nd International Workshop on Computational and Financial Econometrics (CFE'08) - 2008

Open Access

Resampling uncertainty of Principal Components factors

  • Ruiz Ortega, Esther
  • Vicente Maldonado, Javier De

42 Simposio de la Spanish Economic Association (SAE 2017) - 2017

Predicción de series temporales basada en Machine Learning: aplicaciones económicas y financieras

  • Ruiz Ortega, Esther
  • Pascual Caneiro, Lorenzo Jose

Nuevos métodos de predicción económica con datos masivos - 2020

One for all: nesting asymmetric stochastic volatility models

  • Lopes Moreira Da Veiga, Maria Helena
  • Ruiz Ortega, Esther
  • Mao, Xiuping

Conference on Indirect Estimation Methods in Finance and Economics - 2014

Editor: UNIVERSIDAD CARLOS III DE MADRID

On the Issue of How Many Variables to Use When Estimating Common Factors Using the Kalman Filter

  • Poncela Blanco, Maria del Pilar

5th CSDA International Conference on Computational and Financial Econometrics (CFE'11) - 27/6/2011

Nesting asymmetric stochastic volatility models

  • Lopes Moreira Da Veiga, Maria Helena
  • Ruiz Ortega, Esther
  • Mao, Xiuping

First Meeting on Time Series Modelling and Computation - 2013

Modelling intra-daily volatility by functional data analysis: an empirical application to the Spanish stock market

  • Romo Urroz, Juan
  • Ruiz Ortega, Esther
  • Alva Chavez, Kenedy Pedro

3rd International Conference on Computational and Financial Econometrics (CFE'09) - 2009

Editor: GEIE ERCIM

Open Access

Measuring the uncertainty of principal components in dynamic factor models

  • Ruiz Ortega, Esther
  • Albarran Lozano, Irene
  • De Vicente, Javier

10th International Conference on Computational and Financial Econometrics (CFE 2016) - 2016

Open Access

MGARCH models: trade-off between feasibility and flexibility

  • Almeida, Daniel De
  • Hotta, Luiz
  • Ruiz Ortega, Esther

The 36th International Symposium on Forecasting (p. 92) - 2/2016

Editor: UNIVERSIDAD CARLOS III DE MADRID

https://doi.org/10.1016/j.ijforecast.2017.08.003 View at source

  • ISBN 1997-4116
  • EISSN 1872-8200
  • ISSN 0169-2070
Open Access

The uncertainty of conditional returns, volatilities and correlations in DCC models

  • Fresoli, Diego Eduardo
  • Ruiz Ortega, Esther

COMPUTATIONAL STATISTICS & DATA ANALYSIS (p. 170-185) - 8/2014

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

https://doi.org/10.1016/j.csda.2015.03.017 View at source

  • EISSN 1872-7352
  • ISSN 0167-9473
Open Access

Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment

  • Poncela Blanco, Maria del Pilar

Advances In Econometrics (p. 401-434) - 1/1/2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

10.1108/s0731-905320150000035010 View at source

  • ISSN 07319053
Open Access

Score driven asymmetric stochastic volatility models

  • Mao, Xiuping
  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena

2014

Editor: UNIVERSIDAD CARLOS III DE MADRID

Open Access

Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk

  • Ruiz Ortega, Esther
  • Trucíos, Carlos
  • Hotta, Luiz K.

2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

Optimal Portfolios with Minimum Capital Requirements

  • Alves Portela Santos, Andre
  • Nogales Martin, Fco. Javier
  • Ruiz Ortega, Esther
  • Van Dijk, D

JOURNAL OF BANKING & FINANCE (p. 1928-1942) - 7/2010

Editor: UNIVERSIDAD CARLOS III DE MADRID

https://doi.org/10.1016/j.jbankfin.2012.03.001 View at source

  • EISSN 1872-6372
  • ISSN 0378-4266
Open Access

More is not always better : back to the Kalman filter in dynamic factor models

  • Poncela Blanco, Maria del Pilar

1/10/2012

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

Open Access

Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula

  • Gonzalez Rivera, Gloria
  • Rodriguez Caballero, Carlos Vladimir
  • Ruiz Ortega, Esther

2023

Editor: UNIVERSIDAD CARLOS III DE MADRID

Open Access

Model uncertainty and the forecast accuracy of ARMA models: A survey

  • Gonçalves Mazzeu, Joao Henrique
  • Ruiz Ortega, Esther
  • Veiga, Helena

2015

Editor: UNIVERSIDAD CARLOS III DE MADRID

Measuring Financial Risk: Comparison of Alternative Procedures to Estimate VaR and ES

  • Ruiz Ortega, Esther
  • Nieto Delfin, Maria Rosa

2008

Editor: UNIVERSIDAD CARLOS III DE MADRID

Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

  • Fresoli, D
  • Poncela, P
  • Ruiz, E

Economics Letters - 1/9/2022

Editor: UNIVERSIDAD CARLOS III DE MADRID

10.1016/j.econlet.2023.111246 View at source

  • ISSN 01651765

This researcher has no technical reports.

Predicción y Análisis Macroeconómico

  • Espasa Terrades, Antoni
  • Lamadriz Escalante, Arsinoe
  • Ruiz Ortega, Esther
  • Senra Diaz, Eva
  • Carrasco Garcia, Nicolas
  • Sanchez, Angel
  • Garcia ., Agustin
  • Castro ., Cesar
  • Arispe Nuñez, Maria Elena
... View more Collapse

Period: 01-06-2006 - 01-06-2009

Funding entity: PRICEWATERHOUSECOOPERS, S.L.

Predicción del PIB y número de ocupados del País Vasco utilizando indicadores basados en extracción de señales mediante el filtro de Kalman

  • Ruiz Ortega, Esther
  • Garcia-saavedra Garcia-rabadan, Francisco
  • Fresoli, Diego Eduardo

Period: 19-07-2017 - 15-10-2017

Type of funding: National

Funding entity: CAJA LABORAL POPULAR S. COOP. DE CREDITO

Predicción de variable macroeconómicas del País Vasco utilizando indicadores basados en extracción de señales mediante el filtro del Kalman: utilización de variables con distintas frecuencias, construcción de gráficos de abanico y predicción conjunta.

  • Ruiz Ortega, Esther
  • Garcia-saavedra Garcia-rabadan, Francisco
  • Fresoli, Diego Eduardo

Period: 27-06-2018 - 30-10-2018

Type of funding: National

Funding entity: CAJA LABORAL POPULAR S. COOP. DE CREDITO

PID2019-108079GB-C21 - Predicción de series temporales no estacionarias de grandes dimensiones

  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena
  • Alves Portela Santos, Andre

Period: 01-06-2020 - 31-05-2023

Type of funding: National

Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)

UC3M-ECO-05-013 - Métodología macroeconométrica sobre el tratamiento de problemás de nivel y heterocedasticidad con aplicación a Latino América

  • Espasa Terrades, Antoni
  • Ruiz Ortega, Esther
  • Senra Diaz, Eva
  • Mayo Burgos, Ivan
  • Nuñez, Olivier
  • Kaiser Remiro, Regina
  • Pellegrini, Santiago
  • Heinen, Andreas Josef
  • Lopes Moreira Da Veiga, Maria Helena
  • Fried, Roland Hermann
  • Minguez Salido, Roman
  • Perez Espartero, Ana
  • Cancelo De La Torre, Jose Ramon
... View more Collapse

Period: 01-01-2006 - 31-03-2007

Type of funding: Regional

Funding entity: COMUNIDAD DE MADRID-UC3M

ECO2010-08872-E - MADAM: Towards a European Research Infrastructure for Modelling & Methodologies

  • Espasa Terrades, Antoni
  • Ruiz Ortega, Esther
  • Romo Urroz, Juan
  • Lillo Rodriguez, Rosa Elvira
  • Breto Martinez, Carles

Period: 21-07-2011 - 20-07-2012

Type of funding: National

Funding entity: MINISTERIO DE CIENCIA E INNOVACION

ECO2009-08100 - La incertidumbre en la predicción macroeconómica y financiera: bootstrap y modelos multivariantes

  • Ruiz Ortega, Esther
  • Espasa Terrades, Antoni
  • Kaiser Remiro, Regina
  • Pellegrini, Santiago
  • Heinen, Andreas Josef
  • Lopes Moreira Da Veiga, Maria Helena
  • Tena Horrillo, Juan De Dios
  • Nieto Delfin, Maria Rosa
  • Rodriguez, Alejandro Federico
  • Perez Espartero, Ana
  • Morales Arsenal, Roberto
  • Breto Martinez, Carles
  • Alves Portela Santos, Andre
  • Galan Camacho, Jorge Eduardo
  • Mao, Xiuping
... View more Collapse

Period: 01-01-2010 - 30-06-2013

Type of funding: National

Funding entity: MINISTERIO DE CIENCIA E INNOVACION

ECO2015-70331-C2-2-R - Indicadores económicos: predicción con incertidumbre e inestabilidad

  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena
  • Rodriguez Caballero, Carlos Vladimir

Period: 01-01-2016 - 31-07-2020

Type of funding: National

Funding entity: MINISTERIO DE ASUNTOS ECONOMICOS Y TRANSFORMACION DIGITAL

CCG06-UC3M/HUM-0840  - Incertidumbre en la predicción: aplicaciónes a series macroecnómicas y financieras de la Comunidad de Madrid

  • Espasa Terrades, Antoni
  • Ruiz Ortega, Esther
  • Mayo Burgos, Ivan
  • Kaiser Remiro, Regina
  • Pellegrini, Santiago
  • Heinen, Andreas Josef
  • Lopes Moreira Da Veiga, Maria Helena
  • Tena Horrillo, Juan De Dios
  • Nieto Delfin, Maria Rosa
  • Fried, Roland Hermann
  • Rodriguez, Alejandro Federico
  • Minguez Salido, Roman
  • Perez Espartero, Ana
  • Cancelo De La Torre, Jose Ramon
  • Morales Arsenal, Roberto
... View more Collapse

Period: 01-01-2007 - 31-12-2007

Type of funding: Regional

Funding entity: COMUNIDAD DE MADRID-UC3M

SEJ2006-03919 - Incertidumbre en la construcción de modelos econométricos y de metodologías de predicción para series macroeconómicas y financieras

  • Ruiz Ortega, Esther
  • Espasa Terrades, Antoni
  • Kaiser Remiro, Regina
  • Pellegrini, Santiago
  • Heinen, Andreas Josef
  • Lopes Moreira Da Veiga, Maria Helena
  • Arrazola Vacas, Maria Jesus
  • Nieto Delfin, Maria Rosa
  • Rodriguez, Alejandro Federico
  • Giuliodori, Maria Andrea
  • Perez Espartero, Ana
  • Breto Martinez, Carles
... View more Collapse

Period: 01-10-2006 - 31-12-2009

Funding entity: MINISTERIO DE EDUCACION Y CIENCIA DIR. GRAL. INVESTIGACION

Volatility models with leverage effect

  • Rodriguez Villar, Maria Jose
  • Ruiz Ortega, Esther

Reading date: 21-02-2011

Reading institution: CAMPUS DE GETAFE

Topics in density forecast in stationary parametric unvariate time series models

  • Gonçalves Mazzeu, Joao Henrique
  • Ruiz Ortega, Esther
  • Lopes Moreira Da Veiga, Maria Helena

Reading date: 20-12-2016

Reading institution: CAMPUS DE GETAFE

Predicción en modelos de componentes inobservables condicionalmente heteróscedasticos

  • Pellegrini, Santiago
  • Ruiz Ortega, Esther
  • Espasa Terrades, Antoni

Reading date: 08-06-2009

Non-stationary Dynamic Factor Models

  • Poncela Blanco, Maria del Pilar (Autor o Coautor)
  • Francisco de Jesús Corona Villavicencio (Director) Doctorando: Francisco de Jesús Corona Villavicencio

1/1/2017

Reading date: 14-07-2017

Multivariate volatility models in financial risk management and portfolio selection

  • Alves Portela Santos, Andre
  • Nogales Martin, Fco. Javier
  • Ruiz Ortega, Esther

Reading date: 01-06-2010

Reading institution: FACULTAD CIENCIAS SOCIALES Y JURIDICAS

Measuring uncertainty of factors extracted using Principal Components

  • Albarran Lozano, Irene
  • Vicente Maldonado, Javier De
  • Ruiz Ortega, Esther

Reading date: 21-03-2019

Measuring financial risk

  • Nieto Delfin, Maria Rosa
  • Ruiz Ortega, Esther

Reading date: 05-07-2010

Essays on forecasting with partial least squares methods

  • Rodriguez Puerta, Julio (Director)
  • Poncela Blanco, Maria del Pilar (Director)
  • Ruiz Ortega, Esther (Director) Doctorando: Fuentes de Díaz, Julieta Lorena

16/3/2015

Reading date: 16-03-2015

Reading institution: CAMPUS DE GETAFE

Essays on Expected Equity Returns and Volatility: Modeling and Prediction

  • Almeida, Daniel De
  • Ruiz Ortega, Esther
  • Fuertes, Ana Maria

Reading date: 29-09-2016

Reading institution: CAMPUS DE GETAFE

Bootstrapping unobserved component models

  • Rodriguez, Alejandro Federico
  • Ruiz Ortega, Esther

Reading date: 12-04-2010

This researcher has no patents or software licenses.

Last data update: 4/8/24 3:56 PM