Publicacións nas que colabora con Esther Ruiz Ortega (8)

2016

  1. Identification of asymmetric conditional heteroscedasticity in the presence of outliers

    SERIEs : Journal of the Spanish Economic Association, Vol. 7, Núm. 1, pp. 179-201

2012

  1. Maximally autocorrelated power transformations: A closer look at the properties of stochastic volatility models

    Studies in Nonlinear Dynamics and Econometrics, Vol. 16, Núm. 3

2009

  1. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

    Computational Statistics and Data Analysis, Vol. 53, Núm. 10, pp. 3593-3600

2003

  1. Asymmetric long memory GARCH: A reply to Hwang's model

    Economics Letters, Vol. 78, Núm. 3, pp. 415-422

  2. Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

    Journal of Financial Econometrics, Vol. 1, Núm. 3, pp. 420-444

2002

  1. Modelos de memoria larga para series económicas y financieras

    Investigaciones económicas, Vol. 26, Núm. 3, pp. 395-445

2001

  1. Finite sample properties of a QML estimator of stochastic volatility models with long memory

    Economics Letters, Vol. 70, Núm. 2, pp. 157-164

2000

  1. Propiedades en muestras finitas de un estimador PMV para el modelo de Volatilidad estocástica con memoria larga

    XXV Congreso Nacional de Estadística e Investigación Operativa: Vigo, 4-7 de abril de 2000