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Esther Ruiz

She is currently Full Professor of Econometrics at the Department of Statistics of the Universidad Carlos III de Madrid where she has been since 1992. She is also Editor of the International Journal of Forecasting (since January 2009) and Associate Editor of Computational Statistics & Data Analysis (since September 2007).

She obtained her B.A. in Business Administration in 1984 from the Universidad del País Vasco. Then, she did her M.Sc. (1988) and Ph.D. (1992) in Statistics at the London School of Economics where she was on the faculty from 1991 to 1992.

She works predominantly on time series and financial econometrics and, particularly, on modelling evolving volatilities. Her main contributions are related with stochastic volatility models. She is also interested in methodological and empirical issues related with unobserved component models. The development of bootstrap procedures to obtain prediction intervals is also among her research topics. 

Contact Information
E-Mail: ortega@est-econ.uc3m.es
Phone: +34 91 6249851
Fax: +34 91 6249849
Office: 10.1.19

Selected recent publications 

Prediction intervals in conditionally heteroscedastic time series with stochastic components, 2010, with S. Pellegrini and A. Espasa. International Journal of Forecasting, In Press.

Conditionally heteroscedastic unobserved component models and their reduced form, 2010, with S. Pellegrini and A. Espasa. Economics Letters, 107(2), 88-90

A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect, 2009, with A. Pérez and H. Veiga, Computational Statistics & Data Analysis, doi:10.1016/j.csda.2009.02.026

Bootstrap Prediction Intervals in State Space Models, 2009, with A. Rodríguez, Journal of Time Series Analysis, 30(2), 167-178 (Download WP)

Testing for condicional heterocedasticity in the components of inflation, 2009, with C. Broto, Studies in Nonlinear Dynamics & Econometrics, 13.2 (Download WP) 

Effects of outliers on the identification and estimation of GARCH models, 2006, with M.A. Carnero and D. Peña, Journal of Time Series Analysis, 28(4), 471-497. (Download WP) 

Bootstrap prediction for returns and volatilities in GARCH models, 2006, with L. Pascual and J. Romo, Computational Statistics & Data Analysis, 50(9), 2293-2312. (Download WP)

A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities, 2005, with J. Rodríguez, Statistica Sinica, 15, 505-526. (Download WP)