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
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.
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.
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)
condicional heterocedasticity in the components of inflation, 2009, with C.
Broto, Studies in Nonlinear Dynamics