Juan Carlos Escanciano
Juan Carlos Escanciano
Professor of Economics, Universidad Carlos III de Madrid
Verified email at eco.uc3m.es - Homepage
TitleCited byYear
An automatic portmanteau test for serial correlation
JC Escanciano, IN Lobato
Journal of Econometrics 151 (2), 140-149, 2009
1622009
Generalized spectral tests for the martingale difference hypothesis
JC Escanciano, C Velasco
Journal of Econometrics 134 (1), 151-185, 2006
1372006
A consistent diagnostic test for regression models using projections
JC Escanciano
Econometric Theory 22 (6), 1030-1051, 2006
1142006
Backtesting parametric value-at-risk with estimation risk
JC Escanciano, J Olmo
Journal of Business & Economic Statistics 28 (1), 36-51, 2010
113*2010
Goodness-of-fit tests for linear and nonlinear time series models
JC Escanciano
Journal of the American Statistical Association 101 (474), 531-541, 2006
732006
Backtesting expected shortfall: accounting for tail risk
Z Du, JC Escanciano
Management Science 63 (4), 940-958, 2017
652017
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
JC Escanciano, DT Jacho-Chávez, A Lewbel
Journal of Econometrics 178, 426-443, 2014
592014
Robust backtesting tests for value-at-risk models
JC Escanciano, J Olmo
Journal of Financial Econometrics 9 (1), 132-161, 2011
592011
Locally robust semiparametric estimation
V Chernozhukov, JC Escanciano, H Ichimura, WK Newey, JM Robins
arXiv preprint arXiv:1608.00033, 2016
572016
Model checks using residual marked empirical processes
JC Escanciano
Statistica Sinica 17 (1), 115, 2007
572007
Testing the martingale hypothesis
JC Escanciano, IN Lobato
Palgrave handbook of econometrics, 972-1003, 2009
552009
Quasi-maximum likelihood estimation of semi-strong GARCH models
JC Escanciano
Econometric Theory 25 (2), 561-570, 2009
532009
On the lack of power of omnibus specification tests
JC Escanciano
Econometric Theory 25 (1), 162-194, 2009
492009
Distribution-free tests of stochastic monotonicity
MA Delgado, JC Escanciano
Journal of Econometrics, 2012
472012
Nonparametric tests for conditional symmetry in dynamic models
MA Delgado, JC Escanciano
Journal of Econometrics 141 (2), 652-682, 2007
462007
Pitfalls in backtesting historical simulation VaR models
JC Escanciano, P Pei
Journal of Banking & Finance 36 (8), 2233-2244, 2012
442012
Identification and estimation of semiparametric two step models
JC Escanciano, D Jacho-Chávez, A Lewbel
Quantitative Economics, 2010
41*2010
Specification tests of parametric dynamic conditional quantiles
JC Escanciano, C Velasco
Journal of Econometrics 159 (1), 209-221, 2010
392010
Testing for fundamental vector moving average representations
B Chen, J Choi, JC Escanciano
Quantitative Economics 8 (1), 149-180, 2017
352017
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
JC Escanciano
Journal of Multivariate Analysis 98 (7), 1321-1336, 2007
352007
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Articles 1–20