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
1512009
Generalized spectral tests for the martingale difference hypothesis
JC Escanciano, C Velasco
Journal of Econometrics 134 (1), 151-185, 2006
1352006
Backtesting parametric value-at-risk with estimation risk
JC Escanciano, J Olmo
Journal of Business & Economic Statistics 28 (1), 36-51, 2010
108*2010
A consistent diagnostic test for regression models using projections
JC Escanciano
Econometric Theory 22 (6), 1030-1051, 2006
1032006
Goodness-of-fit tests for linear and nonlinear time series models
JC Escanciano
Journal of the American Statistical Association 101 (474), 531-541, 2006
722006
Backtesting expected shortfall: accounting for tail risk
Z Du, JC Escanciano
Management Science 63 (4), 940-958, 2016
602016
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
572014
Robust backtesting tests for value-at-risk models
JC Escanciano, J Olmo
Journal of Financial Econometrics 9 (1), 132-161, 2010
562010
Model checks using residual marked empirical processes
JC Escanciano
Statistica Sinica 17 (1), 115, 2007
562007
Quasi-maximum likelihood estimation of semi-strong GARCH models
JC Escanciano
Econometric Theory 25 (2), 561-570, 2009
542009
Testing the martingale hypothesis
JC Escanciano, IN Lobato
Palgrave handbook of econometrics, 972-1003, 2009
532009
On the lack of power of omnibus specification tests
JC Escanciano
Econometric Theory 25 (1), 162-194, 2009
482009
Nonparametric tests for conditional symmetry in dynamic models
MA Delgado, JC Escanciano
Journal of Econometrics 141 (2), 652-682, 2007
472007
Locally robust semiparametric estimation
V Chernozhukov, JC Escanciano, H Ichimura, WK Newey, JM Robins
arXiv preprint arXiv:1608.00033, 2016
462016
Distribution-free tests of stochastic monotonicity
MA Delgado, JC Escanciano
Journal of Econometrics, 2012
462012
Pitfalls in backtesting historical simulation VaR models
JC Escanciano, P Pei
Journal of Banking & Finance 36 (8), 2233-2244, 2012
432012
Identification and estimation of semiparametric two step models
JC Escanciano, D Jacho-Chávez, A Lewbel
Quantitative Economics, 2010
40*2010
Specification tests of parametric dynamic conditional quantiles
JC Escanciano, C Velasco
Journal of Econometrics 159 (1), 209-221, 2010
362010
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
JC Escanciano
Journal of Multivariate Analysis 98 (7), 1321-1336, 2007
342007
Conditional stochastic dominance testing
MA Delgado, JC Escanciano
Journal of Business & Economic Statistics 31 (1), 16-28, 2013
322013
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Articles 1–20