Juan Carlos Escanciano : Citation Profile


Are you Juan Carlos Escanciano?

Universidad Carlos III de Madrid

15

H index

20

i10 index

665

Citations

RESEARCH PRODUCTION:

36

Articles

52

Papers

1

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 36
   Journals where Juan Carlos Escanciano has often published
   Relations with other researchers
   Recent citing documents: 125.    Total self citations: 41 (5.81 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pes22
   Updated: 2021-11-28    RAS profile: 2021-11-06    
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Relations with other researchers


Works with:

Newey, Whitney (3)

Chernozhukov, Victor (3)

Lewbel, Arthur (3)

Du, Zaichao (3)

LINTON, OLIVER (2)

Srisuma, Sorawoot (2)

Goh, Chuan (2)

Choi, Jinho (2)

hoderlein, stefan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Juan Carlos Escanciano.

Is cited by:

Zhu, Ke (24)

Darné, Olivier (23)

Kim, Jae (22)

Sant'Anna, Pedro (19)

Francq, Christian (15)

Zakoian, Jean-Michel (15)

Lyócsa, Štefan (11)

CHARLES, Amelie (10)

Hurlin, Christophe (8)

Newey, Whitney (8)

Chernozhukov, Victor (8)

Cites to:

Bierens, Herman (31)

Chen, Xiaohong (27)

White, Halbert (23)

Velasco, Carlos (19)

Li, Qi (19)

LINTON, OLIVER (17)

Van Keilegom, Ingrid (16)

Newey, Whitney (16)

Chernozhukov, Victor (14)

Hong, Yongmiao (14)

Christoffersen, Peter (10)

Main data


Where Juan Carlos Escanciano has published?


Journals with more than one article published# docs
Journal of Econometrics10
Econometric Theory5
Journal of Business & Economic Statistics4
Computational Statistics & Data Analysis3
Quantitative Economics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
CAEPR Working Papers / Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington16
Papers / arXiv.org6
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies5
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Boston College Working Papers in Economics / Boston College Department of Economics2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Juan Carlos Escanciano (2021 and 2020)


YearTitle of citing document
2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). Chikhi, Mohamed ; Diebolt, Claude. In: Working Papers. RePEc:afc:wpaper:09-21.

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2020Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment. (2018). Sant'Anna, Pedro ; Callaway, Brantly. In: Papers. RePEc:arx:papers:1803.09015.

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2020Covariate Distribution Balance via Propensity Scores. (2019). Sant'Anna, Pedro ; Xu, QI ; Song, Xiaojun. In: Papers. RePEc:arx:papers:1810.01370.

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2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2021Testing for Sample Selection. (2019). Gutknecht, Daniel ; Corradi, Valentina. In: Papers. RePEc:arx:papers:1907.07412.

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2021De-biased Machine Learning for Compliers. (2019). Sun, Liyang ; Singh, Rahul. In: Papers. RePEc:arx:papers:1909.05244.

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2020Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2020On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229.

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2021Double/Debiased Machine Learning for Dynamic Treatment Effects. (2020). Syrgkanis, Vasilis ; Lewis, Greg. In: Papers. RePEc:arx:papers:2002.07285.

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2021Safe Counterfactual Reinforcement Learning. (2020). Yata, Kohei ; Yasui, Shota ; Narita, Yusuke. In: Papers. RePEc:arx:papers:2002.08536.

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2020Identification and Estimation of Weakly Separable Models Without Monotonicity. (2020). Tang, Xun ; Khan, Shakeeb ; Chen, Songnian. In: Papers. RePEc:arx:papers:2003.04337.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Specification tests for generalized propensity scores using double projections. (2020). Song, Xiaojun. In: Papers. RePEc:arx:papers:2003.13803.

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2021Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments. (2020). Lee, Ying-Ying ; Colangelo, Kyle. In: Papers. RePEc:arx:papers:2004.03036.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2020Better Lee Bounds. (2020). Semenova, Vira. In: Papers. RePEc:arx:papers:2008.12720.

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2020Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data. (2020). Tao, Jing ; Peng, Sida ; Ning, Yang. In: Papers. RePEc:arx:papers:2009.03151.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2021Kernel Methods for Policy Evaluation: Treatment Effects, Mediation Analysis, and Off-Policy Planning. (2020). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2010.04855.

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2021Empirical likelihood and uniform convergence rates for dyadic kernel density estimation. (2020). Tan, Bing Yang ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2010.08838.

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2021Mostly Harmless Machine Learning: Learning Optimal Instruments in Linear IV Models. (2020). Chen, Daniel L ; Lewis, Greg. In: Papers. RePEc:arx:papers:2011.06158.

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2021Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2021Debiased Kernel Methods. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076.

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2021Optimal Targeting in Fundraising: A Machine Learning Approach. (2021). Glogowsky, Ulrich ; Cagala, Tobias ; Strittmatter, Anthony ; Rincke, Johannes. In: Papers. RePEc:arx:papers:2103.10251.

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2021CATE meets ML -- The Conditional Average Treatment Effect and Machine Learning. (2021). Jacob, Daniel. In: Papers. RePEc:arx:papers:2104.09935.

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2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

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2021A Simple and General Debiased Machine Learning Theorem with Finite Sample Guarantees. (2021). Chernozhukov, Victor ; Singh, Rahul ; Newey, Whitney K. In: Papers. RePEc:arx:papers:2105.15197.

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2021Causal Inference with Corrupted Data: Measurement Error, Missing Values, Discretization, and Differential Privacy. (2021). Singh, Rahul ; Agarwal, Anish. In: Papers. RePEc:arx:papers:2107.02780.

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2021Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

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2021Regression Discontinuity Designs. (2021). Titiunik, Rocio ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2108.09400.

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2021Many Proxy Controls. (2021). Deaner, Ben. In: Papers. RePEc:arx:papers:2110.03973.

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2021Nonparametric Tests of Conditional Independence for Time Series. (2021). Wei, Haoyu ; Song, Xiaojun. In: Papers. RePEc:arx:papers:2110.04847.

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2021Kernel Methods for Multistage Causal Inference: Mediation Analysis and Dynamic Treatment Effects. (2021). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2111.03950.

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2020At-risk measures and financial stability. (2020). Moreno, Maria Rodriguez ; Rodriguezmoreno, Maria ; Galan, Jorge E. In: Revista de Estabilidad Financiera. RePEc:bde:revist:y:2020:i:autumn:n:3.

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2020The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk. (2020). Galan, Jorge. In: Working Papers. RePEc:bde:wpaper:2007.

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2021Reassessing the inflation uncertainty?inflation relationship in the tails. (2021). Panagiotidis, Theodore ; Konstantinou, Panagiotis ; Bampinas, Georgios. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:508-534.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2021General Doubly Robust Identification and Estimation. (2019). Lewbel, Arthur ; Choi, Jin-Young ; Zhou, Zhuzhu. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1003.

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2020Dummy Endogenous Variables in Weakly Separable Multiple Index Models without Monotonicity. (2020). Tang, Xun ; Khan, Shakeeb ; Chen, Songnian. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:996.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2021Optimal Targeting in Fundraising: A Machine-Learning Approach. (2021). Glogowsky, Ulrich ; Strittmatter, Anthony ; Rincke, Johannes ; Cagala, Tobias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9037.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021Residual electricity demand: An empirical investigation. (2021). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan ; Catherine, Linh Phuong. In: Applied Energy. RePEc:eee:appene:v:283:y:2021:i:c:s0306261920316846.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020Model checks for functional linear regression models based on projected empirical processes. (2020). ZHU, LI XING ; Feng, Zhenghui ; Jiang, Qing ; Chen, Feifei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s016794731930252x.

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2020Specification tests in semiparametric transformation models — A multiplier bootstrap approach. (2020). Neumeyer, Natalie ; Kloodt, Nick. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:145:y:2020:i:c:s0167947319302634.

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2021A non-parametric test for comparing conditional ROC curves. (2021). Pardo-Fernandez, Juan Carlos ; Gonzalez-Manteiga, Wenceslao ; Fanjul-Hevia, Aris. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302371.

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2021Projection-averaging-based cumulative covariance and its use in goodness-of-fit testing for single-index models. (2021). Zhou, Yeqing ; Xu, Kai. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:164:y:2021:i:c:s0167947321001353.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322.

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2020Semiparametric quasi maximum likelihood estimation of the fractional response model. (2020). Montoya-Blandón, Santiago ; Jacho-Chávez, David ; Jacho-Chavez, David T ; Montoya-Blandon, Santiago. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303866.

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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

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2020Testing identification strength. (2020). Antoine, Bertille ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:271-293.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2020Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2020). Linton, Oliver ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:389-424.

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2021Linear IV regression estimators for structural dynamic discrete choice models. (2021). Scott, Paul T ; Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:778-804.

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2021Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056.

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2021A Bayesian robust chi-squared test for testing simple hypotheses. (2021). Tapinar, Suleyman ; Doan, Osman ; Bera, Anil K. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:933-958.

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2020A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Rice, Gregory ; Characiejus, Vaidotas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:175-196.

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2021On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2020Tail risk of electricity futures. (2020). Rodriguez, Rosa ; Pea, Juan Ignacio ; Mayoral, Silvia. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302267.

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2020Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting. (2020). Mora, Juan ; Leon, Angel ; Acereda, Beatriz. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300741.

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2020Stock market oscillations during the corona crash: The role of fear and uncertainty. (2020). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320309818.

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2020Fear of the coronavirus and the stock markets. (2020). Výrost, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Baumohl, Eduard ; Molnar, Peter ; Vrost, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320310813.

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2021Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2021A test for the geometric distribution based on linear regression of order statistics. (2021). Alba-Fernandez, M V ; Jimenez-Gamero, M D. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:186:y:2021:i:c:p:103-123.

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2021Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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2021Impact of COVID-19 on stock market efficiency: Evidence from developed countries. (2021). Ozkan, Oktay. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000660.

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2020Likelihood inference on semiparametric models with generated regressors. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102696.

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2020Towards Assessing the Electricity Demand in Brazil: Data-Driven Analysis and Ensemble Learning Models. (2020). Colnago, Marilaine ; Casaca, Wallace ; Leme, Joo Vitor ; Dias, Mauricio Araujo. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1407-:d:333831.

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2020Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach. (2020). Julio, Ivan F ; Manohar, Catherine Anitha ; Ngene, Geoffrey M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:282-:d:445319.

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2020On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market. (2020). Sulieman, Hana ; Chu, Jeffrey ; Chan, Stephen ; Zhang, Yuanyuan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:8-:d:304875.

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2021Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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2020A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network. (2020). Flori, Andrea ; Regoli, Daniele ; Martinazzi, Stefano. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:129-:d:454506.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2021A Multi-step Process Approach for Estimating Public Sector Wages. The Spanish Expe¬rience. (2021). Cantarero-Prieto, David ; Rodriguez-Poo, Juan M ; MORENO-MENCiA, PATRICIA . In: Hacienda Pública Española / Review of Public Economics. RePEc:hpe:journl:y:2021:v:237:i:2:p:33-56.

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2020Minimizing Sensitivity to Model Misspecification. (2020). Weidner, Martin ; Bonhomme, Stephane. In: CeMMAP working papers. RePEc:ifs:cemmap:37/20.

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2021An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429.

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2020The VaR comparison of the fresh investment toolBITCOIN with other conventional investment tools, gold, stock exchange (BIST100) and foreign currencies (EUR/USD VS TRL). (2020). Karahanoglu, Ilhami. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2020:v:11:p:160-181.

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2021Optimal Targeting in Fundraising: A Machine-Learning Approach. (2021). Strittmatter, Anthony ; Glogowsky, Ulrich ; Cagala, Tobias ; Rincke, Johannes. In: Economics working papers. RePEc:jku:econwp:2021-08.

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2021A Nonparametric Test for Testing Heterogeneity in Conditional Quantile Treatment Effects. (2021). Tang, Shengfang ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202117.

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2020Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India. (2020). Patra, Subhamitra ; Bhuyan, Biswabhusan ; Bhuian, Ranjan Kumar. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:4:d:10.1007_s10690-020-09308-2.

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2020Optimization of Backtesting Techniques in Automated High Frequency Trading Systems Using the d-Backtest PS Method. (2020). Bizergianidou, V A ; Kyrgos, Th S ; Schinas, C J ; Th, D ; Karkanis, I P. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09956-1.

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2021Specification tests for GARCH processes. (2021). Cavaliere, Giuseppe ; Rahbek, Anders ; Perera, Indeewara. In: Discussion Papers. RePEc:kud:kuiedp:2106.

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2020Testing the white noise hypothesis in high-frequency housing returns of the United States. (2020). GUPTA, RANGAN ; Tiwari, Aviral Kumar ; Sheng, Xin ; Cunado, Juncal. In: Economics and Business Letters. RePEc:ove:journl:aid:14521.

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2020garchx: Flexible and Robust GARCH-X Modelling. (2020). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100301.

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2020A Super-Learning Machine for Predicting Economic Outcomes. (2020). Cerulli, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:99111.

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2020.

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2020Partially Linear Models with Endogeneity: a conditional moment based approach. (2020). Sun, Xiaolin ; Antoine, Bertille. In: Discussion Papers. RePEc:sfu:sfudps:dp20-06.

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2021Identifcation-Robust Nonparametric Inference in a Linear IV Model. (2021). Antoine, Bertille ; Lavergne, Pascal. In: Discussion Papers. RePEc:sfu:sfudps:dp21-12.

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More than 100 citations found, this list is not complete...

Juan Carlos Escanciano is editor of


Journal
Advances in Econometrics
Advances in Econometrics

Juan Carlos Escanciano has edited the books:


YearTitleTypeCited

Works by Juan Carlos Escanciano:


YearTitleTypeCited
2013Semiparametric Estimation of Risk-return Relationships In: LIDAM Discussion Papers ISBA.
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paper2
2017Semiparametric Estimation of Risk-return Relationships.(2017) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 2
paper
2013SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS.(2013) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 2
paper
2017Semiparametric Estimation of Risk–Return Relationships.(2017) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 2
article
2015Asymptotic distribution-free tests for semiparametric regressions In: LIDAM Discussion Papers ISBA.
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paper0
2015Wilks Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference In: LIDAM Discussion Papers ISBA.
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paper4
2018Asymptotic distribution-free tests for semiparametric regressions with dependent data In: LIDAM Reprints ISBA.
[Citation analysis]
paper2
2020Two-Step Semiparametric Empirical Likelihood Inference In: LIDAM Reprints ISBA.
[Citation analysis]
paper4
2020Locally Robust Semiparametric Estimation In: Papers.
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paper41
2018Locally robust semiparametric estimation.(2018) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 41
paper
2016Locally robust semiparametric estimation.(2016) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 41
paper
2020Optimal Linear Instrumental Variables Approximations In: Papers.
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paper1
2021Optimal Linear Instrumental Variables Approximations.(2021) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 1
article
2019Quantile-Regression Inference With Adaptive Control of Size In: Papers.
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paper0
2019Quantile-Regression Inference With Adaptive Control of Size.(2019) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 0
article
2020Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity In: Papers.
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paper0
2020Uniform Rates for Kernel Estimators of Weakly Dependent Data In: Papers.
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paper0
2020Regression Discontinuity Design with Multivalued Treatments In: Papers.
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paper1
2006Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models In: Journal of the American Statistical Association.
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article34
2005Goodness-of-fit Tests for Linear and Non-linear Time Series Models.(2005) In: Faculty Working Papers.
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This paper has another version. Agregated cites: 34
paper
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
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article40
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 40
paper
2012Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing In: Boston College Working Papers in Economics.
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paper25
2014Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 25
article
2020Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics.
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paper11
2015Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics.
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This paper has another version. Agregated cites: 11
paper
2020Nonparametric Euler Equation Identi?cation and Estimation.(2020) In: Cambridge Working Papers in Economics.
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This paper has another version. Agregated cites: 11
paper
2021NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION.(2021) In: Econometric Theory.
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This paper has another version. Agregated cites: 11
article
2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 11
paper
2010Testing conditional monotonicity in the absence of smoothness In: UC3M Working papers. Economics.
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paper1
2011Conditional stochastic dominance testing In: UC3M Working papers. Economics.
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paper9
2013Conditional Stochastic Dominance Testing.(2013) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 9
article
2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
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paper72
2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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article
2007Estimation risk effects on backtesting for parametric value-at-risk models In: Working Papers.
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paper8
2006A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS In: Econometric Theory.
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article38
2005A Consistent Diagnostic Test for Regression Models Using Projections.(2005) In: Faculty Working Papers.
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This paper has another version. Agregated cites: 38
paper
2009ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS In: Econometric Theory.
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article10
2009QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS In: Econometric Theory.
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article16
2010ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS In: Econometric Theory.
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article6
2009ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS.(2009) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 6
paper
2011A Simple Test for Identification in GMM under Conditional Moment Restrictions In: Cowles Foundation Discussion Papers.
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paper4
2009Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators In: Economics Bulletin.
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article0
2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
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article2
2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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This paper has another version. Agregated cites: 2
paper
2010Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications In: Computational Statistics & Data Analysis.
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article5
2010Data-driven smooth tests for the martingale difference hypothesis In: Computational Statistics & Data Analysis.
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article5
2007Data-Driven Smooth Tests for the Martingale Difference Hypothesis.(2007) In: Faculty Working Papers.
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This paper has another version. Agregated cites: 5
paper
2007Nonparametric tests for conditional symmetry in dynamic models In: Journal of Econometrics.
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article25
2008Joint and marginal specification tests for conditional mean and variance models In: Journal of Econometrics.
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article13
2009An automatic Portmanteau test for serial correlation In: Journal of Econometrics.
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article101
2010Testing single-index restrictions with a focus on average derivatives In: Journal of Econometrics.
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article7
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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article15
2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 15
paper
2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 15
paper
2012Distribution-free tests of stochastic monotonicity In: Journal of Econometrics.
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article15
2014Specification analysis of linear quantile models In: Journal of Econometrics.
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article10
2012Pitfalls in backtesting Historical Simulation VaR models In: Journal of Banking & Finance.
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article17
2012Pitfalls in Backtesting Historical Simulation VaR Models.(2012) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 17
paper
2007Weak convergence of non-stationary multivariate marked processes with applications to martingale testing In: Journal of Multivariate Analysis.
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article9
2013On the identification of structural linear functionals In: CeMMAP working papers.
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paper0
2013Set inferences and sensitivity analysis in semiparametric conditionally identified models In: CeMMAP working papers.
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paper2
2017Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science.
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article31
2015Backtesting Expected Shortfall: Accounting for Tail Risk.(2015) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 31
paper
2007Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications In: CAEPR Working Papers.
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paper3
2009PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH In: CAEPR Working Papers.
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paper0
2010The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models In: CAEPR Working Papers.
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paper0
2015Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity In: CAEPR Working Papers.
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paper0
2015Testing for Fundamental Vector Moving Average Representations In: CAEPR Working Papers.
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paper13
2017Testing for fundamental vector moving average representations.(2017) In: Quantitative Economics.
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This paper has another version. Agregated cites: 13
article
2015Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers.
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paper0
2016A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers.
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paper3
2018A simple and robust estimator for linear regression models with strictly exogenous instruments.(2018) In: Econometrics Journal.
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This paper has another version. Agregated cites: 3
article
2017Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers.
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paper0
2017Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal.
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This paper has another version. Agregated cites: 0
article
2017Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve In: CAEPR Working Papers.
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paper0
2017Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk In: CAEPR Working Papers.
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paper0
2021Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk.(2021) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 0
article
2011Robust Backtesting Tests for Value-at-risk Models In: Journal of Financial Econometrics.
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article25
2009Testing the Martingale Hypothesis In: Palgrave Macmillan Books.
[Citation analysis]
chapter1
2007Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects In: PIER Working Paper Archive.
[Full Text][Citation analysis]
paper1
2015A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews.
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article1
2015A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model In: Econometric Reviews.
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article0
2013Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models In: Journal of Business & Economic Statistics.
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article4
2010Specification Analysis of Structural Quantile Regression Models In: Working Papers.
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paper1
2006Joint Diagnostic Tests for Conditional Mean and Variance Specifications In: Faculty Working Papers.
[Full Text][Citation analysis]
paper1
2005On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions In: Faculty Working Papers.
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paper0
2004Model Checks Using Residual Marked Empirical Processes In: Faculty Working Papers.
[Full Text][Citation analysis]
paper9
2016Identification and estimation of semiparametric two‐step models In: Quantitative Economics.
[Full Text][Citation analysis]
article17

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