Juan Carlos Escanciano : Citation Profile


Are you Juan Carlos Escanciano?

Indiana University

11

H index

13

i10 index

355

Citations

RESEARCH PRODUCTION:

29

Articles

36

Papers

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   15 years (2003 - 2018). See details.
   Cites by year: 23
   Journals where Juan Carlos Escanciano has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 30 (7.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pes22
   Updated: 2018-08-11    RAS profile: 2017-11-21    
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Relations with other researchers


Works with:

Du, Zaichao (4)

Lewbel, Arthur (4)

Chernozhukov, Victor (2)

hoderlein, stefan (2)

LINTON, OLIVER (2)

Jacho-Chávez, David (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:

Darné, Olivier (20)

Kim, Jae (20)

Zhu, Ke (15)

Francq, Christian (11)

Zakoian, Jean-Michel (11)

CHARLES, Amelie (9)

Lee, Sokbae (Simon) (7)

Velasco, Carlos (7)

Sant'Anna, Pedro (7)

Maillet, Bertrand (6)

Hurlin, Christophe (6)

Cites to:

Bierens, Herman (29)

Chen, Xiaohong (23)

White, Halbert (21)

Li, Qi (18)

Velasco, Carlos (16)

Chernozhukov, Victor (14)

Christoffersen, Peter (10)

LINTON, OLIVER (10)

Lobato, Ignacio (10)

Stinchcombe, Maxwell (9)

Whang, Yoon-Jae (8)

Main data


Where Juan Carlos Escanciano has published?


Journals with more than one article published# docs
Journal of Econometrics9
Econometric Theory4
Computational Statistics & Data Analysis3
Econometric Reviews2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Caepr Working Papers / Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington14
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies4
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Juan Carlos Escanciano (2018 and 2017)


YearTitle of citing document
2017Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Difference-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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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Wang, Guochang ; Zhu, KE ; Li, Wai Keung. In: Papers. RePEc:arx:papers:1804.09866.

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2017Local explosion modelling by non-causal process. (2017). Zakoian, Jean-Michel ; Gourieroux, Christian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756.

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2017News, Uncertainty and Economic Fluctuations. (2017). Forni, Mario ; Sala, Luca ; Gambetti, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12139.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2018Seasonal quasi-vector autoregressive models for macroeconomic data. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:26316.

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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924r.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2017On the inefficiency of Bitcoin. (2017). Nadarajah, Saralees ; Chu, Jeffrey. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:6-9.

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2018Identification and estimation using heteroscedasticity without instruments: The binary endogenous regressor case. (2018). Lewbel, Arthur. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:10-12.

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2018Adaptive market hypothesis and evolving predictability of bitcoin. (2018). Khuntia, Sashikanta ; Pattanayak, J K. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28.

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2017Statistical inference for independent component analysis: Application to structural VAR models. (2017). Renne, Jean-Paul ; Monfort, Alain ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:111-126.

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2017Inference based on many conditional moment inequalities. (2017). , Donald ; Shi, Xiaoxia. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:275-287.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017A simple consistent test of conditional symmetry in symmetrically trimmed tobit models. (2017). Chen, Tao ; Tripathi, Gautam . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:29-40.

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2017New goodness-of-fit diagnostics for conditional discrete response models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:135-149.

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2017Rationalization and identification of binary games with correlated types. (2017). Xu, Haiqing ; Liu, Nianqing ; Vuong, Quang. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:249-268.

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2018The ZD-GARCH model: A new way to study heteroscedasticity. (2018). Zhu, Ke ; Ling, Shiqing ; Zhang, Xingfa . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:1-17.

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2018Efficient propensity score regression estimators of multivalued treatment effects for the treated. (2018). Lee, Ying-Ying. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:207-222.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Gourieroux, Christian ; Jasiak, Joann . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2017Generalized empirical likelihood M testing for semiparametric models with time series data. (2017). Jacho-Chávez, David ; Chu, Ba ; Bravo, Francesco ; Chu, Ba M., ; Jacho-Chavez, David T. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:18-30.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:eee:inteco:v:151:y:2017:i:c:p:100-112.

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2018Backtesting an equity risk model under Solvency II. (2018). Santomil, Pablo Duran ; Merigo, Jose M ; Cunill, Onofre Martorell ; Gonzalez, Luis Otero . In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:216-222.

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2017Improved model checking methods for parametric models with responses missing at random. (2017). Sun, Zhihua ; Zhang, Qingzhao ; Zhou, Xiaohua ; Chen, Feifei . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:147-161.

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2017Goodness-of-fit tests in semiparametric transformation models using the integrated regression function. (2017). Colling, Benjamin ; van Keilegom, Ingrid ; VanKeilegom, Ingrid . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:160:y:2017:i:c:p:10-30.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Chang, Jinyuan ; Zhou, Wen ; Yao, Qiwei. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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2017Doubly robust uniform confidence band for the conditional average treatment effect function. (2017). Okui, Ryo ; Lee, Sokbae (Simon) ; Whang, Yoon-Jae. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86852.

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2018Stochastic Model Predictive Fault Tolerant Control Based on Conditional Value at Risk for Wind Energy Conversion System. (2018). Shi, Yun-Tao ; Sun, De-Hui ; Zhang, Yuan ; Wang, LI ; Xiang, Xiang. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:1:p:193-:d:126758.

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2018A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2018Is the Bitcoin Rush Over?. (2018). Guegan, Dominique ; FRUNZA, Marius . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01822992.

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2017Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01526483.

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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01579718.

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2017Double/debiased machine learning for treatment and structural parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney K ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:28/17.

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2018Locally robust semiparametric estimation. (2018). Chernozhukov, Victor ; Robins, James M ; Newey, Whitney K ; Ichimura, Hidehiko ; Escanciano, Juan Carlos. In: CeMMAP working papers. RePEc:ifs:cemmap:30/18.

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2017Cross-fitting and fast remainder rates for semiparametric estimation. (2017). Newey, Whitney K ; Robins, James M. In: CeMMAP working papers. RePEc:ifs:cemmap:41/17.

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2017Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve. (2017). Choi, Jinho ; Escanciano, Juan Carlos ; Guo, Junjie . In: Caepr Working Papers. RePEc:inu:caeprp:2017014.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2017News, Uncertainty and Economic Fluctuations (No News is Good News). (2017). Forni, Mario ; Sala, Luca ; Gambetti, Luca. In: Center for Economic Research (RECent). RePEc:mod:recent:132.

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2018Is the Bitcoin Rush Over?. (2018). Guegan, Dominique ; Frunza, Marius Cristian. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:18014.

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2017Double/Debiased Machine Learning for Treatment and Structural Parameters. (2017). Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Chernozhukov, Victor ; Robins, James ; Demirer, Mert ; Chetverikov, Denis. In: NBER Working Papers. RePEc:nbr:nberwo:23564.

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2017Adaptive Market Hypothesis: Evidence from three centuries of UK data. (2017). Almail, Ali ; Almudhaf, Fahad. In: Economics and Business Letters. RePEc:ove:journl:aid:11556.

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2017Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models.. (2017). Bibi, Abdelouahab ; Ghezal, Ahmed . In: MPRA Paper. RePEc:pra:mprapa:81126.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2018Functional GARCH models: the quasi-likelihood approach and its applications. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Hormann, Siegfried ; Cerovecki, Clement . In: MPRA Paper. RePEc:pra:mprapa:83990.

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2017Posouzení modelů odhadu tržního rizika s využitím DEA přístupu. (2017). Kresta, Ale ; Toloo, Mehdi ; Tich, Toma. In: Politická ekonomie. RePEc:prg:jnlpol:v:2017:y:2017:i:2:id:1134:p:161-178.

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2017Zmiennosc cen na globalnym rynku surowcow a ryzyko banku. (2017). Wlodarczyk, Bogdan. In: Problemy Zarzadzania. RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:107-124.

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2017The Chicago Climate Exchange and market efficiency: an empirical analysis. (2017). Sabbaghi, Omid . In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:19:y:2017:i:4:d:10.1007_s10018-016-0171-4.

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2018Goodness-of-fit tests for Log-GARCH and EGARCH models. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Wintenberger, Olivier. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2.

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2018Serial independence tests for innovations of conditional mean and variance models. (2018). Ghoudi, Kilani ; Remillard, Bruno. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0521-3.

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2017Confidence Corridors for Multivariate Generalized Quantile Regression. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Dette, Holger ; Proksch, Katharina ; Chao, Shih-Kang. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:70-85.

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2017Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility. (2017). Gerlach, Richard ; Wang, Chao ; Walpole, Declan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:199-215.

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2018Difference-in-Differences with Multiple Time Periods and an Application on the Minimum Wage and Employment. (2018). Sant'Anna, Pedro ; Callaway, Brantly. In: DETU Working Papers. RePEc:tem:wpaper:1804.

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2018Is the Bitcoin Rush Over?. (2018). Frunza, Marius Cristian ; Guegan, Dominique. In: Working Papers. RePEc:ven:wpaper:2018:10.

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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
2018Locally Robust Semiparametric Estimation In: Papers.
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2016Locally robust semiparametric estimation.(2016) In: CeMMAP working papers.
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2006Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models In: Journal of the American Statistical Association.
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2005Goodness-of-fit Tests for Linear and Non-linear Time Series Models.(2005) In: Faculty Working Papers.
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2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
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article24
2007Backtesting Parametric Value-at-Risk with Estimation Risk.(2007) In: Caepr Working Papers.
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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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2014Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing.(2014) In: Journal of Econometrics.
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2015Nonparametric Euler Equation Identification andEstimation In: Cambridge Working Papers in Economics.
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2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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2010Testing conditional monotonicity in the absence of smoothness In: UC3M Working papers. Economics.
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2011Conditional stochastic dominance testing In: UC3M Working papers. Economics.
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2013Conditional Stochastic Dominance Testing.(2013) In: Journal of Business & Economic Statistics.
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2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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2007Estimation risk effects on backtesting for parametric value-at-risk models In: Working Papers.
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2006A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS In: Econometric Theory.
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2005A Consistent Diagnostic Test for Regression Models Using Projections.(2005) In: Faculty Working Papers.
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2009ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS In: Econometric Theory.
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2009QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS In: Econometric Theory.
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2010ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS In: Econometric Theory.
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2009ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS.(2009) In: Caepr Working Papers.
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2011A Simple Test for Identification in GMM under Conditional Moment Restrictions In: Cowles Foundation Discussion Papers.
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2009Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators In: Economics Bulletin.
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2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
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2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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2010Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications In: Computational Statistics & Data Analysis.
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2010Data-driven smooth tests for the martingale difference hypothesis In: Computational Statistics & Data Analysis.
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2007Data-Driven Smooth Tests for the Martingale Difference Hypothesis.(2007) In: Faculty Working Papers.
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2007Nonparametric tests for conditional symmetry in dynamic models In: Journal of Econometrics.
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2008Joint and marginal specification tests for conditional mean and variance models In: Journal of Econometrics.
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2009An automatic Portmanteau test for serial correlation In: Journal of Econometrics.
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2010Testing single-index restrictions with a focus on average derivatives In: Journal of Econometrics.
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2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: Caepr Working Papers.
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2012Distribution-free tests of stochastic monotonicity In: Journal of Econometrics.
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2014Specification analysis of linear quantile models In: Journal of Econometrics.
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2012Pitfalls in backtesting Historical Simulation VaR models In: Journal of Banking & Finance.
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2012Pitfalls in Backtesting Historical Simulation VaR Models.(2012) In: Caepr Working Papers.
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2007Weak convergence of non-stationary multivariate marked processes with applications to martingale testing In: Journal of Multivariate Analysis.
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2008Semiparametric estimation of dynamic conditional expected shortfall models In: International Journal of Monetary Economics and Finance.
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2013On the identification of structural linear functionals In: CeMMAP working papers.
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2013Set inferences and sensitivity analysis in semiparametric conditionally identified models In: CeMMAP working papers.
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2007Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications In: Caepr Working Papers.
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2009PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH In: Caepr Working Papers.
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2010The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models In: Caepr Working Papers.
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2013SEMI PARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS In: Caepr Working Papers.
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2015Backtesting Expected Shortfall: Accounting for Tail Risk In: Caepr Working Papers.
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2015Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity In: Caepr Working Papers.
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