Juan Carlos Escanciano : Citation Profile


Are you Juan Carlos Escanciano?

Universidad Carlos III de Madrid

11

H index

14

i10 index

446

Citations

RESEARCH PRODUCTION:

31

Articles

41

Papers

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   15 years (2003 - 2018). See details.
   Cites by year: 29
   Journals where Juan Carlos Escanciano has often published
   Relations with other researchers
   Recent citing documents: 119.    Total self citations: 34 (7.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pes22
   Updated: 2019-10-15    RAS profile: 2019-03-29    
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Relations with other researchers


Works with:

Du, Zaichao (4)

Lewbel, Arthur (4)

Chernozhukov, Victor (3)

Choi, Jinho (3)

LINTON, OLIVER (2)

hoderlein, stefan (2)

Jacho-Chávez, David (2)

Goh, Chuan (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 (22)

Kim, Jae (21)

Zhu, Ke (21)

Francq, Christian (12)

Zakoian, Jean-Michel (12)

Sant'Anna, Pedro (9)

CHARLES, Amelie (9)

Hurlin, Christophe (7)

Velasco, Carlos (7)

Lee, Sokbae (Simon) (7)

gourieroux, christian (6)

Cites to:

Bierens, Herman (31)

Chen, Xiaohong (26)

White, Halbert (23)

Li, Qi (19)

Velasco, Carlos (17)

Chernozhukov, Victor (14)

Newey, Whitney (13)

Hong, Yongmiao (12)

LINTON, OLIVER (11)

Christoffersen, Peter (10)

Lobato, Ignacio (10)

Main data


Where Juan Carlos Escanciano has published?


Journals with more than one article published# docs
Journal of Econometrics9
Econometric Theory4
Journal of Business & Economic Statistics3
Computational Statistics & Data Analysis3
Econometric Reviews2
Quantitative Economics2

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
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies5
Papers / arXiv.org3
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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2019Specification Tests for the Propensity Score. (2016). Sant'Anna, Pedro ; Song, Xiaojung. In: Papers. RePEc:arx:papers:1611.06217.

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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). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2019Covariate Distribution Balance via Propensity Scores. (2018). Sant'Anna, Pedro ; Xu, QI ; Song, Xiaojun. In: Papers. RePEc:arx:papers:1810.01370.

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2018Offline Multi-Action Policy Learning: Generalization and Optimization. (2018). Zhou, Zhengyuan ; Wager, Stefan ; Athey, Susan. In: Papers. RePEc:arx:papers:1810.04778.

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

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2018Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157.

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2019Non-Parametric Inference Adaptive to Intrinsic Dimension. (2019). Khosravi, Khashayar ; Syrgkanis, Vasilis ; Lewis, Greg. In: Papers. RePEc:arx:papers:1901.03719.

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

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

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2018How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times. (2018). Vallée, Geneviève ; Vallee, Genevieve. In: Staff Working Papers. RePEc:bca:bocawp:18-46.

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2019Identification and estimation of triangular models with a binary treatment. (2019). Pereda-Fernández, Santiago ; Fernandez, Santiago Pereda . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1210_19.

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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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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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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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2018Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240.

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2019Permanent-Income Inequality. (2019). Gallipoli, Giovanni ; Abbott, Brant. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13540.

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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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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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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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2018Pairwise distance-based tests for conditional symmetry. (2018). Niu, Cuizhen ; Zhu, Lixing ; Li, Yong ; Guo, XU. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:145-162.

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2019A goodness-of-fit test for variable-adjusted models. (2019). ZHU, LI XING ; Xie, Chuanlong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:138:y:2019:i:c:p:27-48.

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2019Model checking for regressions: An approach bridging between local smoothing and global smoothing methods. (2019). Chiu, Sung Nok ; Li, Lingzhu ; Zhu, Lixing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:138:y:2019:i:c:p:64-82.

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2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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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). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2018Nonparametric tests for conditional symmetry. (2018). Delgado, Miguel A ; Song, Xiaojun. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:447-471.

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2018Tests of stochastic monotonicity with improved power. (2018). Seo, Juwon. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:53-70.

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2018Model checks for nonlinear cointegrating regression. (2018). Zhu, Ke ; Wu, Dongsheng ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:261-284.

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2019Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables. (2019). Khalil, Umair ; Yildiz, Nee ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:346-366.

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2019Functional GARCH models: The quasi-likelihood approach and its applications. (2019). Zakoian, Jean-Michel ; Hormann, Siegfried ; Francq, Christian ; Cerovecki, Clement. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:353-375.

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2019Specification tests for the propensity score. (2019). Song, Xiaojun. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:379-404.

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2019An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26.

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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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2018A hyperplanes intersection simulated annealing algorithm for maximum score estimation. (2018). Florios, Kostas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:37-55.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. 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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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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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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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

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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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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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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). Whang, Yoon-Jae ; Okui, Ryo ; Lee, Sokbae (Simon). In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86852.

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2019Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models. (2019). Ghasemi, Foroogh ; Tamoaitien, Jolanta ; Yousefi, Vahidreza ; Tabasi, Hamed. In: Administrative Sciences. RePEc:gam:jadmsc:v:9:y:2019:i:2:p:40-:d:234128.

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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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2019Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature. (2019). Rastogi, Shailesh ; Patil, Ashok Chanabasangouda. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:105-:d:242195.

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2019A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. (2019). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:67-:d:224155.

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2019Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. (2019). Quang, Hung Pham ; Tran, Dzung Phan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:81-:d:229435.

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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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2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae Paul ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01598139.

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2019Permanent-Income Inequality. (2019). Gallipoli, Giovanni ; Abbott, Brant. In: Working Papers. RePEc:hka:wpaper:2019-011.

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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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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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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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2018Fundamentalness, Granger Causality and Aggregation. (2018). Forni, Mario ; Sala, Luca ; Gambetti, Luca. In: Center for Economic Research (RECent). RePEc:mod:recent:139.

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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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2018Conditional Correlation on CEE Stock Markets. (2018). Istvn, Kralik Lrnd. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xviii:y:2018:i:2:p:130-136.

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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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2019Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Sheng, Xin ; Cunado, Juncal ; Gupta, Rangan ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201952.

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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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2019Permanent-Income Inequality. (2019). Gallipoli, Giovanni ; Abbott, Brant. In: Working Paper. RePEc:qed:wpaper:1411.

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2019When is Nonfundamentalness in SVARs a Real Problem?. (). Portier, Franck ; Guay, Alain ; Fève, Patrick ; Beaudry, Paul. In: Review of Economic Dynamics. RePEc:red:issued:18-478.

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2018Testing Identification Strength. (2018). Antoine, Bertille ; Renault, Eric. In: Discussion Papers. RePEc:sfu:sfudps:dp18-07.

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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
2018Locally Robust Semiparametric Estimation In: Papers.
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2018Locally robust semiparametric estimation.(2018) In: CeMMAP working papers.
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2016Locally robust semiparametric estimation.(2016) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 10
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2018Optimal Linear Instrumental Variables Approximations In: Papers.
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paper0
2018Quantile-Regression Inference With Adaptive Control of Size In: Papers.
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paper0
2006Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models In: Journal of the American Statistical Association.
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article28
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: 28
paper
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
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article29
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
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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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paper21
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: 21
article
2015Nonparametric Euler Equation Identification andEstimation In: Cambridge Working Papers in Economics.
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paper8
2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 8
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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paper8
2013Conditional Stochastic Dominance Testing.(2013) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 8
article
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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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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article26
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: 26
paper
2009ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS In: Econometric Theory.
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article9
2009QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS In: Econometric Theory.
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article15
2010ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS In: Econometric Theory.
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article3
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: 3
paper
2011A Simple Test for Identification in GMM under Conditional Moment Restrictions In: Cowles Foundation Discussion Papers.
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paper2
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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article24
2008Joint and marginal specification tests for conditional mean and variance models In: Journal of Econometrics.
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article8
2009An automatic Portmanteau test for serial correlation In: Journal of Econometrics.
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article68
2010Testing single-index restrictions with a focus on average derivatives In: Journal of Econometrics.
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article6
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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article11
2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 11
paper
2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 11
paper
2012Distribution-free tests of stochastic monotonicity In: Journal of Econometrics.
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article12
2014Specification analysis of linear quantile models In: Journal of Econometrics.
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article4
2012Pitfalls in backtesting Historical Simulation VaR models In: Journal of Banking & Finance.
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article13
2012Pitfalls in Backtesting Historical Simulation VaR Models.(2012) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 13
paper
2007Weak convergence of non-stationary multivariate marked processes with applications to martingale testing In: Journal of Multivariate Analysis.
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article7
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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paper1
2007Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications In: CAEPR Working Papers.
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paper2
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
2013SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS In: CAEPR Working Papers.
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paper1
2017Semiparametric Estimation of Risk–Return Relationships.(2017) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 1
article
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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2015Testing for Fundamental Vector Moving Average Representations In: CAEPR Working Papers.
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2017Testing for fundamental vector moving average representations.(2017) In: Quantitative Economics.
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This paper has another version. Agregated cites: 11
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2015Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers.
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2016A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers.
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paper1
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: 1
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2017Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers.
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2017Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal.
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2017Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve In: CAEPR Working Papers.
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2017Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk In: CAEPR Working Papers.
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paper0
2011Robust Backtesting Tests for Value-at-risk Models In: Journal of Financial Econometrics.
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article19
2007Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects In: PIER Working Paper Archive.
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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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article2
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.
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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.
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paper5
2016Identification and estimation of semiparametric two‐step models In: Quantitative Economics.
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article9

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