Juan Carlos Escanciano : Citation Profile


Are you Juan Carlos Escanciano?

Universidad Carlos III de Madrid

14

H index

17

i10 index

560

Citations

RESEARCH PRODUCTION:

32

Articles

47

Papers

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 32
   Journals where Juan Carlos Escanciano has often published
   Relations with other researchers
   Recent citing documents: 99.    Total self citations: 36 (6.04 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pes22
   Updated: 2020-10-17    RAS profile: 2020-10-12    
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Relations with other researchers


Works with:

Lewbel, Arthur (4)

Du, Zaichao (4)

LINTON, OLIVER (3)

hoderlein, stefan (3)

Chernozhukov, Victor (3)

Choi, Jinho (3)

Srisuma, Sorawoot (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:

Zhu, Ke (26)

Darné, Olivier (23)

Kim, Jae (22)

Sant'Anna, Pedro (19)

Zakoian, Jean-Michel (15)

Francq, Christian (15)

CHARLES, Amelie (10)

Bravo, Francesco (8)

Hurlin, Christophe (8)

Jacho-Chávez, David (7)

Chernozhukov, Victor (7)

Cites to:

Bierens, Herman (31)

Chen, Xiaohong (24)

White, Halbert (23)

Li, Qi (19)

Velasco, Carlos (17)

Chernozhukov, Victor (14)

Newey, Whitney (13)

Hong, Yongmiao (12)

LINTON, OLIVER (12)

Lobato, Ignacio (10)

Christoffersen, Peter (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
Papers / arXiv.org6
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies5
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 (2020 and 2019)


YearTitle of citing document
2019The Identification Zoo: Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Journal of Economic Literature. RePEc:aea:jeclit:v:57:y:2019:i:4:p:835-903.

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2019Specification Tests for the Propensity Score. (2019). Sant'Anna, Pedro ; Song, Xiaojung. In: Papers. RePEc:arx:papers:1611.06217.

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2019Inference on Breakdown Frontiers. (2019). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1705.04765.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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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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2019Deep Neural Networks for Estimation and Inference. (2019). Misra, Sanjog ; Liang, Tengyuan ; Farrell, Max H. In: Papers. RePEc:arx:papers:1809.09953.

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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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2019Robust Inference Using Inverse Probability Weighting. (2019). Wang, Jingshen ; Ma, Xinwei. In: Papers. RePEc:arx:papers:1810.11397.

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

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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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2020Testing for Sample Selection. (2019). Gutknecht, Daniel ; Corradi, Valentina. In: Papers. RePEc:arx:papers:1907.07412.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2020De-biased Machine Learning for Compliers. (2019). Sun, Liyang ; Singh, Rahul. In: Papers. RePEc:arx:papers:1909.05244.

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2019Specification Testing in Nonparametric Instrumental Quantile Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10129.

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

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2020Safe 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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2020Double 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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2020Kernel 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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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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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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2019General 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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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2019Two-Step Estimation and Inference with Possibly Many Included Covariates. (2019). Jansson, Michael ; Ma, Xinwei ; Cattaneo, Matias D. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt86c7x315.

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

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; 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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2019Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030.

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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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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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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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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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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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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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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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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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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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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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2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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2019The adaptive market hypothesis in the high frequency cryptocurrency market. (2019). Zhang, Yuanyuan ; Chu, Jeffrey ; Chan, Stephen. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:221-231.

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2019Does the introduction of futures improve the efficiency of Bitcoin?. (2019). Posch, Peter N ; Muller, Janis ; Kochling, Gerrit. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:367-370.

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2019Detecting overreaction in the Bitcoin market: A quantile autoregression approach. (2019). Mascia, Danilo V ; Chevapatrakul, Thanaset. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:371-377.

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2019Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. (2019). Ebrahimi, Seyed Babak ; Ghazani, Majid Mirzaee. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:60-68.

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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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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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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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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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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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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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2019News and subjective beliefs: A Bayesian approach to Bitcoin investments. (2019). Flori, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:336-356.

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2019Adaptive Market Hypothesis. (2019). Ergun, Zeliha Can ; Taskin, Dilvin F ; Mandaci, Pinar Evrim . In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:vii:y:2019:i:4:p:84-101.

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

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

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2019Double debiased machine learning nonparametric inference with continuous treatments. (2019). Lee, Ying-Ying ; Colangelo, Kyle. In: CeMMAP working papers. RePEc:ifs:cemmap:54/19.

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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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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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

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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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2019Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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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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2020Semiparametric M-estimation with non-smooth criterion functions. (2020). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Delsol, Laurent . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:2:d:10.1007_s10463-018-0700-y.

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2020Estimation and hypothesis test for partial linear single-index multiplicative models. (2020). Zhang, Jun ; Peng, Heng ; Cui, Xia. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:3:d:10.1007_s10463-019-00706-6.

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2019Inferential procedures based on the integrated empirical characteristic function. (2019). Jo, Minyoung ; Meintanis, Simos G ; Lee, Sangyeol. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:103:y:2019:i:3:d:10.1007_s10182-018-00335-z.

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2020Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (2020). Jimenez-Gamero, Dolores M ; Meintanis, Simos G ; Lee, Sangyeol. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0.

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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. (2019). van Dijk, Dick ; Kole, Erik ; Barendse, Sander . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:2019058.

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2019Essays in econometric theory. (2019). Sadikoglu, Serhan . In: Other publications TiSEM. RePEc:tiu:tiutis:99d83644-f9dc-49e3-a4e1-5ca8a8d3f784.

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2019Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies. (2019). Rendek, Renata ; Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:398.

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2019CRYPTOCURRENCIES IN FINANCE: REVIEW AND APPLICATIONS. (2019). Flori, Andrea. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:05:n:s0219024919500201.

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2019Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian. In: Working Paper Series in Economics. RePEc:zbw:kitwps:121.

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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
2013Semiparametric Estimation of Risk-return Relationships In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
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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
2018Asymptotic distribution-free tests for semiparametric regressions with dependent data In: ISBA Reprints (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
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paper0
2020Locally Robust Semiparametric Estimation In: Papers.
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paper24
2018Locally robust semiparametric estimation.(2018) In: CeMMAP working papers.
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paper
2016Locally robust semiparametric estimation.(2016) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 24
paper
2020Optimal Linear Instrumental Variables Approximations In: Papers.
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paper0
2019Quantile-Regression Inference With Adaptive Control of Size In: Papers.
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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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paper0
2006Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models In: Journal of the American Statistical Association.
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article32
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: 32
paper
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
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article38
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 38
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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paper27
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: 27
article
2020Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics.
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2015Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics.
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paper
2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 9
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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paper64
2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 64
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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article32
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: 32
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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article16
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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paper3
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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article11
2009An automatic Portmanteau test for serial correlation In: Journal of Econometrics.
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article83
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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article16
2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 16
paper
2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 16
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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article7
2012Pitfalls in backtesting Historical Simulation VaR models In: Journal of Banking & Finance.
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article16
2012Pitfalls in Backtesting Historical Simulation VaR Models.(2012) In: CAEPR Working Papers.
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This paper has another version. Agregated cites: 16
paper
2007Weak convergence of non-stationary multivariate marked processes with applications to martingale testing In: Journal of Multivariate Analysis.
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article8
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
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
2015Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers.
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paper12
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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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
article
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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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
2011Robust Backtesting Tests for Value-at-risk Models In: Journal of Financial Econometrics.
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article24
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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article3
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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paper9
2016Identification and estimation of semiparametric two‐step models In: Quantitative Economics.
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article15

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