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Juan Carlos Escanciano
Juan Carlos Escanciano
Professor of Economics, Universidad Carlos III de Madrid
Verified email at eco.uc3m.es - Homepage
Title
Cited by
Cited by
Year
Locally robust semiparametric estimation
V Chernozhukov, JC Escanciano, H Ichimura, WK Newey, JM Robins
Econometrica, 90, 1501–1535, 2022
3052022
An automatic portmanteau test for serial correlation
JC Escanciano, IN Lobato
Journal of Econometrics 151 (2), 140-149, 2009
2592009
Generalized spectral tests for the martingale difference hypothesis
JC Escanciano, C Velasco
Journal of Econometrics 134 (1), 151-185, 2006
1932006
Backtesting expected shortfall: accounting for tail risk
Z Du, JC Escanciano
Management Science 63 (4), 940-958, 2017
1712017
Backtesting parametric value-at-risk with estimation risk
JC Escanciano, J Olmo
Journal of Business & Economic Statistics 28 (1), 36-51, 2010
168*2010
A consistent diagnostic test for regression models using projections
JC Escanciano
Econometric Theory 22 (6), 1030-1051, 2006
1672006
Goodness-of-fit tests for linear and nonlinear time series models
JC Escanciano
Journal of the American Statistical Association 101 (474), 531-541, 2006
902006
Robust backtesting tests for value-at-risk models
JC Escanciano, J Olmo
Journal of Financial Econometrics 9 (1), 132-161, 2011
812011
Testing the martingale hypothesis
JC Escanciano, IN Lobato
Palgrave Handbook of Econometrics: Volume 2: Applied Econometrics, 972-1003, 2009
802009
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
JC Escanciano, DT Jacho-Chávez, A Lewbel
Journal of Econometrics 178, 426-443, 2014
782014
Regression discontinuity designs: Theory and applications
RC Hill, TB Fomby, JC Escanciano, E Hillebrand, I Jeliazkov
Emerald Group Publishing, 2017
732017
Identification and estimation of semiparametric two step models
JC Escanciano, D Jacho-Chávez, A Lewbel
Quantitative Economics, 2010
71*2010
Quasi-maximum likelihood estimation of semi-strong GARCH models
JC Escanciano
Econometric Theory 25 (2), 561-570, 2009
692009
Specification tests of parametric dynamic conditional quantiles
JC Escanciano, C Velasco
Journal of Econometrics 159 (1), 209-221, 2010
622010
Model checks using residual marked empirical processes
JC Escanciano
Statistica Sinica 17 (1), 115, 2007
602007
Pitfalls in backtesting historical simulation VaR models
JC Escanciano, P Pei
Journal of Banking & Finance 36 (8), 2233-2244, 2012
582012
On the lack of power of omnibus specification tests
JC Escanciano
Econometric Theory 25 (1), 162-194, 2009
582009
Distribution-free tests of stochastic monotonicity
MA Delgado, JC Escanciano
Journal of Econometrics, 2012
522012
Nonparametric tests for conditional symmetry in dynamic models
MA Delgado, JC Escanciano
Journal of Econometrics 141 (2), 652-682, 2007
492007
Testing for fundamental vector moving average representations
B Chen, J Choi, JC Escanciano
Quantitative Economics 8 (1), 149-180, 2017
472017
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