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1

Backtesting Parametric Value-at-Risk With Estimation Risk

Escanciano, J. Carlos, Olmo, Jose

Journal:

Journal of Business and Economic Statistics

Year:

2010

Language:

english

File:

PDF, 589 KB

english, 2010

2

Backtesting Expected Shortfall: Accounting for Tail Risk

Du, Zaichao, Escanciano, Juan Carlos

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 267 KB

english, 2015

3

Pitfalls in backtesting Historical Simulation VaR models

Juan Carlos Escanciano, Pei Pei

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 417 KB

english, 2012

4

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Index

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 101 KB

english, 2017

5

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Bootstrap Confidence Intervals for Sharp Regression Discontinuity Designs

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 272 KB

english, 2017

6

An automatic Portmanteau test for serial correlation

J. Carlos Escanciano, Ignacio N. Lobato

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 1.83 MB

english, 2009

7

A Nonparametric Distribution-Free Test for Serial Independence of Errors

Du, Zaichao, Escanciano, Juan Carlos

Journal:

Econometric Reviews

Year:

2015

Language:

english

File:

PDF, 196 KB

english, 2015

8

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Testing Stability of Regression Discontinuity Models

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 299 KB

english, 2017

9

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || The Devil is in the Tails: Regression Discontinuity Design with Measurement Error in the Assignment Variable

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 1.11 MB

english, 2017

10

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Regression Discontinuity Designs with Clustered Data

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 693 KB

english, 2017

11

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || An Overview of Geographically Discontinuous Treatment Assignments with an Application to Children’s Health Insurance

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 571 KB

english, 2017

12

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Party Bias in Union Representation Elections: Testing for Manipulation in the Regression Discontinuity Design when the Running Variable is Discrete

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 1.25 MB

english, 2017

13

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Identification and Estimation Using a Density Discontinuity Approach

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 400 KB

english, 2017

14

Pitfalls in Backtesting Historical Simulation VAR Models

Escanciano, Juan Carlos, Pei, Pei

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 456 KB

english, 2012

15

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) ||

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

File:

PDF, 72 KB

2017

16

Testing the martingale difference hypothesis using integrated regression functions

J. Carlos Escanciano, Carlos Velasco

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 285 KB

english, 2006

17

Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications

Juan Carlos Escanciano, David T. Jacho-Chávez

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 660 KB

english, 2010

18

Data-driven smooth tests for the martingale difference hypothesis

Juan Carlos Escanciano, Silvia Mayoral

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 585 KB

english, 2010

19

Generalized spectral tests for the martingale difference hypothesis

J. Carlos Escanciano, Carlos Velasco

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 391 KB

english, 2006

20

Joint and marginal specification tests for conditional mean and variance models

J. Carlos Escanciano

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 255 KB

english, 2008

21

Specification tests of parametric dynamic conditional quantiles

Juan Carlos Escanciano, Carlos Velasco

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 590 KB

english, 2010

22

Conditional Stochastic Dominance Testing

Delgado, Miguel A., Escanciano, Juan Carlos

Journal:

Journal of Business and Economic Statistics

Year:

2013

Language:

english

File:

PDF, 315 KB

english, 2013

23

A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS

Escanciano, J. Carlos

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 198 KB

english, 2006

24

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

Escanciano, J. Carlos

Journal:

Journal of the American Statistical Association

Year:

2006

Language:

english

File:

PDF, 366 KB

english, 2006

25

Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models

Escanciano, Juan Carlos, Lobato, Ignacio N., Zhu, Lin

Journal:

Journal of Business and Economic Statistics

Year:

2013

Language:

english

File:

PDF, 295 KB

english, 2013

26

ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS

Escanciano, J. Carlos

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 252 KB

english, 2009

27

QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

Escanciano, Juan Carlos

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 97 KB

english, 2009

28

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Regression Kink Design: Theory and Practice

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 527 KB

english, 2017

29

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || External and Internal Validity of a Geographic Quasi-Experiment Embedded in a Cluster-Randomized Experiment

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 538 KB

english, 2017

30

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || The Deterrence Effect of Prison: Dynamic Theory and Evidence

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 964 KB

english, 2017

31

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || The Comparative Regression Discontinuity (CRD) Design: An Overview and Demonstration of its Performance Relative to Basic RD and the Randomized Experiment

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 595 KB

english, 2017

32

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || Prelims

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 219 KB

english, 2017

33

[Advances in Econometrics] Regression Discontinuity Designs Volume 38 (Theory and Applications) || On Interpreting the Regression Discontinuity Design as a Local Experiment

Cattaneo, Matias D., Escanciano, Juan Carlos

Year:

2017

Language:

english

File:

PDF, 392 KB

english, 2017

34

Asymptotic distribution-free tests for semiparametric regressions with dependent data

Escanciano, Juan Carlos, Pardo-Fernández, Juan Carlos, Van Keilegom, Ingrid

Journal:

The Annals of Statistics

Year:

2018

Language:

english

File:

PDF, 286 KB

english, 2018

35

A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments

Escanciano, Juan Carlos

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 316 KB

english, 2016

36

Persistence in Nonlinear Time Series: A Nonparametric Approach

Escanciano, Juan Carlos, Hualde, Javier

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 767 KB

english, 2009

37

Nonparametric tests for conditional symmetry in dynamic models

Miguel A. Delgado, J. Carlos Escanciano

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 354 KB

english, 2007

38

Testing single-index restrictions with a focus on average derivatives

Juan Carlos Escanciano, Kyungchul Song

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 620 KB

english, 2010

39

Weak convergence of non-stationary multivariate marked processes with applications to martingale testing

J. Carlos Escanciano

Journal:

Journal of Multivariate Analysis

Year:

2007

Language:

english

File:

PDF, 219 KB

english, 2007

40

-uniformly consistent density estimation in nonparametric regression models

Juan Carlos Escanciano, David T. Jacho-Chávez

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 523 KB

english, 2012

41

Distribution-free tests of stochastic monotonicity

Miguel A. Delgado, Juan Carlos Escanciano

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 280 KB

english, 2012

42

Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing

Escanciano, Juan Carlos, Jacho-Chávez, David T., Lewbel, Arthur

Journal:

Journal of Econometrics

Year:

2014

Language:

english

File:

PDF, 581 KB

english, 2014

43

Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

J. Carlos Escanciano

Journal:

Journal of the American Statistical Association

Year:

2006

Language:

english

File:

PDF, 1.57 MB

english, 2006

44

A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model

Escanciano, Juan Carlos, Zhu, Lin

Journal:

Econometric Reviews

Year:

2015

Language:

english

File:

PDF, 556 KB

english, 2015

45

A Consistent Diagnostic Test for Regression Models Using Projections

J. Carlos Escanciano

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 1.82 MB

english, 2006

46

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos, Pardo-Fernández, Juan Carlos, Van Keilegom, Ingrid

Journal:

Journal of Business and Economic Statistics

Year:

2015

Language:

english

File:

PDF, 420 KB

english, 2015

47

ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

Escanciano, J. Carlos

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 225 KB

english, 2010

48

Distribution-free tests of conditional moment inequalities

Delgado, Miguel A., Escanciano, Juan Carlos

Journal:

Journal of Statistical Planning and Inference

Year:

2016

Language:

english

File:

PDF, 394 KB

english, 2016

49

Semiparametric estimation of dynamic conditional expected shortfall models

Escanciano, Juan Carlos, Mayoral, Silvia

Journal:

International Journal of Monetary Economics and Finance

Year:

2008

Language:

english

File:

PDF, 186 KB

english, 2008

50

Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models

Juan Carlos Escanciano

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 899 KB

english, 2009

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