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Pitfalls in backtesting historical simulation VaR Models
Escanciano, Juan Carlos; Pei, Pei - 2012
Persistent link: https://www.econbiz.de/10009562976
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Backtesting portfolio value-at-risk with estimated portfolio weights
Pei, Pei - 2010
Persistent link: https://www.econbiz.de/10008857817
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The integrated instrumental variables estimator : exploiting nonlinearities for identification of linear models
Escanciano, Juan Carlos - 2010
Persistent link: https://www.econbiz.de/10008857850
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Specification tests of parametric dynamic conditional quantiles
Escanciano, Juan Carlos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806845
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Persistence in nonlinear time series : a nonparametric approach
Escanciano, Juan Carlos (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003806879
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Testing for fundamental vector moving average representations
Chen, Bin; Choi, Jinho; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10011449925
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Uniformly consistent estimation of linear regression models with strictly exogenous instruments
Escanciano, Juan Carlos - 2016
Persistent link: https://www.econbiz.de/10011449926
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Identifying multiple marginal effects with a single binary instrument or by regression discontinuity
Caetano, Carolina; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532071
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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A simple and robust estimator for linear regression models with strictly exogenous instruments
Escanciano, Juan Carlos - 2016
Persistent link: https://www.econbiz.de/10011688345