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Intertemporal optimization and nonlinear error-correction models
Escribano, Álvaro; Pfann, Gerard A. - 1993
Persistent link: https://www.econbiz.de/10000874379
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A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
Mármol, Francesc; Escribano, Álvaro; Aparicio, Felipe M. - 1999
Persistent link: https://www.econbiz.de/10001362049
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Non-linear error correction, asymmetric adjustment and cointegration
Escribano, Álvaro - In: Economic modelling 15 (1998) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10001247645
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Improved Testing and Specification of Smooth Transition Regression Models
Escribano, Álvaro; Jorda, Oscar - 1998
This paper extends previous work in Escribano and Jorda (1997) and introduces new LM specification procedures to choose between Logistic and Exponential Smooth Transition Regression (STR) Models. These procedures are simpler, consistent and more powerful than those previously available in the...
Persistent link: https://www.econbiz.de/10014075643
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
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Unbiased QML estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - 2013
Persistent link: https://www.econbiz.de/10010476962
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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - 2016
Persistent link: https://www.econbiz.de/10011541411
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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
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Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
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Identification of seasonal effects in impulse responses using score-driven multivariate location models
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10012437812