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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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Testing conditional monotonicity in the absence of smoothness
Delgado, Miguel A.; Escanciano, Juan Carlos - 2010
Persistent link: https://www.econbiz.de/10009525650
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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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Semiparametric estimation of dynamic conditional expected shortfall models
Escanciano, Juan Carlos; Mayoral, Silvia - In: International journal of monetary economics and finance 1 (2008) 2, pp. 106-120
Persistent link: https://www.econbiz.de/10003822450
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A simple data-driven estimator for the semiparametric sample selection model
Escanciano, Juan Carlos; Zhu, Lin - In: Econometric reviews 34 (2015) 6/10, pp. 734-762
Persistent link: https://www.econbiz.de/10011483385
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A nonparametric distribution-free test for serial independence of errors
Du, Zaichao; Escanciano, Juan Carlos - In: Econometric reviews 34 (2015) 6/10, pp. 1011-1034
Persistent link: https://www.econbiz.de/10011483448
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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