16 Publications
2013
Conditional Stochastic Dominance Testing
Delgado, Miguel A and Escanciano, Juan C
Journal of Business & Economic Statistics, vol. 31, (no. 1), 2013. | Journal Article
2012
Distribution-free tests of stochastic monotonicity
Delgado, Miguel A and Escanciano, Juan C
Journal of Econometrics, vol. 170, (no. 1), Sep 2012. | Journal Article
2011
Robust Backtesting Tests for Value-at-risk Models
Escanciano, Juan C and Olmo, José
Journal of Financial Econometrics, vol. 9, (no. 1), Winter 2011. | Journal Article
2010
Approximating the critical values of Cramer-von Mises tests in general parametric conditional specifications
Escanciano, Juan C and Jacho Chávez, David
Computational Statistics & Data Analysis, vol. 54, (no. 3), pp. 625-636, 2010. | Journal Article
 
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
Escanciano, J
Econometric Theory, vol. 26, (no. 3), pp. 744-773, Jun 2010. | Journal Article
 
Data-driven smooth tests for the martingale difference hypothesis
Escanciano, Juan C and Mayoral, Silvia
Computational Statistics & Data Analysis, vol. 54, (no. 8), pp. 1983-1998, 2010. | Journal Article
 
Specification tests of parametric dynamic conditional quantiles
Escanciano, Juan C and Velasco, Carlos
Journal of Econometrics, vol. 159, (no. 1), Nov 2010. | Journal Article
2009
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
Escanciano, J
Econometric Theory, vol. 25, (no. 1), pp. 162-194, Feb 2009. | Journal Article
 
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
Escanciano, Juan
Econometric Theory, vol. 25, (no. 2), pp. 561-570, Apr 2009. | Journal Article
2008
Joint and marginal specification tests for conditional mean and variance models
Escanciano, Juan C
Journal of Econometrics, vol. 143, (no. 1), Mar 2008. | Journal Article
 
Semiparametric estimation of dynamic conditional expected shortfall models
Escanciano, Juan C and Mayoral, Silvia
International Journal of Monetary Economics and Finance, vol. 1, (no. 2), pp. 106-120, 2008. | Journal Article
2007
Nonparametric tests for conditional symmetry in dynamic models*
Delgado, Miguel A and Escanciano, Juan C
Journal of Econometrics, vol. 141, (no. 2), Dec 2007. | Journal Article
 
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
Escanciano, Juan C
Journal of Multivariate Analysis, vol. 98, (no. 7), Aug 2007. | Journal Article
2006
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
Escanciano, Juan C
Econometric Theory, vol. 22, (no. 6), pp. 1030, Dec 2006. | Journal Article
 
Generalized spectral tests for the martingale difference hypothesis
Escanciano, Juan C and Velasco, Carlos
Journal of Econometrics, vol. 134, (no. 1), pp. 151, Sep 2006. | Journal Article
 
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
Escanciano, Juan C
Journal of the American Statistical Association, vol. 101, (no. 474), pp. 531-541, Jun 2006. | Journal Article