Juan Carlos Escanciano's CAEPR Working Papers

●    Escanciano, Juan Carlos and Jose Olmo.

            "Estimation Risk Effects on Backtesting for Parametric Value-at-Risk Models." CAEPR Working Paper No. 2007-005.

                (Accepted for Publication by the Journal of Business and Economics Statistics.)

                (Updated Version - September 4, 2008 - Backtesting Parametric Value-at-Risk with Estimation Risk)

 

●    Escanciano, Juan Carlos.

            "Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications." CAEPR Working Paper No. 2007-009.

                (Accepted for Publication by the Journal of Econometrics.)

 

●    Escanciano, Juan Carlos and Carlos Velasco.

            "Specification Tests of Parametric Dynamic Conditional Quantiles." CAEPR Working Paper No. 2008-021.

 

●    Escanciano, Juan Carlos.

           "Asymptotic Distribution-Free Diagnostic Tests for Heteroskedastic Time Series Models." CAEPR Working Paper No. 2009-019.

 

●    Escanciano, Juan Carlos and Javier Hualde.

            "Persistence in Nonlinear Time Series: A Nonparametric Approach." CAEPR working Paper No. 2009-003.

 

●    Escanciano, Juan Carlos.

            "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models." CAEPR Working Paper No. 2010-001. 

 

●    Escanciano, Juan Carlos and Pei Pei.

          "Pitfalls in Backtesting Historical Simulation VaR Models." CAEPR Working Paper No. 2012-003.

 

●    Escanciano, Juan Carlos and Juan Carlos Pardo-Fernández and Ingrid Van Keilegom.

       "SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS." CAEPR Working Paper No. 2013-004.