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)
"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.