My Citations
Scholar Home
  Advanced Scholar Search



Scholar      Create email alertResults 1 - 25 of 25. (0.13 sec) 

NOTES AND PROBLEMS QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS

Full text - MIT Libraries
JC Escanciano - Econometric Theory, 2009 - Cambridge Univ Press
Page 1. Econometric Theory, 25, 2009, 561–570. Printed in the United States of America.
doi:10.1017/S0266466609090689 NOTES AND PROBLEMS QUASI-MAXIMUM
LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS ...
Cited by 15 - Related articles - All 7 versions

Estimation risk effects on backtesting for parametric value-at-risk models

[PDF] from iu.edu
JC Escanciano… - CAEPR, Indiana University, 2007 - scholarworks.iu.edu
Page 1. CAEPR Working Paper #2007-005 Estimation Risk Effects on Backtesting
For Parametric Value-at-Risk Models Juan Carlos Escanciano Indiana University
Bloomington Jose Olmo City University, London March 19, 2007 ...
Cited by 11 - Related articles - All 22 versions

Specification tests of parametric dynamic conditional quantiles

[PDF] from uc3m.es
Full text - MIT Libraries
JC Escanciano… - Journal of Econometrics, 2010 - Elsevier
Cited by 7 - Related articles - All 17 versions

Testing single-index restrictions with a focus on average derivatives

[PDF] from upenn.edu
Full text - MIT Libraries
JC Escanciano… - Journal of Econometrics, 2010 - Elsevier
Cited by 7 - Related articles - All 9 versions

[PDF] Identification and estimation of semiparametric two step models

[PDF] from wustl.edu
JC Escanciano, D Jacho-Chávez… - Unpublished …, 2010 - apps.olin.wustl.edu
Page 1. Identification and Estimation of Semiparametric Two Step Models∗ Juan
Carlos Escanciano† Indiana University David Jacho-Chávez‡ Indiana University
Arthur Lewbel§ Boston College May 2010 Abstract Let g0(X) be ...
Cited by 5 - Related articles - View as HTML - All 12 versions

[PDF] Distribution-free tests of stochastic monotonicity

[PDF] from psu.edu
MA Delgado… - Preprint, 2010 - econ.psu.edu
Page 1. Distribution-free Tests of Stochastic Monotonicity1 Miguel A. Delgado2 Universidad
Carlos III de Madrid Juan Carlos Escanciano 3 Indiana University September 9th, 2010. Abstract:
This article proposes an omnibus test for monotonicity of nonpara- ...
Cited by 4 - Related articles - View as HTML - All 7 versions

Joint and marginal diagnostic tests for conditional mean and variance specifications

[TXT] from iu.edu
JC Escanciano - Caepr Working Papers, 2007 - papers.ssrn.com
Page 1. CAEPR Working Paper #2007-009 Joint and Marginal Diagnostic Tests for
Conditional Mean and Variance Specifications Juan Carlos Escanciano Indiana
University Bloomington June 12, 2007 This paper can be downloaded ...
Cited by 4 - Related articles - All 9 versions

[PDF] Persistence and long memory in nonlinear time series

[PDF] from uc3m.es
JC Escanciano… - 2005 - eco.uc3m.es
Page 1. PERSISTENCE AND LONG MEMORY IN NONLINEAR TIME SERIES Juan Carlos
Escanciano and Javier Hualde Universidad De Navarra CONFERENCE LONG MEMORY
FOR PACO M´ARMOL Universidad Carlos III de Madrid, May 5th 2006 ...
Cited by 2 - Related articles - View as HTML - All 3 versions

Root-n uniformly consistent density estimation in nonparametric regression models

JC Escanciano… - 2008 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1134796 √n–Uniformly
Consistent Density Estimation in Nonparametric Regression Models Juan Carlos
Escanciano∗ and David T. Jacho-Chávez† Indiana University Abstract ...
Cited by 2 - Related articles

Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects

[PDF] from upenn.edu
JC Escanciano… - PIER Working Paper No. 07-005, 2007 - papers.ssrn.com
Page 1. by http://ssrn.com/abstract=960530 Juan Carlos Escanciano and Kyungchul
Song “Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on
Average Partial Effects” PIER Working Paper 07-005 Penn ...
Cited by 2 - Related articles - All 15 versions

[PDF] Specification Analysis of Structural Quantile Regression Models

[PDF] from utoronto.ca
JC Escanciano… - Working Papers, 2010 - ww2.economics.utoronto.ca
Page 1. University of Toronto Department of Economics November 19, 2010 By Juan Carlos
Escanciano and Chuan Goh Specification Analysis of Structural Quantile Regression Models
Working Paper 415 Page 2. Specification Analysis of Structural Quantile Regression Models ...
Cited by 1 - Related articles - View as HTML - Get it from MIT Libraries - All 14 versions

[PDF] Simple Bootstrap Tests for Conditional Moment Restrictions

[PDF] from ecares.org
JC Escanciano - 2009 - ecares.org
Page 1. Simple Bootstrap Tests for Conditional Moment Restrictions Juan Carlos Escanciano1
Indiana University First version: March 1, 2008. This version: January 13, 2009. Abstract: This
paper proposes consistent tests for conditional moment restric& ...
Cited by 1 - Related articles - View as HTML - All 8 versions

Persistence in Nonlinear Time Series: A Nonparametric Approach

[PDF] from umontreal.ca
JC Escanciano… - Caepr Working Papers, 2009 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1346052 CAEPR Working
Paper #003-2009 PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC
APPROACH Juan Carlos Escanciano, Javier Hualde ...
Cited by 1 - Related articles - All 7 versions

Semiparametric estimation of dynamic conditional expected shortfall models

JC Escanciano… - International Journal of Monetary …, 2008 - Inderscience
Page 1. 106 Int. J. Monetary Economics and Finance, Vol. 1, No. 2, 2008
Semiparametric estimation of dynamic conditional expected shortfall models Juan
Carlos Escanciano Department of Economics, Indiana University, 100 ...
Cited by 1 - Related articles - All 11 versions

A Simple Test for Identification in GMM under Conditional Moment Restrictions1

[PDF] from yale.edu
F Bravo, JC Escanciano… - Cowles Foundation Discussion …, 2011 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1797689 Cowles
Foundation for Research in Economics at Yale University Cowles Foundation
Discussion Paper No. 1790 A SIMPLE TEST FOR IDENTIFICATION ...
Cited by 1 - Related articles - All 10 versions

[PDF] Uniform convergence for semiparametric two step estimators and tests

[PDF] from bc.edu
J Escanciano, D Jacho-Chavez… - Unpublished manuscript, 2011 - bc.edu
Abstract We introduce a uniform expansion for sample means of weighted semiparametric
regression resid% uals of models with possibly generated regressors. This result can be
used to established the as% ymptotic normality of two step semiparametric least squares ...
Cited by 1 - Related articles - View as HTML - All 7 versions

Conditional stochastic dominance testing

[PDF] from uc3m.es
MA Delgado… - 2011 - orff.uc3m.es
Page 1. Working Paper 11-38 Departamento de Economía Economic Series Universidad Carlos
III de Madrid December, 2011 Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 916249875
CONDITIONAL STOCHASTIC DOMINANCE TESTING Miguel A. Delgado ...
Related articles - All 8 versions

Pitfalls in Backtesting Historical Simulation VaR Models

[PDF] from iub.edu
JC Escanciano… - 2012 - papers.ssrn.com
Page 1. CAEPR Working Paper #2012-003 Pitfalls in Backtesting Historical Simulation VaR
Models Juan Carlos Escanciano Indiana University Pei Pei Indiana University and Chinese
Academy of Finance and Development, Central University of Finance and Economics ...

Endogenous Network Dynamics

[TXT] from iu.edu
MH Wooders, FH Page Jr, MS Rahman… - Caepr Working …, 2009 - scholarworks.iu.edu
CAEPR Working Paper #005-2009 Club Networks with Multiple Club Memberships and
Noncooperative Stability Frank H. Page, Jr., Myrna H. Wooders Indiana University and Vanderbilt
University February 24, 2009 This paper can be downloaded without charge from the ...
Related articles - All 7 versions

[PDF] A Consistent Test for Identification in GMM under Conditional Moment Restrictions1

[PDF] from queensu.ca
F Bravo, JC Escanciano… - qed.econ.queensu.ca
Page 1. A Consistent Test for Identification in GMM under Conditional Moment
Restrictions1 Francesco Bravo2 Juan Carlos Escanciano3 Taisuke Otsu4 This version:
July 27, 2009. Preliminary and Incomplete. Comments are welcome ...
Related articles - View as HTML

[PDF] A Nonparametric Test for Serial Independence of Errors

[PDF] from iu.edu
Z Du… - 2008 - mypage.iu.edu
Page 1. A Nonparametric Test for Serial Independence of Errors Zaichao Du! and Juan Carlos
Escanciano& Indiana University August 21, 2008 Abstract In this paper, we propose a test for
the serial independence of unobservable errors in location& scale models. ...
Related articles - View as HTML

Testing conditional monotonicity in the absence of smoothness

[PDF] from uc3m.es
MA Delgado… - 2010 - e-archivo.uc3m.es
Page 1. Working Paper Departamento de Economía Economic Series 10-17 Universidad
Carlos III de Madrid March 2010 Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 916249875
Testing Conditional Monotonicity in the Absence of Smoothness 1 ...
Related articles - All 7 versions

The Econometric Theory Awards

M Scripsit, JC Escanciano, P Scripsit, HJ Bierens… - 2005 - Cambridge Univ Press
Page 1. Econometric Theory, 27, 2011, 199. doi:10.1017/S0266466610000678 The
Econometric Theory Awards 2011 I am delighted to announce the following
Econometric Theory Awards for 2011. Multa Scripsit (2011): Juan ...
All 2 versions

[CITATION] Specification Analysis of Linear and Structural Quantile Regression Models

JC Escanciano… - 2009
Related articles

< span>< img height=

JC Escanciano… - Journal of Econometrics, 2011 - Elsevier
–uniformly consistent density estimation in nonparametric regression models">. ...
Get it from MIT Libraries

 Create email alert



 

About Google Scholar - All About Google - My Citations

©2012 Google