Juan Carlos Escanciano

Universidad Carlos III de Madrid

CL. de Madrid 126

Madrid, Madrid 28903

Spain

http://https://sites.google.com/view/juancarlosescanciano

SCHOLARLY PAPERS

21

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5,508

SSRN CITATIONS
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Top 17,039

in Total Papers Citations

72

CROSSREF CITATIONS

11

Scholarly Papers (21)

1.

Backtesting Expected Shortfall: Accounting for Tail Risk

Number of pages: 45 Posted: 14 Jan 2015 Last Revised: 28 Aug 2015
Zaichao Du and Juan Carlos Escanciano
Fudan and Universidad Carlos III de Madrid
Downloads 1,507 (23,862)
Citation 34

Abstract:

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risk management; expected shortfall; backtesting; tail risk; Value-at-Risk

2.

Backtesting Parametric Value-at-Risk With Estimation Risk

CAEPR Working Paper No. 2007-005
Number of pages: 39 Posted: 22 Mar 2007 Last Revised: 05 Sep 2008
Juan Carlos Escanciano and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 986 (44,113)
Citation 12

Abstract:

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Backtesting; Basel Accord; Conditional Quantile; Estimation Risk; Forecast evaluation; Fixed, rolling and recursive forecasting scheme; Risk management; Value at Risk

3.

Pitfalls in Backtesting Historical Simulation VAR Models

Center for Applied Economics and Policy Research Working Paper No. 2012-003
Number of pages: 41 Posted: 21 Mar 2012
Juan Carlos Escanciano and Pei Pei
Universidad Carlos III de Madrid and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 622 (81,351)

Abstract:

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Backtesting, Basel Accord, Risk management, Value at Risk, Conditional quantile, Market Risk Capital requirements

4.

Robust Backtesting Tests for Value-at-Risk Models

Number of pages: 32 Posted: 24 Nov 2008
Juan Carlos Escanciano and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 335 (168,666)
Citation 9

Abstract:

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Backtesting, Basel Accord, Conditional Quantile, Forecast evaluation, Model Risk, Risk management, Value at Risk

5.

Persistence in Nonlinear Time Series: A Nonparametric Approach

CAEPR Working Paper No. 2009-003
Number of pages: 48 Posted: 19 Feb 2009 Last Revised: 22 Feb 2009
Juan Carlos Escanciano and Javier Hualde
Universidad Carlos III de Madrid and University of Navarra
Downloads 228 (249,376)

Abstract:

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Conditional Mean, Nonlinear time series, Non- linear Persistence, Nonlinear correlograms, Persistence in variance, Bull and bear markets.

6.

Quasi-Maximum Likelihood Estimation of Semi-Strong GARCH Models

Number of pages: 10 Posted: 24 Nov 2008
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 218 (260,066)
Citation 2

Abstract:

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GARCH models, Martingales, Semi-strong models

7.

Specification Tests of Parametric Dynamic Conditional Quantiles

CAEPR Working Paper No. 2008-021
Number of pages: 33 Posted: 19 Aug 2008
Juan Carlos Escanciano and Carlos Velasco
Universidad Carlos III de Madrid and Charles III University of Madrid - Department of Economics
Downloads 180 (309,428)
Citation 6

Abstract:

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Omnibus tests, Conditional quantiles, Nonlinear time series, Empirical processes, Quantile processes, Subsampling, Value-at-Risk, Tail Risk

8.

Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity

Number of pages: 42 Posted: 09 Jun 2015 Last Revised: 02 Jul 2015
Carolina Caetano and Juan Carlos Escanciano
University of Rochester and Universidad Carlos III de Madrid
Downloads 157 (348,222)
Citation 1

Abstract:

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Conditional Instrumental Variables; Endogeneity; Binary Instrument; Regression Discontinuity Design; Varying Coeffcients; Nonparametric

9.

Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications

CAEPR Working Paper No. 2007-009
Number of pages: 32 Posted: 20 Jun 2007
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 157 (348,222)
Citation 6

Abstract:

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10.

Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk

CAEPR WORKING PAPER 2017-017
Number of pages: 41 Posted: 19 Dec 2017
Juan Carlos Escanciano and Javier Hualde
Universidad Carlos III de Madrid and University of Navarra
Downloads 140 (381,970)
Citation 2

Abstract:

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Nonlinear dependence; Tail risk; Expected Short-fall; Persistence in variance; Market crashes

11.

Asymptotic Distribution-Free Diagnostic Tests for Heteroskedastic Time Series Models

Center for Applied Economics and Policy Research Paper No. 019-2009
Number of pages: 33 Posted: 21 Oct 2009
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 133 (397,671)
Citation 1

Abstract:

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Time series models, model speci…cation, ARMA-GARCH mod- els, S&P 500

12.

Automatic Portmanteau Tests with Applications to Market Risk Management

CAEPR Working Paper #2017-002
Number of pages: 15 Posted: 09 Mar 2017
Zaichao Du, Juan Carlos Escanciano and Guangwei Zhu
Fudan, Universidad Carlos III de Madrid and Southwestern University of Finance and Economics (SWUFE)
Downloads 114 (446,722)

Abstract:

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Autocorrelation, consistency, power, Akaike's AIC, Schwarz's BIC, Market Risk

13.

Semi-Parametric Estimation of Risk-Return Relationships

CAEPR Working Paper No. 2013-004
Number of pages: 30 Posted: 06 Sep 2013
Juan Carlos Escanciano, Juan Pardo-Fernández and Ingrid van Keilegom
Universidad Carlos III de Madrid, University of Vigo and Catholic University of Louvain (UCL) - School of Statistics
Downloads 111 (455,707)
Citation 1

Abstract:

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asset pricing, semi-parametric, risk-return

14.

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

PIER Working Paper No. 07-005
Number of pages: 47 Posted: 31 Jan 2007
Juan Carlos Escanciano and Kyungchul Song
Universidad Carlos III de Madrid and University of British Columbia (UBC) - Department of Economics
Downloads 100 (490,545)
Citation 1

Abstract:

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Average Partial Effects, Omnibus tests, Optimal tests, Semi-parametric Efficiency, Efficient Score

15.

Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve

CAEPR Working Paper No. 2017-014
Number of pages: 31 Posted: 05 Dec 2017
Jinho Choi, Juan Carlos Escanciano and Junjie Guo
ASEAN+3 Macroeconomic Research Office, Universidad Carlos III de Madrid and Indiana University Bloomington, Department of Economics
Downloads 92 (517,890)

Abstract:

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Point-identification, New Keynesian Phillips curve, Weak instruments, Nonlinear dependence, Generalized spectrum

16.

Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments

CAEPR Working Paper No. 023-2015
Number of pages: 28 Posted: 22 Dec 2015 Last Revised: 22 Mar 2016
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 89 (528,751)

Abstract:

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Identification; Instrumental variables; Weak instruments; Uniform inference; Intertemporal

17.

Semiparametric Identification and Fisher Information

Number of pages: 58 Posted: 31 Jul 2016 Last Revised: 18 Apr 2018
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 88 (532,497)

Abstract:

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Identification, Irregular Identification, Semiparametric Models, Fisher Information.

18.

A Simple Test for Identification in GMM Under Conditional Moment Restrictions

Cowles Foundation Discussion Paper No. 1790
Number of pages: 21 Posted: 02 Apr 2011
Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu
University of York - Department of Economics and Related Studies, Universidad Carlos III de Madrid and Yale University - Cowles Foundation
Downloads 79 (568,226)

Abstract:

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Conditional moment restrictions, Generalized method of moments, Global identification, Hausman test, Asset pricing

19.

Testing for Fundamental Vector Moving Average Representations

CAEPR Working Paper No. 022-2015
Number of pages: 51 Posted: 18 Dec 2015
Bin Chen, Jinho Choi and Juan Carlos Escanciano
University of Rochester - Department of Economics, ASEAN+3 Macroeconomic Research Office and Universidad Carlos III de Madrid
Downloads 67 (622,220)
Citation 2

Abstract:

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Fundamental Representations; Generalized Spectrum; Identification; Invertible Moving Average

20.

The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models

Number of pages: 25 Posted: 11 Feb 2010
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 54 (691,519)

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Identi…cation, Instrumental variables, Weak instruments, E¢cient IV, Intertemporal elasticity of substitution

21.

A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments

CAEPR Working Paper #2017-001
Number of pages: 31 Posted: 02 Mar 2017
Juan Carlos Escanciano
Universidad Carlos III de Madrid
Downloads 51 (709,631)
Citation 2

Abstract:

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Uniform Identification; Instrumental Variables; Weak Instruments; Uni-Form Inference; Intertemporal Elasticity of Substitution

Other Papers (1)

Total Downloads: 51
1.

Semiparametric Estimation of Dynamic Conditional Expected Shortfall Models

Number of pages: 17 Posted: 16 Feb 2009
Juan Carlos Escanciano and Silvia Mayoral
Universidad Carlos III de Madrid and Charles III University of Madrid
Downloads 51

Abstract:

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Conditional Value at Risk, CVaR, Tail VaR, Coherent Risk, Measures, Tail Risk, Market Risk, Conditional Distribution