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subject:"Volatility"
type_genre:"Article in journal"
~person:"Escanciano, Juan Carlos"
~subject:"Statistischer Test"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistischer Test
Estimation theory
36
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10
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Escanciano, Juan Carlos
Phillips, Peter C. B.
29
Sentana, Enrique
25
Dufour, Jean-Marie
19
Cai, Zongwu
18
Amengual, Dante
17
Canay, Ivan A.
17
Shi, Xiaoxia
17
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17
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16
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16
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16
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15
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15
Li, Jia
15
Fiorentini, Gabriele
14
Koopman, Siem Jan
14
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14
Maheswaran, S.
14
Tauchen, George Eugene
14
Bugni, Federico A.
13
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13
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13
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12
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12
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11
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11
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11
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11
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11
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10
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10
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10
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10
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10
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10
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10
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10
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1
Optimal linear instrumental variables approximations
Escanciano, Juan Carlos
;
Li, Wei
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 223-246
Persistent link: https://www.econbiz.de/10012618821
Saved in:
2
Pitfalls in backtesting historical simulation VaR Models
Escanciano, Juan Carlos
;
Pei, Pei
-
2012
Persistent link: https://www.econbiz.de/10009562976
Saved in:
3
Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos
;
Pardo-Fernández, Juan Carlos
; …
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
Saved in:
4
A nonparametric distribution-free test for serial independence of errors
Du, Zaichao
;
Escanciano, Juan Carlos
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 1011-1034
Persistent link: https://www.econbiz.de/10011483448
Saved in:
5
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
Escanciano, Juan Carlos
;
Jacho-Chávez, David T.
; …
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 426-443
Persistent link: https://www.econbiz.de/10010256201
Saved in:
6
Automatic specification testing for vector autoregressions and multivariate nonlinear time series models
Escanciano, Juan Carlos
;
Lobato, Ignacio N.
;
Zhu, Lin
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 426-437
Persistent link: https://www.econbiz.de/10010337859
Saved in:
7
Pitfalls in backtesting Historical Simulation VaR models
Escanciano, Juan Carlos
;
Pei, Pei
- In:
Journal of banking & finance
36
(
2012
)
8
,
pp. 2233-2244
Persistent link: https://www.econbiz.de/10009655641
Saved in:
8
Testing single-index restrictions with a focus on average derivatives
Escanciano, Juan Carlos
;
Song, Kyungchul
- In:
Journal of econometrics
156
(
2010
)
2
,
pp. 377-391
Persistent link: https://www.econbiz.de/10008648805
Saved in:
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