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Generalized spectral tests for the martingale difference hypothesis
Escanciano, J. Carlos; Velasco, Carlos - In: Journal of econometrics 134 (2006) 1, pp. 151-185
Persistent link: https://www.econbiz.de/10003368420
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On the lack of power of omnibus specification tests
Escanciano, J. Carlos - In: Econometric theory 25 (2009) 1, pp. 162-194
Persistent link: https://www.econbiz.de/10003816221
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - In: Econometric theory 26 (2010) 3, pp. 744-773
Persistent link: https://www.econbiz.de/10003992428
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Joint and marginal specification tests for conditional mean and variance models
Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10003722592
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A consistent diagnostic test for regression models using projections
Escanciano, J. Carlos - In: Econometric theory 22 (2006) 6, pp. 1030-1051
Persistent link: https://www.econbiz.de/10003396934
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Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos; Olmo, Jose - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 132-161
Persistent link: https://www.econbiz.de/10009125151
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An automatic Portmanteau test for serial correlation
Escanciano, J. Carlos; Lobato, Ignacio N. - In: Journal of econometrics 151 (2009) 2, pp. 140-149
Persistent link: https://www.econbiz.de/10003877949
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Backtesting parametric value-at-risk with estimation risk
Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003992793
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Nonparametric tests for conditional symmetry in dynamic models
Delgado, Miguel A.; Escanciano, J. Carlos - In: Journal of econometrics 141 (2007) 2, pp. 652-682
Persistent link: https://www.econbiz.de/10003571335
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Non-Gaussian log-periodogram regression
Velasco, Carlos - In: Econometric theory 16 (2000) 1, pp. 44-79
Persistent link: https://www.econbiz.de/10001568489