Alvaro Escribano

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility Studies in Nonlinear Dynamics & Econometrics	2024-11-28	Paper
Anticipating extreme losses using score-driven shape filters Studies in Nonlinear Dynamics & Econometrics	2024-06-11	Paper
Multivariate Markov-switching score-driven models: an application to the global crude oil market Studies in Nonlinear Dynamics & Econometrics	2023-04-27	Paper
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market Studies in Nonlinear Dynamics & Econometrics	2023-03-30	Paper
Identification of seasonal effects in impulse responses using score-driven multivariate location models Journal of Econometric Methods	2021-04-07	Paper
Score-driven dynamic patent count panel data models Economics Letters	2018-08-29	Paper
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown Computational Statistics and Data Analysis	2018-08-15	Paper
Knowledge spillovers in US patents: a dynamic patent intensity model with secret common innovation factors Journal of Econometrics	2016-08-04	Paper
Patent propensity, R\&D and market competition: dynamic spillovers of innovation leaders and followers Journal of Econometrics	2015-12-18	Paper
Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test Test	2008-03-06	Paper
Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers Journal of Time Series Analysis	2007-05-29	Paper
Nonlinear Cointegration and Nonlinear Error Correction: Record Counting Cointegration Tests Communications in Statistics. Simulation and Computation	2007-02-15	Paper
Information-Theoretic Analysis of Serial Dependence and Cointegration Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper
Nonlinear error correction models Journal of Time Series Analysis	2005-05-20	Paper
NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000) Macroeconomic Dynamics	2004-06-18	Paper
scientific article; zbMATH DE number 1944300 (Why is no real title available?)	2003-07-01	Paper
INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION Econometric Theory	2003-05-18	Paper
COINTEGRATION AND COMMON FACTORS Journal of Time Series Analysis	1995-01-15	Paper

Research outcomes over time

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