Alvaro Escribano
Personal Details
First Name: | Alvaro |
Middle Name: | |
Last Name: | Escribano |
Suffix: | |
RePEc Short-ID: | pes1 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/view/uc3m-dpto-economia | |
Department of Economics University Carlos III of Madrid Madrid 126 28903 Madrid Spain | |
34-91-6249854 | |
Terminal Degree: | 1986 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy) |
Affiliation
Departamento de Economía
Universidad Carlos III de Madrid
Madrid, Spainhttp://www.eco.uc3m.es/
RePEc:edi:deuc3es (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Barrio Castro, Tomás del & Escribano, Álvaro & Sibbertsen, Philipp, 2024.
"Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data,"
UC3M Working papers. Economics
43987, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- del Barrio Castro, Tomas & Escribano, Alvaro & Sibbertsen, Philipp, 2024. "Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data," Hannover Economic Papers (HEP) dp-722, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Blazsek, Szabolcs Istvan & Kristof, Erzsebet, 2024.
"Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models,"
UC3M Working papers. Economics
39546, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro & Kristof, Erzsebet, 2024. "Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models," Energy Economics, Elsevier, vol. 134(C).
- Enrique Estefania-Salazar & Michael Carter & Eva Iglesias & Álvaro Escribano, 2024. "Breaking Boundaries: Lower Tail Dependence Can Triple the Economic Value of Index Insurance for Rural Households," NBER Working Papers 32618, National Bureau of Economic Research, Inc.
- Rodriguez, Juan Andrés, 2023. "Monetary trends in the UK and the USA from 1874 to 2020: a nonlinear approach to money demand," UC3M Working papers. Economics 37911, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs, 2022.
"Score-driven threshold ice-age models: benchmark models for long-run climate forecasts,"
UC3M Working papers. Economics
34757, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2023. "Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts," Energy Economics, Elsevier, vol. 118(C).
- Cobos, Carlos, 2022. "High-Speed Rail: a panel data impact evaluation by Municipalities on depopulation and unemployment," UC3M Working papers. Economics 35284, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs, 2021.
"Robust estimation and forecasting of climate change using score-driven ice-age models,"
UC3M Working papers. Economics
33453, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Szabolcs Blazsek & Alvaro Escribano, 2022. "Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models," Econometrics, MDPI, vol. 10(1), pages 1-29, February.
- Ortega, Álvaro, 2021. "A structural analysis of the merit-order effect in the Spanish day-ahead power market," UC3M Working papers. Economics 33298, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2020. "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics 31339, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2020. "Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution," UC3M Working papers. Economics 30346, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Torrado, María, 2020.
"European gasoline markets: price transmission asymmetries in mean and variance,"
UC3M Working papers. Economics
29633, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- María Torrado & Álvaro Escribano, 2020. "European gasoline markets: price transmission asymmetries in mean and variance," Applied Economics, Taylor & Francis Journals, vol. 52(42), pages 4621-4638, September.
- Wang, Dandan, 2020. "Forecasting gasoline prices with mixed random forest error correction models," UC3M Working papers. Economics 30557, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2020. "Dynamic stochastic general equilibrium inference using a score-driven approach," UC3M Working papers. Economics 30347, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Guasch, J. Luis & Pena, Jorge, 2019. "Investment Climate Effects on Alternative Firm-Level Productivity Measures," UC3M Working papers. Economics 28639, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2019. "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics 29030, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Aza, Claudia, 2019. "Transporte, infraestructura y crecimiento económico en España," UC3M Working papers. Economics 29294, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Aza, Claudia, 2019. "Efectos de la digitalización y la productividad en la economía española : una comparación internacional," UC3M Working papers. Economics 28182, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2019. "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics 28451, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada," UC3M Working papers. Economics 27484, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonal quasi-vector autoregressive models for macroeconomic data," UC3M Working papers. Economics 26316, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics 27483, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ayala, Astrid & Blazsek, Szabolcs, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Torrado, María, 2017.
"Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market,"
UC3M Working papers. Economics
24984, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano Alvaro & Torrado María, 2018. "Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-19, December.
- Blazsek, Szabolcs & Licht, Adrian, 2017. "Score-driven non-linear multivariate dynamic location models," UC3M Working papers. Economics 25739, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs, 2016.
"Score-driven dynamic patent count panel data models,"
UC3M Working papers. Economics
23458, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2016. "Score-driven dynamic patent count panel data models," Economics Letters, Elsevier, vol. 149(C), pages 116-119.
- Sucarrat, Genaro, 2016.
"Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility,"
UC3M Working papers. Economics
23436, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
- Escribano, Alvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper 72736, University Library of Munich, Germany.
- Blazsek, Szabolcs, 2015. "Dynamic conditional score patent count panel data models," UC3M Working papers. Economics we1510, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs, 2014. "Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers," UC3M Working papers. Economics we1412, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013.
"Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown,"
MPRA Paper
49344, University Library of Munich, Germany.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
- Sucarrat, Genaro, 2013.
"Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns,"
UC3M Working papers. Economics
we1321, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Sucarrat, Genaro & Escribano, Alvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper 50699, University Library of Munich, Germany.
- Blazsek, Szabolcs, 2012. "Patents, secret innovations and firm's rate of return : differential effects of the innovation leader," UC3M Working papers. Economics we1202, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Guasch, J. Luis, 2012. "Robust investment climate effects on alternative firm-level productivity measures," UC3M Working papers. Economics we1201, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Giarratana, Marco S., 2011. "EU Patent System: to be or not to be?," UC3M Working papers. Economics we1101, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Ferreira, José Luis & Escribano, Álvaro, 2010. "An evaluation of public aids towards renewable energy sources in Spain," UC3M Working papers. Economics we1037, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Sucarrat, Genaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Guasch, J. Luis & Pena, Jorge, 2009.
"Assessing the impact of infrastructure quality on firm productivity in Africa: Cross‐country comparisons based on investment climate surveys from 1999 to 2005,"
UC3M Working papers. Economics
we098649, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Guasch, J. Luis & Pena, Jorge, 2010. "Assessing the impact of infrastructure quality on firm productivity in Africa : cross-country comparisons based on investment climate surveys from 1999 to 2005," Policy Research Working Paper Series 5191, The World Bank.
- Blazsek, Szabolcs, 2009.
"Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors,"
UC3M Working papers. Economics
we098951, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2010. "Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors," Journal of Econometrics, Elsevier, vol. 159(1), pages 14-32, November.
- Szabolcs Blazsek & Alvaro Escribano, 2010. "Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors," Post-Print hal-00732533, HAL.
- Sucarrat, Genaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pena, Jorge, 2009.
"Empirical econometric evaluation of alternative methods of dealing with missing values in Investment Climate surveys,"
UC3M Working papers. Economics
we098750, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Pena, Jorge & Guasch, J. Luis, 2010. "Empirical econometric evaluation of alternative methods of dealing with missing values in investment climate surveys," Policy Research Working Paper Series 5346, The World Bank.
- Guasch, J. Luis, 2008. "Robust methodology for investment climate assessment on productivity: application to investment climate surveys from Central America," UC3M Working papers. Economics we081911, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Stucchi, Rodolfo, 2008.
"Catching up in total factor productivity through the business cycle : evidence from Spanish manufacturing surveys,"
UC3M Working papers. Economics
we085125, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Álvaro Escribano & Rodolfo Stucchi, 2011. "Catching up in total factor productivity through the business cycle: Evidence from Spanish manufacturing firms," Working Papers 2011-10, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Guasch, J. Luis & Orte, Manuel De & Pena, Jorge, 2008. "Investment climate and firm’s economic performance: econometric methodology and application to Turkey's investment climate survey," UC3M Working papers. Economics we082113, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Guasch, J. Luis & Orte, Manuel De & Pena, Jorge, 2008. "Investment climate assessment based on demean Olley and Pakes decompositions: methodology and application to Turkey's investment climate survey," UC3M Working papers. Economics we082012, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Guasch, J. Luis, 2005. "Assessing the impact of the investment climate on productivity using firm-level data : methodology and the cases of Guatemala, Honduras, and Nicaragua," Policy Research Working Paper Series 3621, The World Bank.
- Aparicio, Felipe M. & García, Ana, 2003.
"Range unit root tests,"
DES - Working Papers. Statistics and Econometrics. WS
ws031126, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio, Felipe M. & García, Ana, 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Oscar Jorda & Alvaro Escribano, 2003.
"Improved Testing And Specification Of Smooth Transition Regression Models,"
Working Papers
210, University of California, Davis, Department of Economics.
- Jordá, Óscar, 1997. "Improved testing and specification of smooth transition regression models," DES - Working Papers. Statistics and Econometrics. WS 6218, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alvaro Escribano & Oscar Jorda, "undated". "Improved Testing And Specification Of Smooth Transition Regression Models," Department of Economics 97-26, California Davis - Department of Economics.
- Aparicio, Felipe M., 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Arranz, Miguel A. & Mármol, Francesc, 2002. "Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers," UC3M Working papers. Economics we20091101, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Villaplana Conde, Pablo, 2002.
"Modeling electricity prices: international evidence,"
UC3M Working papers. Economics
we022708, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
- Alvaro Escribano & Santiago Mira, 2001.
"Nonlinear error correction models,"
Documentos de trabajo conjunto ULL-ULPGC
2001-03, Facultad de Ciencias Económicas de la ULPGC.
- Alvaro Escribano & Santiago Mira, 2002. "Nonlinear error correction models," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 509-522, September.
- Mira, Santiago, 1997. "Nonlinear error correction models," DES - Working Papers. Statistics and Econometrics. WS 6206, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Roberto, 2000. "Dynamic asymmetries in bid-ask responses to innovations in the trading process," UC3M Working papers. Economics 7271, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Aparicio, Felipe M. & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Roberto, 2000. "BLM: bidimensional approach to measure liquidity," DEE - Working Papers. Business Economics. WB 9958, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Arranz, Miguel A., 2000.
"Outliers robust ECM cointegration test based on the trend components,"
DES - Working Papers. Statistics and Econometrics. WS
10142, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
- Aparicio, Felipe M. & Arranz, Miguel A., 2000. "A model free cointegration approach for pairs of I(d) variables," DES - Working Papers. Statistics and Econometrics. WS 9967, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pascual, Roberto, 1999. "How does liquidity behave? A multidimensional analysis of NYSE stocks," DEE - Working Papers. Business Economics. WB 6433, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Mármol, Francesc & Aparicio, Felipe M., 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6298, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio, Felipe M., 1998. "Cointegration testing using the ranges," DES - Working Papers. Statistics and Econometrics. WS 10941, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C., 1998. "Nonlinearities and outliers: robust specification of STAR models," Econometric Institute Research Papers EI 9832, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Arranz, Miguel A., 1998.
"Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test,"
DES - Working Papers. Statistics and Econometrics. WS
4552, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Miguel Arranz & Alvaro Escribano, 2006. "Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 179-208, June.
- Arranz, Miguel A., 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio, Felipe M., 1998. "A characterization of cointegrating relationships using induced-order statistics," DES - Working Papers. Statistics and Econometrics. WS 10942, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio, Felipe M., 1997.
"Information-theoretic analysis of seral dependence and cointegration,"
DES - Working Papers. Statistics and Econometrics. WS
6208, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio F. M. & Escribano A., 1998. "Information-Theoretic Analysis of Serial Dependence and Cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-24, October.
- Aparicio, Felipe M., 1997. "Searching for linear and nonlinear cointegration: a new approach," DES - Working Papers. Statistics and Econometrics. WS 6219, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mira, Santiago, 1997. "Nonlinear cointegration with mixing errors," DES - Working Papers. Statistics and Econometrics. WS 6204, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jordá, Óscar, 1997.
"Testing nonlinearity: decision rules for selecting between logistic and exponential star models,"
DES - Working Papers. Statistics and Econometrics. WS
6216, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Álvaro Escribano & Oscar Jordá, 2001. "Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models," Spanish Economic Review, Springer;Spanish Economic Association, vol. 3(3), pages 193-209.
- Mira, Santiago, 1996. "Nonlinear cointegration and nonlinear error correction," DES - Working Papers. Statistics and Econometrics. WS 4546, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Granger, C.W.J. (Clive William John), 1995. "Investigating the relationship between gold and silver prices," DES - Working Papers. Statistics and Econometrics. WS 4517, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Mira, Santiago, 1995. "Nonlinear time series models: consistency and asymptotic normality of nls under new conditions," DES - Working Papers. Statistics and Econometrics. WS 6202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Burgess, Simon M. & Pfann, Gerard A., 1993. "Asymmetric and time-varying error-correction: an application to labour demand in the UK," DES - Working Papers. Statistics and Econometrics. WS 3681, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pfann, Gerard, 1991. "Nonlinear error correction, asymmetric adjusment and cointegration," UC3M Working papers. Economics 2807, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, A., 1987. "Error-correction systems: nonlinear adjustments to linear long-run relationships," LIDAM Discussion Papers CORE 1987030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Escribano, A. & , ., 1987.
"Co-integration, time co-trends and error-correction systems: an alternative approach,"
LIDAM Discussion Papers CORE
1987015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Articles
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrián, 2024. "Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application," Macroeconomic Dynamics, Cambridge University Press, vol. 28(1), pages 32-50, January.
- Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2024. "Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 61-82, February.
- Blazsek, Szabolcs & Escribano, Alvaro & Kristof, Erzsebet, 2024.
"Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models,"
Energy Economics, Elsevier, vol. 134(C).
- Blazsek, Szabolcs Istvan & Kristof, Erzsebet, 2024. "Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models," UC3M Working papers. Economics 39546, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro & Licht, Adrian, 2023. "Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate," Macroeconomic Dynamics, Cambridge University Press, vol. 27(1), pages 203-223, January.
- Blazsek, Szabolcs & Escribano, Alvaro, 2023.
"Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts,"
Energy Economics, Elsevier, vol. 118(C).
- Blazsek, Szabolcs, 2022. "Score-driven threshold ice-age models: benchmark models for long-run climate forecasts," UC3M Working papers. Economics 34757, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
- Fernando Martínez-Santos & Zoraida Frias & Álvaro Escribano, 2022. "What drives spectrum prices in multi-band spectrum markets? An empirical analysis of 4G and 5G auctions in Europe," Applied Economics, Taylor & Francis Journals, vol. 54(5), pages 536-553, January.
- Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2022. "Multivariate Markov-switching score-driven models: an application to the global crude oil market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(3), pages 313-335, June.
- Szabolcs Blazsek & Alvaro Escribano, 2022.
"Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models,"
Econometrics, MDPI, vol. 10(1), pages 1-29, February.
- Blazsek, Szabolcs, 2021. "Robust estimation and forecasting of climate change using score-driven ice-age models," UC3M Working papers. Economics 33453, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2021. "Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 53-66, January.
- Escribano, Álvaro & Wang, Dandan, 2021. "Mixed random forest, cointegration, and forecasting gasoline prices," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1442-1462.
- María Torrado & Álvaro Escribano, 2020.
"European gasoline markets: price transmission asymmetries in mean and variance,"
Applied Economics, Taylor & Francis Journals, vol. 52(42), pages 4621-4638, September.
- Torrado, María, 2020. "European gasoline markets: price transmission asymmetries in mean and variance," UC3M Working papers. Economics 29633, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Álvaro Escribano & M. Teresa Santos-Martín & Ana E. Sipols, 2018. "A new Cramer-Von Misses cointegration test with application to environmental Kuznets curve," Applied Economics, Taylor & Francis Journals, vol. 50(36), pages 3966-3978, August.
- Escribano Alvaro & Torrado María, 2018.
"Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-19, December.
- Torrado, María, 2017. "Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market," UC3M Working papers. Economics 24984, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Genaro Sucarrat & Alvaro Escribano, 2018. "Estimation of log-GARCH models in the presence of zero returns," The European Journal of Finance, Taylor & Francis Journals, vol. 24(10), pages 809-827, July.
- Escribano, Alvaro & Sucarrat, Genaro, 2018.
"Equation-by-equation estimation of multivariate periodic electricity price volatility,"
Energy Economics, Elsevier, vol. 74(C), pages 287-298.
- Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Escribano, Alvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," MPRA Paper 72736, University Library of Munich, Germany.
- García-Romero, Antonio & Escribano, Álvaro & Tribó, Josep A., 2017. "The impact of health research on length of stay in Spanish public hospitals," Research Policy, Elsevier, vol. 46(3), pages 591-604.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016.
"Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
- Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013. "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper 49344, University Library of Munich, Germany.
- Blazsek, Szabolcs & Escribano, Alvaro, 2016.
"Score-driven dynamic patent count panel data models,"
Economics Letters, Elsevier, vol. 149(C), pages 116-119.
- Blazsek, Szabolcs, 2016. "Score-driven dynamic patent count panel data models," UC3M Working papers. Economics 23458, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2016. "Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers," Journal of Econometrics, Elsevier, vol. 191(1), pages 145-163.
- Álvaro Escribano & Rodolfo Stucchi, 2014. "Does recession drive convergence in firms’ productivity? Evidence from Spanish manufacturing firms," Journal of Productivity Analysis, Springer, vol. 41(3), pages 339-349, June.
- Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
- Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011.
"Modelling Electricity Prices: International Evidence,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
- Villaplana Conde, Pablo, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2010.
"Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 14-32, November.
- Blazsek, Szabolcs, 2009. "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," UC3M Working papers. Economics we098951, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Szabolcs Blazsek & Alvaro Escribano, 2010. "Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors," Post-Print hal-00732533, HAL.
- Alvaro Escribano & J. Luis Guasch & Manuel De Orte & Jorge Pena, 2009. "Investment Climate Assessment In Indonesia, Malaysia, The Philippines And Thailand: Results From Pooling Firm-Level Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(03), pages 335-366.
- Escribano, Alvaro & Fosfuri, Andrea & Tribó, Josep A., 2009. "Managing external knowledge flows: The moderating role of absorptive capacity," Research Policy, Elsevier, vol. 38(1), pages 96-105, February.
- Alvaro Escribano & M. Santos & Ana Sipols, 2008. "Testing for cointegration using induced-order statistics," Computational Statistics, Springer, vol. 23(1), pages 131-151, January.
- Luc Bauwens & Alvaro Escribano & Michel Lubrano, 2007. "The Econometrics of Industrial Organization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1153-1156.
- Miguel Arranz & Alvaro Escribano, 2006.
"Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 179-208, June.
- Arranz, Miguel A., 1998. "Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test," DES - Working Papers. Statistics and Econometrics. WS 4552, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Felipe Aparicio & Alvaro Escribano & Ana E. Sipols, 2006. "Range Unit‐Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 545-576, July.
- Alvaro Escribano & Roberto Pascual, 2006.
"Asymmetries in bid and ask responses to innovations in the trading process,"
Empirical Economics, Springer, vol. 30(4), pages 913-946, January.
- Alvaro Escribano & Roberto Pascual, 2008. "Asymmetries in bid and ask responses to innovations in the trading process," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82, Springer.
- Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel, 2004. "Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 107-128, January.
- Escribano, Alvaro, 2004. "Nonlinear Error Correction: The Case Of Money Demand In The United Kingdom (1878–2000)," Macroeconomic Dynamics, Cambridge University Press, vol. 8(1), pages 76-116, February.
- Miguel Arranz & Alvaro Escribano, 2004.
"Outliers - robust ECM cointegration tests based on the trend components,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
- Arranz, Miguel A., 2000. "Outliers robust ECM cointegration test based on the trend components," DES - Working Papers. Statistics and Econometrics. WS 10142, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
- Marmol, Francesc & Escribano, Alvaro & Aparicio, Felipe M., 2002. "Instrumental Variable Interpretation Of Cointegration With Inference Results For Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 18(3), pages 646-672, June.
- Alvaro Escribano & Santiago Mira, 2002.
"Nonlinear error correction models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(5), pages 509-522, September.
- Mira, Santiago, 1997. "Nonlinear error correction models," DES - Working Papers. Statistics and Econometrics. WS 6206, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alvaro Escribano & Santiago Mira, 2001. "Nonlinear error correction models," Documentos de trabajo conjunto ULL-ULPGC 2001-03, Facultad de Ciencias Económicas de la ULPGC.
- Álvaro Escribano & Oscar Jordá, 2001.
"Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 3(3), pages 193-209.
- Jordá, Óscar, 1997. "Testing nonlinearity: decision rules for selecting between logistic and exponential star models," DES - Working Papers. Statistics and Econometrics. WS 6216, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Miguel A. Arranz & Alvaro Escribano, 2000. "Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 23-52, February.
- Álvaro Escribano, 1999. "Predicción y análisis de funciones de exportación e importación en España," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 55-94, January.
- Aparicio F. M. & Escribano A., 1998.
"Information-Theoretic Analysis of Serial Dependence and Cointegration,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-24, October.
- Aparicio, Felipe M., 1997. "Information-theoretic analysis of seral dependence and cointegration," DES - Working Papers. Statistics and Econometrics. WS 6208, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fraile, Pedro & Escribano, Alvaro, 1998. "The Spanish 1898 Disaster: The Drift towards Natonal-Protectionism," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 16(1), pages 265-290, March.
- Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
- Burgess, Simon & Escribano, Alvaro & Pfann, Gerard, 1996. "Editor's introduction: Asymmetries and nonlinearities in dynamic economic models," Journal of Econometrics, Elsevier, vol. 74(1), pages 1-2, September.
- Escribano, Alvaro, 1995. "PcGive Professional 8: A Review," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 79-86, Jan.-Marc.
- Alvaro Escribano & Daniel Peña, 1994. "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 577-586, November.
Chapters
- Alvaro Escribano & Roberto Pascual, 2008.
"Asymmetries in bid and ask responses to innovations in the trading process,"
Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 49-82,
Springer.
- Alvaro Escribano & Roberto Pascual, 2006. "Asymmetries in bid and ask responses to innovations in the trading process," Empirical Economics, Springer, vol. 30(4), pages 913-946, January.
Books
- Escribano,Alvaro & Pena,Jorge, 2021. "Productivity in Emerging Countries," Cambridge Books, Cambridge University Press, number 9781108829441, October.
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 54 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (25) 2002-03-04 2003-03-19 2004-02-23 2004-02-23 2010-06-18 2010-07-03 2011-07-13 2013-08-31 2013-10-25 2015-12-08 2016-08-07 2016-08-14 2017-08-06 2017-11-12 2018-03-05 2018-10-15 2018-10-15 2019-03-11 2019-06-10 2019-07-29 2019-10-28 2020-05-18 2020-05-18 2020-06-15 2020-11-16. Author is listed
- NEP-ETS: Econometric Time Series (19) 2002-04-08 2003-03-19 2004-02-23 2004-02-23 2010-06-18 2011-07-13 2013-08-31 2013-10-25 2018-03-05 2018-10-15 2018-10-15 2019-03-11 2019-06-10 2019-07-29 2019-10-28 2020-05-18 2020-05-18 2020-11-16 2024-07-15. Author is listed
- NEP-ENE: Energy Economics (14) 2003-03-10 2010-02-05 2010-12-23 2016-08-07 2016-08-07 2017-07-23 2018-10-15 2019-10-28 2020-02-10 2020-05-18 2020-06-15 2021-09-27 2021-10-25 2022-05-23. Author is listed
- NEP-ENV: Environmental Economics (11) 2008-11-11 2008-11-11 2008-11-11 2010-12-23 2012-02-20 2019-07-29 2021-10-25 2022-05-23 2024-02-12 2024-07-15 2024-07-15. Author is listed
- NEP-EFF: Efficiency and Productivity (10) 2005-12-14 2008-11-11 2008-11-11 2008-11-11 2008-12-07 2010-01-16 2010-02-05 2011-07-13 2012-02-20 2019-07-29. Author is listed
- NEP-ORE: Operations Research (7) 2010-06-18 2019-07-29 2019-10-28 2019-12-09 2020-05-18 2020-06-15 2021-09-27. Author is listed
- NEP-INO: Innovation (6) 2010-01-16 2011-03-26 2012-02-20 2014-07-05 2015-12-08 2016-08-14. Author is listed
- NEP-IPR: Intellectual Property Rights (6) 2010-01-16 2011-03-26 2012-02-20 2014-07-05 2015-12-08 2016-08-14. Author is listed
- NEP-CSE: Economics of Strategic Management (5) 2010-01-16 2012-02-20 2014-07-05 2016-08-07 2016-08-07. Author is listed
- NEP-COM: Industrial Competition (4) 2003-03-03 2014-07-05 2017-07-23 2020-02-10
- NEP-FOR: Forecasting (4) 2020-06-15 2021-10-25 2022-05-23 2024-07-15
- NEP-REG: Regulation (3) 2017-07-23 2020-02-10 2021-09-27
- NEP-RMG: Risk Management (3) 2019-03-11 2019-07-29 2020-11-16
- NEP-SBM: Small Business Management (3) 2010-01-16 2011-07-13 2012-02-20
- NEP-AFR: Africa (2) 2010-01-16 2010-02-05
- NEP-BEC: Business Economics (2) 2011-07-13 2016-08-14
- NEP-BIG: Big Data (2) 2020-06-15 2024-08-12
- NEP-CMP: Computational Economics (2) 2011-07-13 2020-06-15
- NEP-CWA: Central and Western Asia (2) 2008-11-11 2008-11-11
- NEP-EUR: Microeconomic European Issues (2) 2011-03-26 2020-02-10
- NEP-HIS: Business, Economic and Financial History (2) 2021-10-25 2023-08-21
- NEP-MAC: Macroeconomics (2) 2018-03-05 2018-10-15
- NEP-TID: Technology and Industrial Dynamics (2) 2010-01-16 2014-07-05
- NEP-DEM: Demographic Economics (1) 2022-07-18
- NEP-DGE: Dynamic General Equilibrium (1) 2020-05-18
- NEP-GEO: Economic Geography (1) 2022-07-18
- NEP-IND: Industrial Organization (1) 2011-03-26
- NEP-ISF: Islamic Finance (1) 2021-09-27
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2010-01-16
- NEP-MON: Monetary Economics (1) 2023-08-21
- NEP-TRE: Transport Economics (1) 2022-07-18
- NEP-UPT: Utility Models and Prospect Theory (1) 2024-08-12
- NEP-URE: Urban and Real Estate Economics (1) 2022-07-18
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