Testing for cointegration using induced-order statistics. - Alvaro Escribano; M. Teresa Santos-Martín; Ana E. Sipols (Comput. Stat., 2008)

Econometrics: Non-linear Cointegration. - Juan-Carlos Escanciano; Alvaro Escribano (Encyclopedia of Complexity and Systems Science, 2009)

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. - Genaro Sucarrat; Steffen Grønneberg; Alvaro Escribano (Comput. Stat. Data Anal., 2016)