Testing the martingale difference hypothesis using integrated regression functions. - Juan-Carlos Escanciano; Carlos Velasco (Comput. Stat. Data Anal., 2006)

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

Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications. - Juan-Carlos Escanciano; David T. Jacho-Chávez (Comput. Stat. Data Anal., 2010)

Data-driven smooth tests for the martingale difference hypothesis. - Juan-Carlos Escanciano; Silvia Mayoral (Comput. Stat. Data Anal., 2010)

Backtesting Expected Shortfall: Accounting for Tail Risk. - Zaichao Du; Juan-Carlos Escanciano (Manag. Sci., 2017)