Prof. Álvaro Escribano
Department of Economics, Universidad Carlos III de Madrid(UC3M), 28903 Getafe, Madrid, Spain
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Academic Career Length
33Years (1994-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications19 April 2011 in Oxford Bulletin of Economics and Statistics
Journal Article
Álvaro EscribanoJPJuan Ignacio Peña
Juan Ignacio PeñaPVPablo Villaplana
Pablo Villaplana
This article analyses the evolution of electricity prices in deregulated markets. We present a general class of models that simultaneously takes into account several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The models are applied to daily equilibrium spot prices of eight electricity markets. Eight different nested models were estimated to compare the relative importance of each factor in each of the eight markets. We find strong evidence that electricity equilibrium prices are mean-reverting, with volatility clustering (GARCH) and with jumps of time-dependent intensity, even after adjusting for seasonality.
1 June 2002 in SSRN Electronic Journal
Preprint
Álvaro EscribanoJPJuan Ignacio Peña
Juan Ignacio PeñaPVPablo Villaplana
Pablo Villaplana
This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool, and Spain using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques.
1 September 2002 in Journal of Time Series Analysis
Journal Article
Álvaro EscribanoSMSantiago Mira
Santiago Mira
The relationship between cointegration and error correction (EC) models is well characterized in a linear context, but the extension to the nonlinear context is still a challenge. Few extensions of the linear framework have been done in the context of nonlinear error correction (NEC) or asymmetric and time varying error correction models. In this paper, we propose a theoretical framework based on the concept of near epoch dependence (NED) that allows us to formally address these issues. In particular, we partially extend the Granger Representation Theorem to the nonlinear case.
16 February 2006 in Journal of Time Series Analysis
Journal Article
1 September 2001 in Spanish Economic Review
Journal Article
Álvaro EscribanoOJOscar Jordá
Oscar JordáA new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. The new decision rule has better properties than those previously available in the literature when the model is ESTAR and similar properties when the model is LSTAR. A simple natural extension of the usual LM-test for linearity is introduced and evaluated in terms of power. Monte-Carlo simulations and empirical evidence are provided in support of our claims.
1 January 1999
Book Chapter
Álvaro EscribanoOJOscar Jordá
Oscar Jordá
This chapter provides tools for the empirical practitioner interested in modelling Smooth Transition Regression (STR) models. Nonlinear time series models are being used more frequently in empirical applications, leaving the researcher with a virtual infinity of models and specification from which to choose. However, STR models are a general class of state-dependent, reduced form, nonlinear time series models in which the transition between states is generally endogenously generated. They encompass as particular cases the Smooth Transition Autoregressive (STAR), the Exponential Autoregressive (EAR), the Threshold Autoregressive (TAR), and the SET AR models.1 Together with Hamilton’s Regime Switching model2 (where the transition between regimes is exogenously generated by a Markov chain), state-dependent models have proven useful in modelling the asymmetric behavior of economic fluctuations.3
About Me
Ph.D. in Economics from the University of California, San Diego (USA). Full Professor of Applied Economics at the University Carlos III of Madrid (UC3M) and holder of the UC3M Chair of Internationalization. He is Director of the Carlos III International School (C3IS) and of the Expert Degree in Economics of Regulated Markets at UC3M. He was Vice-Chancellor of International Relations at UC3M and Dean of the Faculty of Social Sciences and Law at UC3M. He was Visiting Professor at the Catholic University of Louvain (Belgium), at the University of California in San Diego and at Georgetown University (USA). He was Consultant to the World Bank 2004-2011 (USA) and Advisor to the Ministry of Economy 1987-2000. He is Associate Editor of the scientific journals; "Macroeconomic Dynamics", "Studies in Nonlinear Dynamics and Econometrics", "Cambridge Elements in the Economics of Emerging Countries", and "Cuadernos Económicos de ICE". He was Associate Editor of the “European Economic Review” and a member of the Advisory Board of “Revista de Economía Aplicada”. He is co-author of 3 books and has published more than 50 scientific papers.