Citations of
Jose Olmo

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Working papers

1. Oscar Martinez & Jose Olmo, 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," City University Economics Discussion Papers 08/08, Department of Economics, City University, London. [Downloadable!]

   Cited by:

   1. Antonio F. Galvao, Jr. & Gabriel V. Montes-Rojas & Jose Olmo, 2009. "Threshold Quantile Autoregressive Models," City University Economics Discussion Papers 09/05, Department of Economics, City University, London. [Downloadable!]

2. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]

   Cited by:

   1. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
      Other versions:
      • Candelon Bertrand & Colletaz Gilberg & Hurlin Christophe & Tokpavi Sessi, 2009. "Backtesting Value-at-Risk: A GMM Duration-based Test," Research Memoranda 051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
   2. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]

3. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía. [Downloadable!]

   Cited by:

   1. Paulo Horta & Carlos Mendes & Isabel Vieira, 2008. "Contagion effects of the US Subprime Crisis on Developed Countries," CEFAGE-UE Working Papers 2008_08, University of Evora, CEFAGE-UE (Portugal). [Downloadable!]
   2. Dirk G. Baur & Brian M. Lucey, 2007. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Institute for International Integration Studies Discussion Paper Series iiisdp198, IIIS. [Downloadable!]

4. Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society. [Downloadable!]
   Published as:
   • Jesus Gonzalo, 2004. "Which Extreme Values Are Really Extreme?," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 349-369. [Downloadable!] (restricted)

   Cited by:

   1. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
   2. Jose Olmo, 2009. "Extreme Value Theory Filtering Techniques for Outlier Detection," City University Economics Discussion Papers 09/09, Department of Economics, City University, London. [Downloadable!]

This page was last updated on 2009-12-17.