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Information about:
Jose Olmo

Personal Details | Affiliation | Lists | Works
This is information that was supplied by Jose Olmo in registering through RePEc. If you are Jose Olmo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Jose
Middle Name:
Last Name: Olmo
Suffix:

RePEc Short-ID: pol72

Email: [This author has chosen not to make the email address public]
Homepage: http://www.staff.city.ac.uk/~sa841
Postal Address:
Phone:

Affiliation

(in no particular order)

Lists

This author is featured on the following reading lists or publication compilations:
  1. Universidad Carlos III de Madrid Economics PhD Alumni

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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. 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!]

  3. Jose Olmo & William Pouliot, 2008. "Early Detection Techniques for Market Risk Failure," City University Economics Discussion Papers 08/09, Department of Economics, City University, London. [Downloadable!]

  4. Jesus Gonzalo & Jose Olmo, 2008. "Testing Downside Risk Efficiency Under Market Distress," City University Economics Discussion Papers 08/11, Department of Economics, City University, London. [Downloadable!]
    Other versions:

  5. 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!]

  6. Jose Olmo & William Pouliot, 2008. "U-statistic Type Tests for Structural Breaks in Linear Regression Models," City University Economics Discussion Papers 08/15, Department of Economics, City University, London. [Downloadable!]

  7. Jose Olmo & Keith Pilbeam, 2007. "A Resolution of the Forward Discount Puzzle," City University Economics Discussion Papers 07/10, Department of Economics, City University, London. [Downloadable!]

  8. 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!]

  9. 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!]

  10. Jesus Gonzalo & Jose Olmo, 2007. "The Impact of Heavy Tails and Comovements in Downside-Risk Diversification," City University Economics Discussion Papers 07/02, Department of Economics, City University, London. [Downloadable!]
    Other versions:

  11. Jose Olmo, 2007. "An Asset Pricing Model for Mean-Variance-Downside-Risk Averse Investors," City University Economics Discussion Papers 07/01, Department of Economics, City University, London. [Downloadable!]

  12. José Olmo, 2006. "A New Family of Estimators for the Extremal Index," City University Economics Discussion Papers 06/01, Department of Economics, City University, London. [Downloadable!]

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

  14. Jose Olmo, 2005. "Testing The Existence Of Clustering In The Extreme Values," Economics Working Papers we051809, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  15. Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society. [Downloadable!]
    Published as:

Articles

  1. Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March. [Downloadable!] (restricted)

  2. Jose Olmo, 2008. "On the role of volatility for modelling risk exposure," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 1(2), pages 219-234, January. [Downloadable!] (restricted)

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2007-05-26
  2. NEP-CFN: Corporate Finance (1) 2007-03-10
  3. NEP-ECM: Econometrics (9) 2005-04-16 2007-01-28 2007-05-26 2008-05-24 2008-06-21 2008-09-29 2008-11-25 2009-03-22 2009-07-17 Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2008-05-24 2009-03-22
  5. NEP-FIN: Finance (1) 2005-09-11
  6. NEP-FMK: Financial Markets (3) 2005-09-11 2007-03-10 2007-05-26
  7. NEP-IFN: International Finance (1) 2007-05-19
  8. NEP-ORE: Operations Research (1) 2009-03-22
  9. NEP-RMG: Risk Management (5) 2007-02-17 2007-03-10 2007-05-26 2008-06-21 2008-09-29 Author is listed
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2007-03-10
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This page was last updated on 2009-11-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.