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Jose Olmo

Personal Details

First Name:Jose
Middle Name:
Last Name:Olmo
Suffix:
RePEc Short-ID:pol72
https://sites.google.com/site/joseolmobadenas/
Departamento de Análisis Ecnómico Facultad de Ciencias Económicas y Empresariales Universidad de Zaragoza Gran Vía 2, 50005 Zaragoza
+34 876 55 4682
Terminal Degree: Departamento de Economía; Universidad Carlos III de Madrid (from RePEc Genealogy)

Affiliation

(80%) Facultad de Economía y Empresa
Universidad de Zaragoza

Zaragoza, Spain
http://fecem.unizar.es/


976 76 19 96
Gran via, 2 50005 Zaragoza
RePEc:edi:fezares (more details at EDIRC)

(20%) Economics Division
University of Southampton

Southampton, United Kingdom
http://www.economics.soton.ac.uk/

(+44) 23 80592537
(+44) 23 80593858
Highfield, Southampton SO17 1BJ
RePEc:edi:desotuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Olmo, José & Gonzalo, Jesús, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
  2. Jose Olmo & William Pouliot, 2014. "Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry," Discussion Papers 14-02, Department of Economics, University of Birmingham.
  3. Iori, G. & Kapar, B. & Olmo, J., 2012. "The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation," Working Papers 12/03, Department of Economics, City University London.
  4. Rafael González-Val & Jose Olmo, 2011. "Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?," Working Papers XREAP2011-21, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2011.
  5. Kapar, B. & Olmo, J., 2011. "The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk," Working Papers 11/02, Department of Economics, City University London.
  6. Olmo, José & Gonzalo, Jesús, 2010. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1029, Universidad Carlos III de Madrid. Departamento de Economía.
  7. González-Val, Rafael & Olmo, Jose, 2010. "A Statistical Test of City Growth: Location, Increasing Returns and Random Growth," MPRA Paper 27139, University Library of Munich, Germany.
  8. Galvao Jr, A. F. & Montes-Rojas, G. & Olmo, J., 2009. "Threshold quantile autoregressive models," Working Papers 09/05, Department of Economics, City University London.
  9. Olmo, J. & Pilbeam, K. & Pouliot, W., 2009. "Detecting the Presence of Informed Price Trading Via Structural Break Tests," Working Papers 09/10, Department of Economics, City University London.
  10. Olmo, José & Gonzalo, Jesús, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
  11. Olmo, J., 2009. "Extreme Value Theory Filtering Techniques for Outlier Detection," Working Papers 09/09, Department of Economics, City University London.
  12. Martínez Ibáñez, Oscar & Olmo, José, 2008. "A nonlinear threshold model for the dependence of extremes of stationary sequences," Working Papers 2072/5361, Universitat Rovira i Virgili, Department of Economics.
  13. Olmo, José & Gonzalo, Jesús, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
  14. Pouliot, W. & Olmo, J., 2008. "U-statistic Type Tests for Structural Breaks in Linear Regression Models," Working Papers 08/15, Department of Economics, City University London.
  15. Olmo, J. & Pouliot, W., 2008. "Early Detection Techniques for Market Risk Failure," Working Papers 08/09, Department of Economics, City University London.
  16. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
  17. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
  18. Olmo, J. & Pilbeam, K., 2007. "A resolution of the forward discount puzzle," Working Papers 07/10, Department of Economics, City University London.
  19. Olmo, José & Gonzalo, Jesús, 2007. "The impact of heavy tails and comovements in downside-risk diversification," UC3M Working papers. Economics we20070208, Universidad Carlos III de Madrid. Departamento de Economía.
  20. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," CAEPR Working Papers 2007-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, revised Sep 2008.
  21. Olmo, J., 2006. "A new family of estimators for the extremal index," Working Papers 06/01, Department of Economics, City University London.
  22. Olmo, José & Gonzalo, Jesús, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.
  23. Olmo, José, 2005. "Testing the existence of clustering in the extreme values," UC3M Working papers. Economics we051809, Universidad Carlos III de Madrid. Departamento de Economía.
  24. Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society.

Articles

  1. Cheang, Chi Wan & Olmo, Jose & Ma, Tiejun & Sung, Ming-Chien & McGroarty, Frank, 2020. "Optimal asset allocation using a combination of implied and historical information," International Review of Financial Analysis, Elsevier, vol. 67(C).
  2. Kapar, Burcu & Olmo, Jose, 2019. "An analysis of price discovery between Bitcoin futures and spot markets," Economics Letters, Elsevier, vol. 174(C), pages 62-64.
  3. Antonio F. Galvao & Gabriel Montes‐Rojas & Jose Olmo, 2019. "Tests of asset pricing with time‐varying factor loads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 762-778, August.
  4. Jesus Gonzalo & Jose Olmo, 2019. "Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 42-61, February.
  5. Matthew Lyon & Jose Olmo, 2018. "Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(2), pages 79-93, April.
  6. Antonio F Galvao & Ted Juhl & Gabriel Montes-Rojas & Jose Olmo, 2018. "Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(2), pages 211-243.
  7. Antonio F. Galvao & Gabriel Montes–Rojas & Jose Olmo & Suyong Song, 2018. "On solving endogeneity with invalid instruments: an application to investment equations," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(3), pages 689-716, June.
  8. M. Angeles Carnero & Jose Olmo & Lorenzo Pascual, 2018. "Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS," Energies, MDPI, Open Access Journal, vol. 11(11), pages 1-23, November.
  9. Jose Olmo & Marcos Sanso-Navarro, 2018. "Unconventional monetary policies and the credit market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 11(5), pages 480-498.
  10. Mark Hallam & Jose Olmo, 2018. "Statistical tests of distributional scaling properties for financial return series," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1211-1232, July.
  11. Laborda, Ricardo & Olmo, Jose, 2017. "Optimal asset allocation for strategic investors," International Journal of Forecasting, Elsevier, vol. 33(4), pages 970-987.
  12. Juan Laborda & Ricardo Laborda & Jose Olmo, 2016. "Investing in the size factor," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 85-100, January.
  13. Ana-Maria Fuertes & Jose Olmo, 2016. "On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(3), pages 1-20, September.
  14. Katja Ahoniemi & Ana-Maria Fuertes & Jose Olmo, 2016. "Overnight News and Daily Equity Trading Risk Limits," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 525-551.
  15. Rafael Gonz�lez-Val & Jose Olmo, 2015. "Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?," Spatial Economic Analysis, Taylor & Francis Journals, vol. 10(2), pages 230-261, June.
  16. Jose Olmo, 2015. "A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index," Econometrics, MDPI, Open Access Journal, vol. 3(3), pages 1-21, August.
  17. Olmo, Jose & Sanso-Navarro, Marcos, 2015. "Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S," Economic Modelling, Elsevier, vol. 48(C), pages 155-166.
  18. Iori Giulia & Kapar Burcu & Olmo Jose, 2015. "Bank characteristics and the interbank money market: a distributional approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(3), pages 249-283, June.
  19. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
  20. Mark Hallam & Jose Olmo, 2014. "Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(2), pages 408-432.
  21. Hallam, Mark & Olmo, Jose, 2014. "Forecasting daily return densities from intraday data: A multifractal approach," International Journal of Forecasting, Elsevier, vol. 30(4), pages 863-881.
  22. Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 819-838, August.
  23. Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 413-439, April.
  24. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  25. Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo, 2013. "Quantile Double AR Time Series Models for Financial Returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 551-560, September.
  26. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  27. Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo, 2013. "A panel data test for poverty traps," Applied Economics, Taylor & Francis Journals, vol. 45(14), pages 1943-1952, May.
  28. Martinez Oscar & Olmo Jose, 2012. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-39, September.
  29. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
  30. J. Carlos Escanciano & Jose Olmo, 2011. "Robust Backtesting Tests for Value-at-risk Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 132-161, Winter.
  31. Jose Olmo & Keith Pilbeam, 2011. "Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(2), pages 189-204, April.
  32. Keith Pilbeam & Jose Olmo, 2011. "The forward discount puzzle and market efficiency," Annals of Finance, Springer, vol. 7(1), pages 119-135, February.
  33. Olmo, Jose & Pilbeam, Keith & Pouliot, William, 2011. "Detecting the presence of insider trading via structural break tests," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2820-2828, November.
  34. Olmo Jose & Pouliot William, 2011. "Early Detection Techniques for Market Risk Failure," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-55, September.
  35. Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo, 2011. "Threshold quantile autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 253-267, May.
  36. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
  37. Olmo, Jose & Pilbeam, Keith, 2009. "Uncovered Interest Parity: Are Empirical Rejections of It Valid?," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 369-384.
  38. Galvao, Antonio F. & Montes-Rojas, Gabriel & Olmo, Jose, 2009. "Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate," The Journal of Economic Asymmetries, Elsevier, vol. 6(2), pages 69-82.
  39. Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages

Co-authorship network on CollEc

Featured entries

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

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2005-04-16 2007-03-24 2007-05-26 2008-09-29 2010-12-04 2014-04-11. Author is listed
  2. NEP-RMG: Risk Management (6) 2007-02-17 2007-03-10 2007-03-24 2007-05-26 2008-09-29 2010-01-30. Author is listed
  3. NEP-BAN: Banking (3) 2007-03-24 2007-05-26 2012-10-06
  4. NEP-FMK: Financial Markets (3) 2005-09-11 2007-03-10 2007-05-26
  5. NEP-CFN: Corporate Finance (2) 2007-03-10 2007-03-24
  6. NEP-GEO: Economic Geography (2) 2010-12-18 2012-01-03
  7. NEP-UPT: Utility Models & Prospect Theory (2) 2007-03-10 2016-10-02
  8. NEP-URE: Urban & Real Estate Economics (2) 2010-12-18 2012-01-03
  9. NEP-EEC: European Economics (1) 2012-10-06
  10. NEP-GER: German Papers (1) 2014-04-11
  11. NEP-IFN: International Finance (1) 2007-05-19
  12. NEP-MAC: Macroeconomics (1) 2016-10-02

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