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Jose Olmo

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Personal Details

First Name:Jose
Middle Name:
Last Name:Olmo
Suffix:
RePEc Short-ID:pol72
Email:
Homepage:http://www.southampton.ac.uk/economics/about/staff/jbo1v12.page?
Postal Address:School of Social Sciences, Economics Division, University of Southampton, Room 3015, Bld 58 (Murray Bld), Highfield Campus, Southampton, SO17 1BJ, UK
Phone:+44(0)23 8059 2537
Location: Southampton, United Kingdom
Homepage: http://www.economics.soton.ac.uk/
Email:
Phone: (+44) 23 80592537
Fax: (+44) 23 80593858
Postal: Highfield, Southampton SO17 1BJ
Handle: RePEc:edi:desotuk (more details at EDIRC)

This author is featured on the following reading lists, publication compilations or Wikipedia entries:

  1. Universidad Carlos III de Madrid Economics PhD Alumni
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  1. 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.
  2. 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.
  3. 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.
  4. Rafael González-Val & Jose Olmo, 2011. "Growth in a cross-section of cities: location, increasing returns or random growth?," Working Papers 2011/39, Institut d'Economia de Barcelona (IEB).
  5. 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.
  6. Jesús Gonzalo & José Olmo, 2010. "Conditional stochastic dominance tests in dynamic settings," Economics Working Papers we1029, Universidad Carlos III, Departamento de Economía.
  7. 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.
  8. Olmo, J., 2009. "Extreme Value Theory Filtering Techniques for Outlier Detection," Working Papers 09/09, Department of Economics, City University London.
  9. Jesús Gonzalo & José Olmo, 2009. "Downside Risk Efficiency Under Market Distress," Economics Working Papers we094423, Universidad Carlos III, Departamento de Economía.
  10. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
  11. Olmo, J. & Pouliot, W., 2008. "Early Detection Techniques for Market Risk Failure," Working Papers 08/09, Department of Economics, City University London.
  12. Jesus Gonzalo & Jose Olmo, 2008. "Testing downside risk efficiency under market distress," Economics Working Papers we084321, Universidad Carlos III, Departamento de Economía.
  13. 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.
  14. 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.
  15. Olmo, J. & Pilbeam, K., 2007. "A resolution of the forward discount puzzle," Working Papers 07/10, Department of Economics, City University London.
  16. Jesus Gonzalo & Jose Olmo, 2007. "The impact of heavy tails and comovements in downside-risk diversification," Economics Working Papers we20070208, Universidad Carlos III, Departamento de Economía.
  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., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
  19. Olmo, J., 2006. "A new family of estimators for the extremal index," Working Papers 06/01, Department of Economics, City University London.
  20. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía.
  21. Jose Olmo, 2005. "Testing The Existence Of Clustering In The Extreme Values," Economics Working Papers we051809, Universidad Carlos III, Departamento de Economía.
  22. Jose Olmo & Jesus Gonzalo, 2004. "Which Extreme Values are Really Extremes?," Econometric Society 2004 North American Winter Meetings 144, Econometric Society.

    RePEc:urv:wpaper:2072/5361 is not listed on IDEAS
  1. 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, 08.
  2. 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.
  3. Laborda, Ricardo & Olmo, Jose, 2014. "Investor sentiment and bond risk premia," Journal of Financial Markets, Elsevier, vol. 18(C), pages 206-233.
  4. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  5. 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, vol. 66(2), pages 413-439, April.
  6. 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.
  7. 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, 09.
  8. 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.
  9. 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.
  10. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
  11. 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, 04.
  12. 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.
  13. Keith Pilbeam & Jose Olmo, 2011. "The forward discount puzzle and market efficiency," Annals of Finance, Springer, vol. 7(1), pages 119-135, February.
  14. 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, 05.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Jose Olmo & Keith Pilbeam, 2009. "The profitability of carry trades," Annals of Finance, Springer, vol. 5(2), pages 231-241, March.
  20. 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.
15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2007-05-26 2012-10-06
  2. NEP-CFN: Corporate Finance (1) 2007-03-10
  3. NEP-ECM: Econometrics (5) 2005-04-16 2007-05-26 2008-09-29 2010-12-04 2014-04-11. Author is listed
  4. NEP-EEC: European Economics (1) 2012-10-06
  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-GEO: Economic Geography (3) 2010-12-18 2011-12-13 2012-01-03
  8. NEP-GER: German Papers (1) 2014-04-11
  9. NEP-IFN: International Finance (1) 2007-05-19
  10. NEP-RMG: Risk Management (5) 2007-02-17 2007-03-10 2007-05-26 2008-09-29 2010-01-30. Author is listed
  11. NEP-UPT: Utility Models & Prospect Theory (1) 2007-03-10
  12. NEP-URE: Urban & Real Estate Economics (3) 2010-12-18 2011-12-13 2012-01-03

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