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Details about Jose Olmo

E-mail:
Homepage:http://www.southampton.ac.uk/economics/about/staff/jbo1v12.page?
Phone:+44(0)23 8059 2537
Postal address:School of Social Sciences, Economics Division, University of Southampton, Room 3015, Bld 58 (Murray Bld), Highfield Campus, Southampton, SO17 1BJ, UK
Workplace:Economics Division, University of Southampton, (more information at EDIRC)

Access statistics for papers by Jose Olmo.

Last updated 2016-06-02. Update your information in the RePEc Author Service.

Short-id: pol72


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Working Papers

2014

  1. Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry
    Discussion Papers, Department of Economics, University of Birmingham Downloads View citations (1)

2013

  1. Conditional stochastic dominance tests in dynamic settings
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads View citations (1)

    See also Journal Article in International Economic Review (2014)

2012

  1. The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
    Working Papers, Department of Economics, City University London Downloads View citations (5)

2011

  1. Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?
    Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) Downloads View citations (5)
    Also in Working Papers, Institut d'Economia de Barcelona (IEB) (2011) Downloads

    See also Journal Article in Spatial Economic Analysis (2015)
  2. The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
    Working Papers, Department of Economics, City University London Downloads View citations (1)

2010

  1. A Statistical Test of City Growth: Location, Increasing Returns and Random Growth
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2009

  1. Detecting the Presence of Informed Price Trading Via Structural Break Tests
    Working Papers, Department of Economics, City University London Downloads
  2. Downside Risk Efficiency Under Market Distress
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  3. Extreme Value Theory Filtering Techniques for Outlier Detection
    Working Papers, Department of Economics, City University London Downloads

2008

  1. A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
    Working Papers, Department of Economics, City University London Downloads
    Also in Working Papers, Universitat Rovira i Virgili, Department of Economics (2008) Downloads

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2012)
  2. Early Detection Techniques for Market Risk Failure
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2011)
  3. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads
  4. U-statistic Type Tests for Structural Breaks in Linear Regression Models
    Working Papers, Department of Economics, City University London Downloads View citations (1)

2007

  1. A resolution of the forward discount puzzle
    Working Papers, Department of Economics, City University London Downloads
  2. An asset pricing model for mean-variance-downside-risk averse investors
    Working Papers, Department of Economics, City University London Downloads
  3. Backtesting Parametric Value-at-Risk with Estimation Risk
    Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2010)
  4. Estimation risk effects on backtesting for parametric value-at-risk models
    Working Papers, Department of Economics, City University London Downloads View citations (7)
  5. The impact of heavy tails and comovements in downside-risk diversification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in Working Papers, Department of Economics, City University London (2007) Downloads

2006

  1. A new family of estimators for the extremal index
    Working Papers, Department of Economics, City University London Downloads

2005

  1. Contagion versus flight to quality in financial markets
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (10)
  2. Testing the existence of clustering in the extreme values
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)

2004

  1. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (9)

Journal Articles

2015

  1. A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index
    Econometrics, 2015, 3, (3), 1-21 Downloads
  2. Bank characteristics and the interbank money market: a distributional approach
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 249-283 Downloads View citations (4)
  3. Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S
    Economic Modelling, 2015, 48, (C), 155-166 Downloads View citations (1)
  4. Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?
    Spatial Economic Analysis, 2015, 10, (2), 230-261 Downloads
    See also Working Paper (2011)

2014

  1. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, 819-838 Downloads View citations (4)
    See also Working Paper (2013)
  2. Forecasting daily return densities from intraday data: A multifractal approach
    International Journal of Forecasting, 2014, 30, (4), 863-881 Downloads View citations (1)
  3. Investor sentiment and bond risk premia
    Journal of Financial Markets, 2014, 18, (C), 206-233 Downloads View citations (9)
  4. Optimal currency carry trade strategies
    International Review of Economics & Finance, 2014, 33, (C), 52-66 Downloads
  5. Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data
    Journal of Financial Econometrics, 2014, 12, (2), 408-432 Downloads View citations (3)
  6. Testing linearity against threshold effects: uniform inference in quantile regression
    Annals of the Institute of Statistical Mathematics, 2014, 66, (2), 413-439 Downloads View citations (4)

2013

  1. A panel data test for poverty traps
    Applied Economics, 2013, 45, (14), 1943-1952 Downloads
  2. Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
    International Journal of Forecasting, 2013, 29, (1), 28-42 Downloads View citations (8)
  3. Quantile Double AR Time Series Models for Financial Returns
    Journal of Forecasting, 2013, 32, (6), 551-560

2012

  1. A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 1-39 Downloads
    See also Working Paper (2008)
  2. Forecasting the performance of hedge fund styles
    Journal of Banking & Finance, 2012, 36, (8), 2351-2365 Downloads View citations (1)

2011

  1. Detecting the presence of insider trading via structural break tests
    Journal of Banking & Finance, 2011, 35, (11), 2820-2828 Downloads View citations (7)
  2. Early Detection Techniques for Market Risk Failure
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 1-55 Downloads View citations (1)
    See also Working Paper (2008)
  3. Robust Backtesting Tests for Value-at-risk Models
    Journal of Financial Econometrics, 2011, 9, (1), 132-161 Downloads View citations (14)
  4. The forward discount puzzle and market efficiency
    Annals of Finance, 2011, 7, (1), 119-135 Downloads View citations (4)
  5. Threshold quantile autoregressive models
    Journal of Time Series Analysis, 2011, 32, (3), 253-267 View citations (10)
  6. Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence
    International Journal of Finance & Economics, 2011, 16, (2), 189-204 View citations (7)

2010

  1. Backtesting Parametric Value-at-Risk With Estimation Risk
    Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 Downloads View citations (25)
    See also Working Paper (2007)

2009

  1. The profitability of carry trades
    Annals of Finance, 2009, 5, (2), 231-241 Downloads View citations (3)
  2. Uncovered Interest Parity: Are Empirical Rejections of It Valid?
    Journal of Economic Integration, 2009, 24, 369-384 View citations (1)

2008

  1. On the role of volatility for modelling risk exposure
    International Journal of Monetary Economics and Finance, 2008, 1, (2), 219-234 Downloads View citations (1)
 
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