Details about Jose Olmo

Access statistics for papers by Jose Olmo.

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Short-id: pol72

Working Papers

2021

1. EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS
   Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET)
   Also in Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política (2021)
   See also Journal Article Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models, Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier (2022) (2022)
2. Machine Learning the Carbon Footprint of Bitcoin Mining
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Machine Learning the Carbon Footprint of Bitcoin Mining, JRFM, MDPI (2022) View citations (1) (2022)
3. Prediction intervals for Deep Neural Networks
   Papers, arXiv.org

2020

4. Portfolio Selection in Quantile Decision Models
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE)
   See also Journal Article Portfolio selection in quantile decision models, Annals of Finance, Springer (2022) View citations (1) (2022)

2016

5. Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)

2014

6. 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 View citations (1)

2013

7. Conditional stochastic dominance tests in dynamic settings
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (1)
   See also Journal Article 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 (2014) View citations (3) (2014)

2012

8. The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation
   Working Papers, Department of Economics, City University London View citations (8)

2011

9. Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?
   Working Papers, Xarxa de Referència en Economia Aplicada (XREAP) View citations (5)
   Also in Working Papers, Institut d'Economia de Barcelona (IEB) (2011)
   See also Journal Article Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?, Spatial Economic Analysis, Taylor & Francis Journals (2015) (2015)
10. The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
    Working Papers, Department of Economics, City University London View citations (4)

2010

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

2009

12. Detecting the Presence of Informed Price Trading Via Structural Break Tests
    Working Papers, Department of Economics, City University London
13. Downside Risk Efficiency Under Market Distress
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
14. Extreme Value Theory Filtering Techniques for Outlier Detection
    Working Papers, Department of Economics, City University London
15. Threshold quantile autoregressive models
    Working Papers, Department of Economics, City University London View citations (1)
    See also Journal Article Threshold quantile autoregressive models, Journal of Time Series Analysis, Wiley Blackwell (2011) View citations (19) (2011)

2008

16. A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
    Working Papers, Department of Economics, City University London View citations (1)
    Also in Working Papers, Universitat Rovira i Virgili, Department of Economics (2008) View citations (2)
    See also Journal Article A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2012) (2012)
17. Backtesting Parametric Value-at-Risk with Estimation Risk
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
    See also Journal Article Backtesting Parametric Value-at-Risk With Estimation Risk, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (63) (2010)
18. Early Detection Techniques for Market Risk Failure
    Working Papers, Department of Economics, City University London View citations (1)
    See also Journal Article Early Detection Techniques for Market Risk Failure, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) View citations (1) (2011)
19. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008)
20. U-statistic Type Tests for Structural Breaks in Linear Regression Models
    Working Papers, Department of Economics, City University London View citations (4)

2007

21. A resolution of the forward discount puzzle
    Working Papers, Department of Economics, City University London
22. An asset pricing model for mean-variance-downside-risk averse investors
    Working Papers, Department of Economics, City University London
23. Estimation risk effects on backtesting for parametric value-at-risk models
    Working Papers, Department of Economics, City University London View citations (8)
24. The impact of heavy tails and comovements in downside-risk diversification
    Working Papers, Department of Economics, City University London
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2007)

2006

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

2005

26. Contagion versus flight to quality in financial markets
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (19)
27. Testing the existence of clustering in the extreme values
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2004

28. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (13)

Journal Articles

2024

1. Dynamic robust portfolio selection under market distress
   The North American Journal of Economics and Finance, 2024, 69, (PB)

2023

2. A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
   Journal of Time Series Analysis, 2023, 44, (3), 294-318 View citations (1)
3. Functional coefficient quantile regression model with time-varying loadings
   Journal of Applied Economics, 2023, 26, (1), 2167151

2022

4. Environmental Engel curves: A neural network approach
   Journal of the Royal Statistical Society Series C, 2022, 71, (5), 1543-1568
5. Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models
   Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2022, 97, (C)
   See also Working Paper EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS, Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) (2021) (2021)
6. Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies*
   (Variable Selection for Portfolio Choice)
   Journal of Financial Econometrics, 2022, 20, (3), 472-504
7. Machine Learning the Carbon Footprint of Bitcoin Mining
   JRFM, 2022, 15, (2), 1-30 View citations (1)
   See also Working Paper Machine Learning the Carbon Footprint of Bitcoin Mining, CEPR Discussion Papers (2021) (2021)
8. Optimal characteristic portfolios
   Quantitative Finance, 2022, 22, (10), 1853-1870 View citations (2)
9. Portfolio selection in quantile decision models
   Annals of Finance, 2022, 18, (2), 133-181 View citations (1)
   See also Working Paper Portfolio Selection in Quantile Decision Models, Working Papers (2020) (2020)

2021

10. An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain
    Defence and Peace Economics, 2021, 32, (1), 68-86 View citations (2)
11. Analysis of Bitcoin prices using market and sentiment variables
    The World Economy, 2021, 44, (1), 45-63 View citations (14)
12. Granger causality detection in high-dimensional systems using feedforward neural networks
    International Journal of Forecasting, 2021, 37, (2), 920-940 View citations (3)
13. Modeling the spread of COVID‐19 in New York City
    Papers in Regional Science, 2021, 100, (5), 1209-1229 View citations (1)
14. Optimal portfolio allocation and asset centrality revisited
    Quantitative Finance, 2021, 21, (9), 1475-1490 View citations (6)
15. Optimal portfolio allocation using option‐implied information
    Journal of Futures Markets, 2021, 41, (2), 266-285 View citations (2)
16. The size premium as a lottery
    The European Journal of Finance, 2021, 27, (1-2), 158-177
17. Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic
    Research in International Business and Finance, 2021, 57, (C) View citations (28)

2020

18. Financial integration in the United Arab Emirates Stock Markets
    Finance Research Letters, 2020, 33, (C) View citations (3)
19. Neural Network Models for Empirical Finance
    JRFM, 2020, 13, (11), 1-22
20. Optimal asset allocation using a combination of implied and historical information
    International Review of Financial Analysis, 2020, 67, (C) View citations (1)
21. Optimal portfolio choices using financial leverage
    Bulletin of Economic Research, 2020, 72, (2), 146-166 View citations (1)

2019

22. An analysis of price discovery between Bitcoin futures and spot markets
    Economics Letters, 2019, 174, (C), 62-64 View citations (62)
23. Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
    Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 42-61
24. Tests of asset pricing with time‐varying factor loads
    Journal of Applied Econometrics, 2019, 34, (5), 762-778

2018

25. Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach
    International Journal of Finance & Economics, 2018, 23, (2), 79-93 View citations (1)
26. Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS
    Energies, 2018, 11, (11), 1-23 View citations (7)
27. On solving endogeneity with invalid instruments: an application to investment equations
    Journal of the Royal Statistical Society Series A, 2018, 181, (3), 689-716 View citations (1)
28. Statistical tests of distributional scaling properties for financial return series
    Quantitative Finance, 2018, 18, (7), 1211-1232
29. Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns
    Journal of Financial Econometrics, 2018, 16, (2), 211-243 View citations (3)
30. Unconventional monetary policies and the credit market
    International Journal of Monetary Economics and Finance, 2018, 11, (5), 480-498 View citations (1)

2017

31. Optimal asset allocation for strategic investors
    International Journal of Forecasting, 2017, 33, (4), 970-987 View citations (3)

2016

32. Investing in the size factor
    Quantitative Finance, 2016, 16, (1), 85-100 View citations (2)
33. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
    JRFM, 2016, 9, (3), 1-20 View citations (2)
34. Overnight News and Daily Equity Trading Risk Limits
    Journal of Financial Econometrics, 2016, 14, (3), 525-551 View citations (5)

2015

35. A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index
    Econometrics, 2015, 3, (3), 1-21
36. Bank characteristics and the interbank money market: a distributional approach
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 249-283 View citations (9)
37. 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 View citations (7)
38. Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?
    Spatial Economic Analysis, 2015, 10, (2), 230-261
    See also Working Paper Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?, Working Papers (2011) View citations (5) (2011)

2014

39. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, (3), 819-838 View citations (3)
    See also Working Paper Conditional stochastic dominance tests in dynamic settings, UC3M Working papers. Economics (2013) View citations (2) (2013)
40. Forecasting daily return densities from intraday data: A multifractal approach
    International Journal of Forecasting, 2014, 30, (4), 863-881 View citations (4)
41. Investor sentiment and bond risk premia
    Journal of Financial Markets, 2014, 18, (C), 206-233 View citations (43)
42. Optimal currency carry trade strategies
    International Review of Economics & Finance, 2014, 33, (C), 52-66 View citations (7)
43. Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data
    Journal of Financial Econometrics, 2014, 12, (2), 408-432 View citations (10)
44. Testing linearity against threshold effects: uniform inference in quantile regression
    Annals of the Institute of Statistical Mathematics, 2014, 66, (2), 413-439 View citations (10)

2013

45. A panel data test for poverty traps
    Applied Economics, 2013, 45, (14), 1943-1952 View citations (1)
46. Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
    International Journal of Forecasting, 2013, 29, (1), 28-42 View citations (26)
47. Quantile Double AR Time Series Models for Financial Returns
    Journal of Forecasting, 2013, 32, (6), 551-560 View citations (5)

2012

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

2011

50. Detecting the presence of insider trading via structural break tests
    Journal of Banking & Finance, 2011, 35, (11), 2820-2828 View citations (18)
51. Early Detection Techniques for Market Risk Failure
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (4), 55 View citations (1)
    See also Working Paper Early Detection Techniques for Market Risk Failure, Working Papers (2008) View citations (1) (2008)
52. Robust Backtesting Tests for Value-at-risk Models
    Journal of Financial Econometrics, 2011, 9, (1), 132-161 View citations (31)
53. The forward discount puzzle and market efficiency
    Annals of Finance, 2011, 7, (1), 119-135 View citations (5)
54. Threshold quantile autoregressive models
    Journal of Time Series Analysis, 2011, 32, (3), 253-267 View citations (19)
    See also Working Paper Threshold quantile autoregressive models, Working Papers (2009) View citations (1) (2009)
55. 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 (17)

2010

56. Backtesting Parametric Value-at-Risk With Estimation Risk
    Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 View citations (63)
    See also Working Paper Backtesting Parametric Value-at-Risk with Estimation Risk, CAEPR Working Papers (2008) (2008)

2009

57. Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate
    The Journal of Economic Asymmetries, 2009, 6, (2), 69-82
58. The profitability of carry trades
    Annals of Finance, 2009, 5, (2), 231-241 View citations (3)
59. Uncovered Interest Parity: Are Empirical Rejections of It Valid?
    Journal of Economic Integration, 2009, 24, 369-384 View citations (1)

2008

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