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Details about Jose Olmo

Homepage:https://sites.google.com/site/joseolmobadenas/
Phone:+34 876 55 4682
Postal address:Departamento de Análisis Ecnómico Facultad de Ciencias Económicas y Empresariales Universidad de Zaragoza Gran Vía 2, 50005 Zaragoza
Workplace:Economics Division, University of Southampton, (more information at EDIRC)
Facultad de Economía y Empresa (Faculty of Economics and Business), Universidad de Zaragoza (University of Zaragoza), (more information at EDIRC)

Access statistics for papers by Jose Olmo.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pol72


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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) Downloads
    Also in Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política (2021) Downloads

    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) Downloads (2022)
  2. Machine Learning the Carbon Footprint of Bitcoin Mining
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article Machine Learning the Carbon Footprint of Bitcoin Mining, JRFM, MDPI (2022) Downloads View citations (2) (2022)
  3. Prediction intervals for Deep Neural Networks
    Papers, arXiv.org Downloads

2020

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

2016

  1. Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)

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 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) Downloads View citations (3) (2014)

2012

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

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 Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?, Spatial Economic Analysis, Taylor & Francis Journals (2015) Downloads (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 (4)

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
  4. Threshold quantile autoregressive models
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    See also Journal Article Threshold quantile autoregressive models, Journal of Time Series Analysis, Wiley Blackwell (2011) View citations (19) (2011)

2008

  1. A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    Also in Working Papers, Universitat Rovira i Virgili, Department of Economics (2008) Downloads 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) Downloads (2012)
  2. Backtesting Parametric Value-at-Risk with Estimation Risk
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads
    See also Journal Article Backtesting Parametric Value-at-Risk With Estimation Risk, Journal of Business & Economic Statistics, American Statistical Association (2010) Downloads View citations (60) (2010)
  3. Early Detection Techniques for Market Risk Failure
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    See also Journal Article Early Detection Techniques for Market Risk Failure, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) Downloads View citations (1) (2011)
  4. 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
  5. U-statistic Type Tests for Structural Breaks in Linear Regression Models
    Working Papers, Department of Economics, City University London Downloads View citations (4)

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. Estimation risk effects on backtesting for parametric value-at-risk models
    Working Papers, Department of Economics, City University London Downloads View citations (8)
  4. 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 (19)
  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 (13)

Journal Articles

2024

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

2023

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

2022

  1. Environmental Engel curves: A neural network approach
    Journal of the Royal Statistical Society Series C, 2022, 71, (5), 1543-1568 Downloads
  2. 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) Downloads
    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) Downloads (2021)
  3. 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 Downloads
  4. Machine Learning the Carbon Footprint of Bitcoin Mining
    JRFM, 2022, 15, (2), 1-30 Downloads View citations (2)
    See also Working Paper Machine Learning the Carbon Footprint of Bitcoin Mining, CEPR Discussion Papers (2021) Downloads (2021)
  5. Optimal characteristic portfolios
    Quantitative Finance, 2022, 22, (10), 1853-1870 Downloads View citations (1)
  6. Portfolio selection in quantile decision models
    Annals of Finance, 2022, 18, (2), 133-181 Downloads View citations (1)
    See also Working Paper Portfolio Selection in Quantile Decision Models, Working Papers (2020) Downloads (2020)

2021

  1. An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain
    Defence and Peace Economics, 2021, 32, (1), 68-86 Downloads View citations (1)
  2. Analysis of Bitcoin prices using market and sentiment variables
    The World Economy, 2021, 44, (1), 45-63 Downloads View citations (11)
  3. Granger causality detection in high-dimensional systems using feedforward neural networks
    International Journal of Forecasting, 2021, 37, (2), 920-940 Downloads View citations (3)
  4. Modeling the spread of COVID‐19 in New York City
    Papers in Regional Science, 2021, 100, (5), 1209-1229 Downloads
  5. Optimal portfolio allocation and asset centrality revisited
    Quantitative Finance, 2021, 21, (9), 1475-1490 Downloads View citations (3)
  6. Optimal portfolio allocation using option‐implied information
    Journal of Futures Markets, 2021, 41, (2), 266-285 Downloads View citations (2)
  7. The size premium as a lottery
    The European Journal of Finance, 2021, 27, (1-2), 158-177 Downloads
  8. 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) Downloads View citations (24)

2020

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

2019

  1. An analysis of price discovery between Bitcoin futures and spot markets
    Economics Letters, 2019, 174, (C), 62-64 Downloads View citations (53)
  2. Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
    Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 42-61 Downloads
  3. Tests of asset pricing with time‐varying factor loads
    Journal of Applied Econometrics, 2019, 34, (5), 762-778 Downloads

2018

  1. Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach
    International Journal of Finance & Economics, 2018, 23, (2), 79-93 Downloads View citations (1)
  2. Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS
    Energies, 2018, 11, (11), 1-23 Downloads View citations (6)
  3. On solving endogeneity with invalid instruments: an application to investment equations
    Journal of the Royal Statistical Society Series A, 2018, 181, (3), 689-716 Downloads View citations (1)
  4. Statistical tests of distributional scaling properties for financial return series
    Quantitative Finance, 2018, 18, (7), 1211-1232 Downloads
  5. 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 Downloads View citations (3)
  6. Unconventional monetary policies and the credit market
    International Journal of Monetary Economics and Finance, 2018, 11, (5), 480-498 Downloads View citations (1)

2017

  1. Optimal asset allocation for strategic investors
    International Journal of Forecasting, 2017, 33, (4), 970-987 Downloads View citations (2)

2016

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

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 (9)
  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 (6)
  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 Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?, Working Papers (2011) Downloads View citations (5) (2011)

2014

  1. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, (3), 819-838 Downloads View citations (3)
    See also Working Paper Conditional stochastic dominance tests in dynamic settings, UC3M Working papers. Economics (2013) Downloads View citations (2) (2013)
  2. Forecasting daily return densities from intraday data: A multifractal approach
    International Journal of Forecasting, 2014, 30, (4), 863-881 Downloads View citations (4)
  3. Investor sentiment and bond risk premia
    Journal of Financial Markets, 2014, 18, (C), 206-233 Downloads View citations (39)
  4. Optimal currency carry trade strategies
    International Review of Economics & Finance, 2014, 33, (C), 52-66 Downloads View citations (6)
  5. Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data
    Journal of Financial Econometrics, 2014, 12, (2), 408-432 Downloads View citations (9)
  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 (10)

2013

  1. A panel data test for poverty traps
    Applied Economics, 2013, 45, (14), 1943-1952 Downloads View citations (1)
  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 (24)
  3. Quantile Double AR Time Series Models for Financial Returns
    Journal of Forecasting, 2013, 32, (6), 551-560 View citations (4)

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 A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences, Working Papers (2008) Downloads View citations (1) (2008)
  2. Forecasting the performance of hedge fund styles
    Journal of Banking & Finance, 2012, 36, (8), 2351-2365 Downloads View citations (2)

2011

  1. Detecting the presence of insider trading via structural break tests
    Journal of Banking & Finance, 2011, 35, (11), 2820-2828 Downloads View citations (18)
  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 Early Detection Techniques for Market Risk Failure, Working Papers (2008) Downloads View citations (1) (2008)
  3. Robust Backtesting Tests for Value-at-risk Models
    Journal of Financial Econometrics, 2011, 9, (1), 132-161 Downloads View citations (31)
  4. The forward discount puzzle and market efficiency
    Annals of Finance, 2011, 7, (1), 119-135 Downloads View citations (5)
  5. 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) Downloads View citations (1) (2009)
  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 (16)

2010

  1. Backtesting Parametric Value-at-Risk With Estimation Risk
    Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 Downloads View citations (60)
    See also Working Paper Backtesting Parametric Value-at-Risk with Estimation Risk, CAEPR Working Papers (2008) Downloads (2008)

2009

  1. Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate
    The Journal of Economic Asymmetries, 2009, 6, (2), 69-82 Downloads
  2. The profitability of carry trades
    Annals of Finance, 2009, 5, (2), 231-241 Downloads View citations (3)
  3. 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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