Access Statistics for Jose Olmo

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 5 0 1 2 71
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 1 1 1 163
A new family of estimators for the extremal index 0 0 0 4 0 0 1 33
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 0 2 2 77
A resolution of the forward discount puzzle 0 0 0 47 0 0 1 122
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 0 0 1 605
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 3 151 0 0 7 432
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 0 0 0 118
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 0 1 92
Contagion versus flight to quality in financial markets 1 1 3 381 1 1 6 923
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 0 0 0 67
Downside Risk Efficiency Under Market Distress 0 0 1 47 0 0 1 154
EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS 0 0 0 6 0 1 1 13
Early Detection Techniques for Market Risk Failure 0 0 0 10 0 0 0 76
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 0 2 738
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 2 10 0 1 5 12
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 1 78 0 0 2 408
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 0 0 0 84
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 0 1 2 124
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 0 1 2 111
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 0 0 1 23
Portfolio Selection in Quantile Decision Models 0 1 3 11 0 1 4 28
Prediction intervals for Deep Neural Networks 0 0 1 25 0 0 3 17
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 0 0 0 49
Testing downside risk efficiency under market distress 0 0 0 60 0 0 0 176
Testing the existence of clustering in the extreme values 0 0 0 64 0 0 2 193
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 0 0 1 64 0 1 2 130
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 0 2 97
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 1 1 1 30 1 2 7 130
The impact of heavy tails and comovements in downside-risk diversification 0 0 1 90 0 0 1 210
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 0 1 48
Threshold quantile autoregressive models 0 0 0 17 0 0 4 85
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 0 0 0 59
Which Extreme Values are Really Extremes? 0 0 0 143 0 0 1 474
Total Working Papers 2 3 17 1,977 3 13 65 6,142

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index 0 0 0 2 0 0 0 32
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 28 1 1 1 92
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 1 3 9
A panel data test for poverty traps 0 0 0 19 0 0 0 135
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 1 1 2 5 1 1 4 16
An analysis of price discovery between Bitcoin futures and spot markets 1 3 4 53 1 7 11 197
Analysis of Bitcoin prices using market and sentiment variables 0 0 3 13 0 2 12 47
Backtesting Parametric Value-at-Risk With Estimation Risk 0 1 5 129 1 2 9 316
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 0 1 1 76
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 0 0 1 12
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 1 1 1 23 1 1 2 87
Detecting the presence of insider trading via structural break tests 1 1 1 74 1 2 3 284
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 1 10 0 0 1 26
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 1 1 1 27
Dynamic robust portfolio selection under market distress 0 0 1 2 0 1 3 6
Early Detection Techniques for Market Risk Failure 0 0 0 33 0 0 0 118
Environmental Engel curves: A neural network approach 0 0 0 0 0 0 0 4
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 0 1 5 0 0 2 15
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 1 1 3 64
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 13 0 0 0 61
Forecasting the performance of hedge fund styles 0 0 0 40 0 0 2 152
Functional coefficient quantile regression model with time-varying loadings 0 0 1 2 0 1 3 4
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 1 6 0 1 3 24
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 0 1 1 40
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 0 0 3
Investing in the size factor 0 0 2 8 1 1 6 30
Investor sentiment and bond risk premia 1 1 2 35 1 1 6 141
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 0 0 1 18
Modeling the spread of COVID‐19 in New York City 0 0 0 1 0 0 0 5
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 1 1 3 9 1 1 3 50
Neural Network Models for Empirical Finance 0 0 0 7 0 1 1 23
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 0 0 0 46
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 0 0 0 33
On the role of volatility for modelling risk exposure 0 0 0 16 0 0 0 75
Optimal asset allocation for strategic investors 0 1 2 26 0 2 5 90
Optimal asset allocation using a combination of implied and historical information 0 0 0 10 0 1 1 24
Optimal characteristic portfolios 0 0 1 2 1 2 6 9
Optimal currency carry trade strategies 0 0 0 48 0 1 2 152
Optimal portfolio allocation and asset centrality revisited 1 1 2 3 1 1 5 11
Optimal portfolio allocation using option‐implied information 1 1 2 6 1 2 5 25
Optimal portfolio choices using financial leverage 0 0 1 8 0 0 3 30
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 0 18 0 2 4 146
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 0 0 28
Portfolio selection in quantile decision models 0 0 2 10 0 2 9 27
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 0 1 36
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 1 6 0 0 2 16
Robust Backtesting Tests for Value-at-risk Models 0 0 0 65 0 0 1 189
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 2 13 0 1 5 45
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 0 0 1 15
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 0 5 14 0 0 7 40
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 0 0 0 79
Tests of asset pricing with time‐varying factor loads 0 0 0 4 0 1 2 36
The forward discount puzzle and market efficiency 0 0 0 30 0 0 0 153
The profitability of carry trades 0 0 0 167 0 1 1 349
The size premium as a lottery 0 0 0 0 0 0 5 13
Threshold quantile autoregressive models 0 0 0 0 0 0 1 90
Unconventional monetary policies and the credit market 0 0 0 30 0 0 0 43
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 0 1 1 67
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 1 2 5 128
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 1 5 28 1 3 16 61
Total Journal Articles 8 13 51 1,091 16 50 171 4,170

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Statistics updated 2025-05-12