Access Statistics for Jose Olmo

Author contact details at EconPapers.

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 1 1 5 0 1 3 52
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 48 0 0 4 148
A new family of estimators for the extremal index 0 0 0 3 0 0 1 29
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 9 0 0 1 53
A resolution of the forward discount puzzle 0 0 0 47 0 0 3 116
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 224 1 1 3 596
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 1 1 5 83
Conditional stochastic dominance tests in dynamic settings 0 0 1 43 0 1 2 101
Contagion versus flight to quality in financial markets 0 0 9 361 2 3 32 826
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 1 2 3 53
Downside Risk Efficiency Under Market Distress 0 0 1 41 0 0 4 129
Early Detection Techniques for Market Risk Failure 0 0 0 9 0 2 5 53
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 1 232 1 1 4 706
Extreme Value Theory Filtering Techniques for Outlier Detection 0 2 10 49 9 14 32 199
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 1 28 2 2 6 72
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 10 0 0 2 101
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 1 7 43 1 5 16 72
Testing Downside Risk Efficiency Under Market Distress 0 0 0 3 0 0 7 37
Testing downside risk efficiency under market distress 0 0 1 60 0 0 3 166
Testing the existence of clustering in the extreme values 0 0 0 61 1 1 1 184
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 1 1 4 60 2 3 13 100
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 2 2 5 86
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 1 4 25 2 4 12 89
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 0 3 28
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 88 1 1 1 195
Threshold quantile autoregressive models 1 2 4 7 3 6 17 24
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 1 1 5 46
Which Extreme Values are Really Extremes? 1 1 1 140 1 2 3 453
Total Working Papers 3 9 45 1,663 31 53 196 4,797


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 1 1 2 1 2 2 22
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 1 1 1 25 1 1 4 73
A panel data test for poverty traps 0 0 1 16 1 1 7 92
An analysis of price discovery between Bitcoin futures and spot markets 0 5 7 7 4 17 37 37
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 2 97 1 3 15 240
Bank characteristics and the interbank money market: a distributional approach 0 0 0 13 1 1 5 52
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 2 5 1 3 5 40
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 2 18 1 5 9 53
Detecting the presence of insider trading via structural break tests 0 2 5 69 0 2 7 259
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 2 7 7 0 3 13 13
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 2 4 9 0 2 6 11
Early Detection Techniques for Market Risk Failure 0 0 1 33 0 1 4 107
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 12 0 1 3 54
Forecasting the performance of hedge fund styles 0 0 3 37 1 1 6 133
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 1 2 4 0 4 7 22
Investing in the size factor 0 0 0 1 0 0 2 5
Investor sentiment and bond risk premia 0 1 2 25 2 3 9 87
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 2 2 3 8 17 17
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 1 3 5 26
On solving endogeneity with invalid instruments: an application to investment equations 0 1 2 2 0 3 6 7
Optimal asset allocation for strategic investors 1 2 5 8 1 4 20 32
Optimal currency carry trade strategies 0 1 2 36 1 2 9 114
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 1 16 2 4 6 80
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 1 1 14
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 0 3 31
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 0 1 0 0 3 5
Robust Backtesting Tests for Value-at-risk Models 0 0 2 50 2 2 6 156
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 1 4 1 1 4 24
Statistical tests of distributional scaling properties for financial return series 0 0 1 2 0 2 5 7
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 0 3 3 0 1 4 7
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 4 1 1 2 59
The forward discount puzzle and market efficiency 0 0 2 30 1 1 6 146
The profitability of carry trades 0 0 1 160 1 1 2 328
Threshold quantile autoregressive models 0 0 0 0 0 1 1 67
Unconventional monetary policies and the credit market 1 2 13 13 1 4 23 23
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 2 2 4 47
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 0 1 5 85
Total Journal Articles 3 21 75 716 31 92 273 2,575


Statistics updated 2019-10-05