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 0 0 5 0 1 8 79
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 0 3 8 171
A new family of estimators for the extremal index 0 0 0 4 0 1 4 37
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 0 3 12 90
A resolution of the forward discount puzzle 0 0 0 47 1 4 6 128
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 0 0 9 614
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 0 152 1 4 9 442
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 0 1 10 128
Conditional stochastic dominance tests in dynamic settings 0 0 1 12 0 2 7 99
Contagion versus flight to quality in financial markets 0 0 1 382 1 5 18 942
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 1 1 14 0 5 11 78
Downside Risk Efficiency Under Market Distress 0 0 0 47 0 3 20 174
Early Detection Techniques for Market Risk Failure 0 0 0 11 0 2 8 85
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 1 3 14 752
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 0 10 1 1 7 21
Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models 0 0 1 7 0 6 21 35
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 1 79 1 6 19 427
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 0 6 14 98
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 0 1 7 131
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 1 10 31 142
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 0 1 12 35
Portfolio Selection Under Systemic Risk 0 0 2 2 0 1 25 29
Portfolio Selection in Quantile Decision Models 0 0 0 11 0 5 14 42
Prediction intervals for Deep Neural Networks 0 0 0 25 0 3 4 21
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 0 4 9 58
Testing downside risk efficiency under market distress 0 0 1 61 0 3 16 192
Testing extreme warming and geographical heterogeneity 1 3 6 20 1 6 27 50
Testing the existence of clustering in the extreme values 0 0 0 64 0 2 10 203
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 0 1 1 65 0 2 10 140
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 3 7 105
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 0 30 1 2 19 149
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 1 7 55
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 90 1 4 11 221
Threshold quantile autoregressive models 0 0 1 18 1 6 17 103
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 1 1 10 0 3 11 70
Which Extreme Values are Really Extremes? 0 0 0 143 0 4 12 486
Total Working Papers 1 6 17 2,010 11 117 454 6,632

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 1 2 5 37
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 28 0 3 13 106
A causal analysis of environmental and financial performance: Differences between brown and green firms 0 0 0 1 2 4 25 27
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 1 5 14
A novel test of economic convergence in time series 0 0 0 0 0 2 16 18
A panel data test for poverty traps 0 0 0 19 0 5 18 153
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 0 5 0 1 8 24
An analysis of price discovery between Bitcoin futures and spot markets 0 1 14 68 6 15 55 255
Analysis of Bitcoin prices using market and sentiment variables 0 0 1 16 1 5 19 69
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 2 131 1 3 16 334
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 1 3 11 87
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 0 2 11 24
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 0 23 1 4 12 99
Deep reinforcement learning for portfolio selection 1 2 15 22 4 16 106 135
Detecting the presence of insider trading via structural break tests 0 0 2 76 3 9 22 307
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 1 11 0 0 7 33
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 1 1 11 0 2 7 35
Downside risk asset pricing revisited: a new non-linear threshold model 0 0 0 0 0 1 11 11
Dynamic robust portfolio selection under market distress 0 0 1 3 1 2 11 18
Early Detection Techniques for Market Risk Failure 0 0 0 33 1 2 7 125
Environmental Engel curves: A neural network approach 0 0 0 0 0 4 15 20
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 0 1 6 0 4 20 35
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 0 2 12 76
Forecasting daily return densities from intraday data: A multifractal approach 0 0 1 14 0 5 12 74
Forecasting the performance of hedge fund styles 0 0 0 41 0 1 10 163
Functional coefficient quantile regression model with time-varying loadings 0 0 0 2 0 2 7 11
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 1 7 1 4 11 37
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 0 3 10 50
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 0 3 6
High-dimensional multi-period portfolio allocation using deep reinforcement learning 0 0 4 4 2 7 61 68
Investing in the size factor 0 0 0 8 0 4 8 38
Investor sentiment and bond risk premia 0 0 0 36 0 4 18 160
Machine Learning the Carbon Footprint of Bitcoin Mining 0 1 1 3 1 3 12 31
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† 0 0 1 1 0 4 12 13
Modeling the spread of COVID‐19 in New York City 0 0 0 1 0 3 13 18
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 0 9 0 3 12 62
Neural Network Models for Empirical Finance 0 0 0 7 0 6 13 36
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 0 2 11 57
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 0 4 12 45
On the role of volatility for modelling risk exposure 0 0 0 16 1 2 5 80
Optimal asset allocation for strategic investors 0 0 1 27 0 3 18 109
Optimal asset allocation using a combination of implied and historical information 0 0 1 11 0 0 7 31
Optimal characteristic portfolios 1 1 3 5 1 4 10 19
Optimal currency carry trade strategies 0 0 1 49 0 5 11 163
Optimal portfolio allocation and asset centrality revisited 0 0 1 4 0 5 9 20
Optimal portfolio allocation using option‐implied information 0 0 0 6 0 2 7 32
Optimal portfolio choices using financial leverage 0 0 2 11 0 3 9 40
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 1 19 0 4 10 156
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 2 10 38
Portfolio Selection under Systemic Risk 0 0 1 1 0 4 28 28
Portfolio selection in quantile decision models 0 0 1 11 0 3 12 39
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 0 6 42
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 0 6 1 2 12 28
Robust Backtesting Tests for Value-at-risk Models 0 0 2 68 0 4 21 211
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 0 13 0 2 12 57
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 1 2 5 20
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 1 3 7 21 2 14 25 66
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 0 2 7 87
Tests of asset pricing with time‐varying factor loads 0 0 0 4 0 1 11 48
The forward discount puzzle and market efficiency 0 0 0 30 1 3 10 163
The profitability of carry trades 0 0 0 167 0 0 5 354
The size premium as a lottery 0 0 0 0 0 2 6 19
Threshold quantile autoregressive models 0 0 0 0 1 4 14 104
Unconventional monetary policies and the credit market 0 0 0 30 0 0 6 50
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 0 3 8 75
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 0 4 12 140
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 0 3 31 2 4 17 78
Total Journal Articles 3 9 70 1,176 36 231 970 5,208

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Statistics updated 2026-07-10