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 4 5 76
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 1 5 6 168
A new family of estimators for the extremal index 0 0 0 4 0 1 2 35
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 0 6 9 86
A resolution of the forward discount puzzle 0 0 0 47 0 1 2 124
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 0 6 8 613
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 152 0 3 6 438
Conditional stochastic dominance tests in dynamic settings 0 1 1 12 0 4 5 97
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 4 8 9 127
Contagion versus flight to quality in financial markets 1 1 2 382 5 10 14 936
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 0 3 6 73
Downside Risk Efficiency Under Market Distress 0 0 0 47 0 8 13 167
Early Detection Techniques for Market Risk Failure 0 0 1 11 0 4 6 82
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 8 11 749
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 0 10 1 5 7 19
Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models 0 0 0 6 0 8 12 25
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 1 79 1 5 11 419
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 1 6 8 92
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 1 2 7 130
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 7 14 18 129
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 1 8 11 34
Portfolio Selection Under Systemic Risk 0 2 2 2 1 16 22 26
Portfolio Selection in Quantile Decision Models 0 0 1 11 2 6 9 36
Prediction intervals for Deep Neural Networks 0 0 0 25 0 1 1 18
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 1 3 4 53
Testing downside risk efficiency under market distress 1 1 1 61 3 8 12 188
Testing extreme warming and geographical heterogeneity 0 1 9 16 3 14 31 42
Testing the existence of clustering in the extreme values 0 0 0 64 3 6 6 199
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 0 0 0 64 0 5 5 135
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 3 5 102
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 1 30 6 15 17 145
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 1 4 5 53
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 90 2 3 7 217
Threshold quantile autoregressive models 0 0 0 17 1 7 10 95
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 1 5 6 65
Which Extreme Values are Really Extremes? 0 0 0 143 3 6 7 481
Total Working Papers 2 6 20 2,001 49 221 323 6,474

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 1 33
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 28 1 8 12 103
A causal analysis of environmental and financial performance: Differences between brown and green firms 0 0 1 1 0 10 21 21
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 2 4 13
A novel test of economic convergence in time series 0 0 0 0 2 10 16 16
A panel data test for poverty traps 0 0 0 19 3 10 13 148
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 1 5 0 5 8 23
An analysis of price discovery between Bitcoin futures and spot markets 2 9 16 66 10 25 41 235
Analysis of Bitcoin prices using market and sentiment variables 0 1 3 16 1 9 19 64
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 3 131 2 6 15 329
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 2 4 8 84
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 1 6 10 22
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 1 23 1 4 9 95
Deep reinforcement learning for portfolio selection 0 2 17 18 4 40 101 106
Detecting the presence of insider trading via structural break tests 1 1 3 76 4 10 15 298
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 1 1 1 11 1 4 6 32
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 0 1 4 30
Downside risk asset pricing revisited: a new non-linear threshold model 0 0 0 0 2 8 9 9
Dynamic robust portfolio selection under market distress 0 0 1 3 1 7 10 16
Early Detection Techniques for Market Risk Failure 0 0 0 33 0 1 4 122
Environmental Engel curves: A neural network approach 0 0 0 0 0 5 12 16
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 1 1 6 0 7 14 29
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 1 5 11 74
Forecasting daily return densities from intraday data: A multifractal approach 1 1 1 14 2 6 7 68
Forecasting the performance of hedge fund styles 0 0 1 41 1 5 10 162
Functional coefficient quantile regression model with time-varying loadings 0 0 0 2 1 3 5 9
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 1 7 0 3 7 31
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 2 4 7 46
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 1 3 6
High-dimensional multi-period portfolio allocation using deep reinforcement learning 1 1 4 4 3 21 59 59
Investing in the size factor 0 0 0 8 0 2 5 34
Investor sentiment and bond risk premia 0 0 2 36 1 7 14 154
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 0 5 8 26
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† 0 1 1 1 0 6 8 8
Modeling the spread of COVID‐19 in New York City 0 0 0 1 0 5 8 13
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 1 9 1 6 10 59
Neural Network Models for Empirical Finance 0 0 0 7 0 5 7 30
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 1 6 9 55
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 3 7 8 41
On the role of volatility for modelling risk exposure 0 0 0 16 0 1 3 78
Optimal asset allocation for strategic investors 0 0 1 27 1 7 12 102
Optimal asset allocation using a combination of implied and historical information 0 1 1 11 1 5 7 31
Optimal characteristic portfolios 0 0 1 3 0 2 5 13
Optimal currency carry trade strategies 0 1 1 49 1 5 7 158
Optimal portfolio allocation and asset centrality revisited 0 0 2 4 0 2 5 15
Optimal portfolio allocation using option‐implied information 0 0 1 6 1 2 6 30
Optimal portfolio choices using financial leverage 0 1 3 11 1 4 7 37
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 1 19 1 4 7 152
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 4 7 35
Portfolio Selection under Systemic Risk 0 1 1 1 2 15 23 23
Portfolio selection in quantile decision models 0 0 1 11 1 4 8 35
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 1 4 6 42
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 0 6 2 6 9 25
Robust Backtesting Tests for Value-at-risk Models 0 1 3 68 2 13 17 206
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 0 13 1 7 9 54
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 0 3 3 18
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 1 2 16 1 6 9 49
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 1 3 6 85
Tests of asset pricing with time‐varying factor loads 0 0 0 4 2 9 11 47
The forward discount puzzle and market efficiency 0 0 0 30 1 5 7 160
The profitability of carry trades 0 0 0 167 0 2 5 354
The size premium as a lottery 0 0 0 0 0 1 2 15
Threshold quantile autoregressive models 0 0 0 0 2 5 10 100
Unconventional monetary policies and the credit market 0 0 0 30 1 4 7 50
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 0 2 6 72
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 0 3 8 134
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 1 3 31 2 6 13 73
Total Journal Articles 6 25 80 1,161 76 413 763 4,912

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Statistics updated 2026-03-04