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 4 0 0 2 51
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 48 0 1 5 148
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 1 1 53
A resolution of the forward discount puzzle 0 0 0 47 0 1 3 116
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 224 0 0 3 595
Conditional stochastic dominance tests in dynamic settings 0 0 1 43 0 0 3 100
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 1 6 82
Contagion versus flight to quality in financial markets 2 3 11 361 6 12 33 823
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 0 0 1 51
Downside Risk Efficiency Under Market Distress 0 0 1 41 0 0 7 129
Early Detection Techniques for Market Risk Failure 0 0 0 9 0 0 3 51
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 1 232 1 1 3 705
Extreme Value Theory Filtering Techniques for Outlier Detection 1 3 8 47 1 7 20 185
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 1 1 28 0 1 5 70
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 0 0 0 1 1
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 2 3 8 42 3 4 13 67
Testing Downside Risk Efficiency Under Market Distress 0 0 0 3 0 3 9 37
Testing downside risk efficiency under market distress 0 0 1 60 0 1 4 166
Testing the existence of clustering in the extreme values 0 0 0 61 0 0 0 183
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 0 0 3 59 2 4 10 97
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 1 3 84
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 1 3 3 24 1 3 9 85
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 0 0 0 194
Threshold quantile autoregressive models 0 1 4 5 4 7 14 18
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 0 1 4 45
Which Extreme Values are Really Extremes? 0 0 0 139 0 0 2 451
Total Working Papers 6 14 42 1,644 18 49 168 4,644

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 1 0 0 0 20
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 24 0 0 4 72
A panel data test for poverty traps 0 0 1 16 0 1 7 91
An analysis of price discovery between Bitcoin futures and spot markets 2 2 2 2 4 12 20 20
Backtesting Parametric Value-at-Risk With Estimation Risk 0 1 3 97 1 4 14 237
Bank characteristics and the interbank money market: a distributional approach 0 0 0 13 0 0 8 51
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 2 5 0 0 3 37
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 1 2 2 18 1 2 5 48
Detecting the presence of insider trading via structural break tests 0 3 3 67 0 3 6 257
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 2 5 5 0 4 10 10
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 7 7 0 1 9 9
Early Detection Techniques for Market Risk Failure 0 0 1 33 0 0 4 106
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 12 0 0 3 53
Forecasting the performance of hedge fund styles 1 1 4 37 1 1 6 132
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 1 1 3 0 2 4 18
Investing in the size factor 0 0 0 1 0 1 4 5
Investor sentiment and bond risk premia 0 0 1 24 0 3 8 84
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 2 2 1 3 9 9
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 0 0 4 23
On solving endogeneity with invalid instruments: an application to investment equations 0 0 1 1 0 1 4 4
On the role of volatility for modelling risk exposure 0 0 0 16 0 0 0 69
Optimal asset allocation for strategic investors 0 0 3 6 2 3 19 28
Optimal currency carry trade strategies 0 0 1 35 0 1 7 112
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 1 16 0 0 5 76
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 0 0 13
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 1 5 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 5 50 0 0 8 154
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 1 1 4 1 2 5 23
Statistical tests of distributional scaling properties for financial return series 1 1 2 2 1 1 5 5
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 1 3 3 0 1 4 6
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 4 0 0 2 58
The forward discount puzzle and market efficiency 0 0 3 30 0 1 7 145
The profitability of carry trades 0 1 1 160 0 1 2 327
Threshold quantile autoregressive models 0 0 0 0 0 0 0 66
Unconventional monetary policies and the credit market 1 4 11 11 2 7 19 19
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 1 2 2 45
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 1 1 5 84
Total Journal Articles 6 20 66 711 16 59 230 2,552

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Statistics updated 2019-07-03