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 1 4 10 64
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 48 0 0 5 155
A new family of estimators for the extremal index 0 0 1 4 0 0 2 32
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 9 0 3 9 64
A resolution of the forward discount puzzle 0 0 0 47 0 1 1 118
An asset pricing model for mean-variance-downside-risk averse investors 0 0 1 225 0 0 4 601
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 3 135 1 9 24 377
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 1 4 88
Conditional stochastic dominance tests in dynamic settings 0 0 0 43 0 2 6 109
Contagion versus flight to quality in financial markets 2 2 9 371 3 10 38 869
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 0 0 4 61
Downside Risk Efficiency Under Market Distress 0 0 2 43 0 1 12 142
Early Detection Techniques for Market Risk Failure 0 1 1 10 1 5 13 67
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 232 0 4 14 721
Extreme Value Theory Filtering Techniques for Outlier Detection 1 2 11 60 9 17 64 275
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 0 1 5 81
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 11 1 2 5 111
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 4 47 0 2 12 89
Testing Downside Risk Efficiency Under Market Distress 0 0 1 4 0 2 4 42
Testing downside risk efficiency under market distress 0 0 0 60 0 1 3 170
Testing the existence of clustering in the extreme values 0 0 0 61 0 0 3 188
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 61 0 0 8 113
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 0 4 91
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 1 26 0 8 19 112
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 88 0 2 6 202
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 1 6 12 41
Threshold quantile autoregressive models 0 0 3 10 2 3 21 47
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 0 3 6 53
Which Extreme Values are Really Extremes? 0 0 1 141 0 1 3 458
Total Working Papers 3 5 39 1,836 19 88 321 5,541


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 1 4 29
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 2 27 0 2 8 83
A panel data test for poverty traps 1 1 1 17 3 3 7 102
An analysis of price discovery between Bitcoin futures and spot markets 0 3 16 28 0 6 63 118
Backtesting Parametric Value-at-Risk With Estimation Risk 0 1 9 106 1 2 20 261
Bank characteristics and the interbank money market: a distributional approach 0 2 3 16 0 3 14 67
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 5 0 2 5 47
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 0 18 1 3 18 76
Detecting the presence of insider trading via structural break tests 0 0 1 70 1 1 5 267
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 1 9 0 0 2 18
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 1 1 10 0 1 6 18
Early Detection Techniques for Market Risk Failure 0 0 0 33 0 0 2 110
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 12 0 0 1 56
Forecasting the performance of hedge fund styles 0 0 0 37 0 0 4 140
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 1 2 6 0 2 6 31
Investing in the size factor 1 2 3 4 1 2 8 14
Investor sentiment and bond risk premia 1 1 2 27 3 3 13 103
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 1 3 0 2 10 28
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 1 3 8 40
On solving endogeneity with invalid instruments: an application to investment equations 0 0 1 3 1 4 11 19
Optimal asset allocation for strategic investors 0 0 6 14 0 0 12 46
Optimal asset allocation using a combination of implied and historical information 0 1 2 2 0 3 7 7
Optimal currency carry trade strategies 0 0 3 39 0 1 10 128
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 1 17 2 3 11 94
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 1 3 22
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 0 2 34
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 1 2 0 0 2 8
Robust Backtesting Tests for Value-at-risk Models 1 2 3 53 1 3 8 167
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 0 4 0 0 1 26
Statistical tests of distributional scaling properties for financial return series 0 0 0 2 0 0 2 10
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 0 1 5 0 0 6 15
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 2 6 0 2 10 70
Tests of asset pricing with time‐varying factor loads 2 2 2 2 2 6 12 18
The forward discount puzzle and market efficiency 0 0 0 30 0 1 2 149
The profitability of carry trades 0 0 4 164 1 1 13 343
Threshold quantile autoregressive models 0 0 0 0 0 1 3 73
Unconventional monetary policies and the credit market 1 1 8 21 1 1 9 33
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 0 1 8 56
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 0 2 11 97
Total Journal Articles 7 18 76 799 20 66 347 3,023


Statistics updated 2020-11-03