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 3 4 6 76
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 3 4 5 167
A new family of estimators for the extremal index 0 0 0 4 1 1 2 35
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 5 8 11 86
A resolution of the forward discount puzzle 0 0 0 47 1 1 2 124
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 5 6 8 613
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 152 2 3 6 438
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 4 4 5 123
Conditional stochastic dominance tests in dynamic settings 1 1 1 12 4 4 5 97
Contagion versus flight to quality in financial markets 0 0 1 381 5 6 9 931
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 2 4 6 73
Downside Risk Efficiency Under Market Distress 0 0 0 47 5 11 13 167
Early Detection Techniques for Market Risk Failure 0 0 1 11 2 5 6 82
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 7 10 11 749
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 0 10 2 4 7 18
Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models 0 0 0 6 3 9 13 25
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 1 79 3 6 10 418
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 3 6 7 91
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 1 1 6 129
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 3 10 12 122
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 5 8 10 33
Portfolio Selection Under Systemic Risk 1 2 2 2 10 17 22 25
Portfolio Selection in Quantile Decision Models 0 0 1 11 2 4 7 34
Prediction intervals for Deep Neural Networks 0 0 0 25 1 1 1 18
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 0 3 3 52
Testing downside risk efficiency under market distress 0 0 0 60 3 7 9 185
Testing extreme warming and geographical heterogeneity 0 2 11 16 8 14 32 39
Testing the existence of clustering in the extreme values 0 0 0 64 2 3 3 196
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 1 5 6 135
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 2 4 5 102
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 1 30 4 9 11 139
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 90 1 1 5 215
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 2 3 4 52
Threshold quantile autoregressive models 0 0 0 17 3 6 9 94
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 2 5 5 64
Which Extreme Values are Really Extremes? 0 0 0 143 3 3 4 478
Total Working Papers 2 5 20 1,999 113 200 286 6,425

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 6 7 11 102
A causal analysis of environmental and financial performance: Differences between brown and green firms 0 0 1 1 9 14 21 21
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 2 2 5 13
A novel test of economic convergence in time series 0 0 0 0 3 11 14 14
A panel data test for poverty traps 0 0 0 19 6 9 10 145
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 1 5 5 6 8 23
An analysis of price discovery between Bitcoin futures and spot markets 2 8 14 64 7 16 35 225
Analysis of Bitcoin prices using market and sentiment variables 1 1 3 16 5 9 18 63
Backtesting Parametric Value-at-Risk With Estimation Risk 0 1 3 131 2 6 13 327
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 1 4 7 82
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 3 7 9 21
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 1 23 2 7 8 94
Deep reinforcement learning for portfolio selection 1 3 18 18 13 48 99 102
Detecting the presence of insider trading via structural break tests 0 0 2 75 2 7 12 294
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 0 10 3 4 5 31
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 0 2 4 30
Downside risk asset pricing revisited: a new non-linear threshold model 0 0 0 0 5 6 7 7
Dynamic robust portfolio selection under market distress 0 0 1 3 3 6 10 15
Early Detection Techniques for Market Risk Failure 0 0 0 33 0 3 4 122
Environmental Engel curves: A neural network approach 0 0 0 0 3 10 12 16
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 1 1 6 5 12 14 29
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 2 7 10 73
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 13 3 4 5 66
Forecasting the performance of hedge fund styles 0 0 1 41 4 6 9 161
Functional coefficient quantile regression model with time-varying loadings 0 0 0 2 2 3 5 8
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 1 7 2 3 8 31
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 2 3 5 44
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 2 3 6
High-dimensional multi-period portfolio allocation using deep reinforcement learning 0 0 3 3 9 24 56 56
Investing in the size factor 0 0 0 8 2 2 5 34
Investor sentiment and bond risk premia 0 0 2 36 5 8 13 153
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 4 6 8 26
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† 1 1 1 1 5 7 8 8
Modeling the spread of COVID‐19 in New York City 0 0 0 1 3 6 8 13
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 1 9 3 5 9 58
Neural Network Models for Empirical Finance 0 0 0 7 4 5 8 30
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 5 6 8 54
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 3 5 5 38
On the role of volatility for modelling risk exposure 0 0 0 16 1 2 3 78
Optimal asset allocation for strategic investors 0 0 2 27 4 6 13 101
Optimal asset allocation using a combination of implied and historical information 0 1 1 11 2 4 7 30
Optimal characteristic portfolios 0 1 1 3 1 3 6 13
Optimal currency carry trade strategies 0 1 1 49 3 4 6 157
Optimal portfolio allocation and asset centrality revisited 0 1 2 4 2 3 5 15
Optimal portfolio allocation using option‐implied information 0 0 1 6 0 3 6 29
Optimal portfolio choices using financial leverage 0 1 3 11 2 4 6 36
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 1 1 19 3 5 7 151
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 2 5 7 35
Portfolio Selection under Systemic Risk 0 1 1 1 7 18 21 21
Portfolio selection in quantile decision models 0 0 1 11 3 3 9 34
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 1 4 5 41
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 0 6 3 4 7 23
Robust Backtesting Tests for Value-at-risk Models 1 1 3 68 6 11 15 204
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 0 13 4 6 9 53
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 2 3 3 18
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 1 1 2 16 4 6 8 48
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 2 3 5 84
Tests of asset pricing with time‐varying factor loads 0 0 0 4 6 8 10 45
The forward discount puzzle and market efficiency 0 0 0 30 4 4 6 159
The profitability of carry trades 0 0 0 167 2 2 6 354
The size premium as a lottery 0 0 0 0 1 1 2 15
Threshold quantile autoregressive models 0 0 0 0 3 4 8 98
Unconventional monetary policies and the credit market 0 0 0 30 2 4 6 49
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 2 3 6 72
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 2 4 8 134
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 1 4 31 1 5 13 71
Total Journal Articles 7 25 77 1,155 218 430 713 4,836

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2026-02-12