Access Statistics for Jose Olmo

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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 3 72
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 0 0 1 163
A new family of estimators for the extremal index 0 0 0 4 0 1 1 34
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 2 2 5 80
A resolution of the forward discount puzzle 0 0 0 47 0 1 1 123
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 0 0 2 607
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 2 152 0 2 4 435
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 1 1 93
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 0 1 1 119
Contagion versus flight to quality in financial markets 0 0 2 381 1 1 5 926
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 1 2 3 70
Downside Risk Efficiency Under Market Distress 0 0 0 47 3 5 5 159
Early Detection Techniques for Market Risk Failure 0 0 1 11 1 1 2 78
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 2 3 4 741
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 0 10 0 0 4 14
Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models 0 0 0 6 1 2 5 17
Extreme Value Theory Filtering Techniques for Outlier Detection 0 1 1 79 2 6 6 414
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 1 2 2 86
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 0 3 5 128
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 3 4 5 115
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 1 2 4 26
Portfolio Selection Under Systemic Risk 0 0 0 0 2 5 7 10
Portfolio Selection in Quantile Decision Models 0 0 1 11 0 2 3 30
Prediction intervals for Deep Neural Networks 0 0 0 25 0 0 1 17
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 1 1 1 50
Testing downside risk efficiency under market distress 0 0 0 60 2 4 4 180
Testing extreme warming and geographical heterogeneity 1 1 15 15 3 5 27 28
Testing the existence of clustering in the extreme values 0 0 0 64 0 0 1 193
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 0 1 130
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 1 1 4 99
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 1 30 0 0 3 130
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 1 1 49
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 90 0 3 4 214
Threshold quantile autoregressive models 0 0 0 17 0 1 5 88
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 1 1 1 60
Which Extreme Values are Really Extremes? 0 0 0 143 0 0 2 475
Total Working Papers 1 2 23 1,995 28 64 134 6,253

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 0 2 4 95
A causal analysis of environmental and financial performance: Differences between brown and green firms 0 0 1 1 4 8 11 11
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 2 3 11
A novel test of economic convergence in time series 0 0 0 0 3 3 6 6
A panel data test for poverty traps 0 0 0 19 2 2 3 138
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 2 5 1 1 5 18
An analysis of price discovery between Bitcoin futures and spot markets 1 2 8 57 1 6 21 210
Analysis of Bitcoin prices using market and sentiment variables 0 0 2 15 1 3 13 55
Backtesting Parametric Value-at-Risk With Estimation Risk 1 2 4 131 2 4 10 323
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 2 3 5 80
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 2 3 5 16
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 1 23 4 4 5 91
Deep reinforcement learning for portfolio selection 1 5 16 16 12 22 64 66
Detecting the presence of insider trading via structural break tests 0 0 2 75 1 1 6 288
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 0 10 1 1 2 28
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 1 1 3 29
Downside risk asset pricing revisited: a new non-linear threshold model 0 0 0 0 0 1 1 1
Dynamic robust portfolio selection under market distress 0 1 1 3 0 1 4 9
Early Detection Techniques for Market Risk Failure 0 0 0 33 2 3 3 121
Environmental Engel curves: A neural network approach 0 0 0 0 5 5 7 11
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 0 1 5 5 6 9 22
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 3 4 8 69
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 13 0 0 1 62
Forecasting the performance of hedge fund styles 0 0 1 41 2 3 5 157
Functional coefficient quantile regression model with time-varying loadings 0 0 0 2 1 2 3 6
Granger causality detection in high-dimensional systems using feedforward neural networks 0 1 1 7 0 2 6 28
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 1 2 3 42
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 1 2 2 5
High-dimensional multi-period portfolio allocation using deep reinforcement learning 0 2 3 3 6 14 38 38
Investing in the size factor 0 0 0 8 0 2 4 32
Investor sentiment and bond risk premia 0 0 2 36 2 4 7 147
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 1 1 3 21
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† 0 0 0 0 1 1 2 2
Modeling the spread of COVID‐19 in New York City 0 0 0 1 1 2 3 8
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 1 9 0 3 4 53
Neural Network Models for Empirical Finance 0 0 0 7 0 1 3 25
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 1 3 3 49
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 1 1 1 34
On the role of volatility for modelling risk exposure 0 0 0 16 1 2 2 77
Optimal asset allocation for strategic investors 0 1 2 27 0 4 7 95
Optimal asset allocation using a combination of implied and historical information 0 0 0 10 0 2 3 26
Optimal characteristic portfolios 1 1 1 3 1 1 6 11
Optimal currency carry trade strategies 0 0 0 48 0 1 3 153
Optimal portfolio allocation and asset centrality revisited 1 1 2 4 1 1 3 13
Optimal portfolio allocation using option‐implied information 0 0 1 6 2 2 5 28
Optimal portfolio choices using financial leverage 0 1 2 10 1 2 3 33
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 1 1 1 19 2 2 4 148
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 1 3 3 31
Portfolio Selection under Systemic Risk 0 0 0 0 5 6 8 8
Portfolio selection in quantile decision models 0 0 1 11 0 1 10 31
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 1 2 2 38
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 1 6 0 3 4 19
Robust Backtesting Tests for Value-at-risk Models 0 0 2 67 0 2 4 193
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 0 13 0 2 4 47
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 0 0 0 15
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 1 4 15 1 2 6 43
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 1 2 3 82
Tests of asset pricing with time‐varying factor loads 0 0 0 4 1 1 4 38
The forward discount puzzle and market efficiency 0 0 0 30 0 2 2 155
The profitability of carry trades 0 0 0 167 0 3 4 352
The size premium as a lottery 0 0 0 0 0 0 1 14
Threshold quantile autoregressive models 0 0 0 0 1 3 5 95
Unconventional monetary policies and the credit market 0 0 0 30 1 2 3 46
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 1 2 4 70
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 1 2 5 131
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 0 5 30 1 3 11 67
Total Journal Articles 6 19 68 1,136 93 187 406 4,499

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Statistics updated 2025-12-06