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 0 2 71
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 0 1 33
A nonlinear threshold model for the dependence of extremes of stationary sequences 0 0 0 10 0 0 3 78
A resolution of the forward discount puzzle 0 0 0 47 0 0 1 122
An asset pricing model for mean-variance-downside-risk averse investors 0 0 0 226 2 2 3 607
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 3 152 0 0 4 433
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 0 0 0 118
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 0 1 92
Contagion versus flight to quality in financial markets 0 0 2 381 1 2 5 925
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 1 1 1 68
Downside Risk Efficiency Under Market Distress 0 0 1 47 0 0 1 154
Early Detection Techniques for Market Risk Failure 0 1 1 11 0 1 1 77
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 0 2 738
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 2 10 0 1 6 14
Experiments on portfolio selection: a comparison between quantile preferences and expected utility decision models 0 0 0 6 0 2 3 15
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 0 78 0 0 0 408
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 28 0 0 0 84
Growth in a cross-section of cities: location, increasing returns or random growth? 0 0 0 13 1 1 3 125
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 0 0 2 111
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 0 1 2 24
Portfolio Selection Under Systemic Risk 0 0 0 0 1 1 3 5
Portfolio Selection in Quantile Decision Models 0 0 2 11 0 0 2 28
Prediction intervals for Deep Neural Networks 0 0 0 25 0 0 2 17
Testing Downside Risk Efficiency Under Market Distress 0 0 0 4 0 0 0 49
Testing downside risk efficiency under market distress 0 0 0 60 0 0 0 176
Testing extreme warming and geographical heterogeneity 0 2 14 14 0 3 23 23
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 0 0 3 98
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 1 30 0 0 4 130
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 90 1 1 1 211
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 0 1 48
Threshold quantile autoregressive models 0 0 0 17 1 2 4 87
U-statistic Type Tests for Structural Breaks in Linear Regression Models 0 0 0 9 0 0 0 59
Which Extreme Values are Really Extremes? 0 0 0 143 1 1 2 475
Total Working Papers 0 3 26 1,993 9 19 89 6,189

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 1 1 33
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 28 0 0 2 93
A causal analysis of environmental and financial performance: Differences between brown and green firms 0 0 1 1 1 1 3 3
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 0 1 9
A novel test of economic convergence in time series 0 0 0 0 1 3 3 3
A panel data test for poverty traps 0 0 0 19 0 1 1 136
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 2 5 1 1 5 17
An analysis of price discovery between Bitcoin futures and spot markets 0 2 6 55 2 7 16 204
Analysis of Bitcoin prices using market and sentiment variables 0 0 3 15 1 3 14 52
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 4 129 0 1 8 319
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 1 1 2 77
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 0 0 2 13
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 1 23 0 0 2 87
Deep reinforcement learning for portfolio selection 1 6 11 11 7 24 44 44
Detecting the presence of insider trading via structural break tests 0 1 2 75 1 3 6 287
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 0 10 0 1 1 27
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 0 0 2 28
Downside risk asset pricing revisited: a new non-linear threshold model 0 0 0 0 0 0 0 0
Dynamic robust portfolio selection under market distress 0 0 0 2 1 1 3 8
Early Detection Techniques for Market Risk Failure 0 0 0 33 0 0 0 118
Environmental Engel curves: A neural network approach 0 0 0 0 0 2 2 6
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 0 1 5 1 1 3 16
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 1 1 4 65
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 13 0 1 1 62
Forecasting the performance of hedge fund styles 0 0 1 41 0 1 4 154
Functional coefficient quantile regression model with time-varying loadings 0 0 0 2 0 0 2 4
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 0 6 0 0 4 26
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 0 0 1 40
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 0 0 3
High-dimensional multi-period portfolio allocation using deep reinforcement learning 0 1 1 1 8 20 24 24
Investing in the size factor 0 0 1 8 0 0 5 30
Investor sentiment and bond risk premia 0 1 2 36 0 2 4 143
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 0 2 2 20
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† 0 0 0 0 0 0 1 1
Modeling the spread of COVID‐19 in New York City 0 0 0 1 1 1 1 6
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 2 9 0 0 2 50
Neural Network Models for Empirical Finance 0 0 0 7 1 1 2 24
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? 0 0 0 1 0 0 0 46
On solving endogeneity with invalid instruments: an application to investment equations 0 0 0 5 0 0 0 33
On the role of volatility for modelling risk exposure 0 0 0 16 0 0 0 75
Optimal asset allocation for strategic investors 0 0 2 26 0 0 6 91
Optimal asset allocation using a combination of implied and historical information 0 0 0 10 0 0 1 24
Optimal characteristic portfolios 0 0 1 2 1 1 6 10
Optimal currency carry trade strategies 0 0 0 48 0 0 2 152
Optimal portfolio allocation and asset centrality revisited 0 0 1 3 1 1 3 12
Optimal portfolio allocation using option‐implied information 0 0 2 6 0 1 4 26
Optimal portfolio choices using financial leverage 0 0 2 9 0 0 2 31
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 0 18 0 0 3 146
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 0 0 28
Portfolio Selection under Systemic Risk 0 0 0 0 1 2 2 2
Portfolio selection in quantile decision models 1 1 3 11 2 3 12 30
Quantile Double AR Time Series Models for Financial Returns 0 0 0 0 0 0 1 36
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate 0 0 1 6 0 0 1 16
Robust Backtesting Tests for Value-at-risk Models 1 2 2 67 1 2 3 191
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 1 13 0 0 3 45
Statistical tests of distributional scaling properties for financial return series 0 0 0 3 0 0 1 15
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns 0 0 3 14 0 0 4 41
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 0 0 1 80
Tests of asset pricing with time‐varying factor loads 0 0 0 4 0 0 3 37
The forward discount puzzle and market efficiency 0 0 0 30 0 0 0 153
The profitability of carry trades 0 0 0 167 0 0 1 349
The size premium as a lottery 0 0 0 0 1 1 3 14
Threshold quantile autoregressive models 0 0 0 0 1 2 3 92
Unconventional monetary policies and the credit market 0 0 0 30 0 1 1 44
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 1 1 2 68
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 1 1 4 129
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 1 2 6 30 2 3 14 64
Total Journal Articles 4 16 62 1,117 40 99 264 4,312

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Statistics updated 2025-09-05