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 0 1 2 71
A Statistical Test of City Growth: Location, Increasing Returns and Random Growth 0 0 0 50 0 0 0 162
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 2 2 77
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 0 0 2 605
Backtesting Parametric Value-at-Risk with Estimation Risk 0 1 3 151 0 1 7 432
Conditional stochastic dominance tests in dynamic settings 0 0 0 11 0 0 1 92
Conditional stochastic dominance tests in dynamic settings 0 0 0 45 0 0 0 118
Contagion versus flight to quality in financial markets 0 0 2 380 0 0 5 922
Detecting the Presence of Informed Price Trading Via Structural Break Tests 0 0 0 13 0 0 0 67
Downside Risk Efficiency Under Market Distress 0 0 2 47 0 0 2 154
EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS 0 0 0 6 0 1 1 13
Early Detection Techniques for Market Risk Failure 0 0 0 10 0 0 0 76
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 1 2 738
Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models 0 0 2 10 0 1 5 12
Extreme Value Theory Filtering Techniques for Outlier Detection 0 0 1 78 0 0 2 408
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 2 124
Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion 0 0 0 54 0 1 2 111
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 4 0 1 1 23
Portfolio Selection in Quantile Decision Models 1 1 3 11 1 1 4 28
Prediction intervals for Deep Neural Networks 0 0 1 25 0 0 3 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 the existence of clustering in the extreme values 0 0 0 64 0 0 2 193
Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry 0 0 1 64 0 1 2 130
The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation 0 0 0 30 0 1 3 97
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk 0 0 0 29 1 2 7 129
The impact of heavy tails and comovements in downside-risk diversification 0 0 0 4 0 0 1 48
The impact of heavy tails and comovements in downside-risk diversification 0 0 1 90 0 0 1 210
Threshold quantile autoregressive models 0 0 0 17 0 2 4 85
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 0 1 1 474
Total Working Papers 1 2 16 1,975 3 18 66 6,139

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 0 32
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences 0 0 0 28 0 0 0 91
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions 0 0 0 2 0 1 3 9
A panel data test for poverty traps 0 0 0 19 0 0 0 135
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 0 0 1 4 0 0 3 15
An analysis of price discovery between Bitcoin futures and spot markets 2 2 3 52 2 6 12 196
Analysis of Bitcoin prices using market and sentiment variables 0 0 4 13 2 5 15 47
Backtesting Parametric Value-at-Risk With Estimation Risk 1 1 5 129 1 1 8 315
Bank characteristics and the interbank money market: a distributional approach 0 0 0 19 0 1 1 76
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS 0 0 0 3 0 1 1 12
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S 0 0 0 22 0 0 1 86
Detecting the presence of insider trading via structural break tests 0 0 0 73 0 1 4 283
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective 0 0 1 10 0 0 1 26
Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach 0 0 0 10 0 0 0 26
Dynamic robust portfolio selection under market distress 0 0 1 2 0 1 3 6
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 0 0 4
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models 0 1 1 5 0 1 3 15
Financial integration in the United Arab Emirates Stock Markets 0 0 0 7 0 1 2 63
Forecasting daily return densities from intraday data: A multifractal approach 0 0 0 13 0 0 0 61
Forecasting the performance of hedge fund styles 0 0 0 40 0 0 2 152
Functional coefficient quantile regression model with time-varying loadings 0 0 1 2 0 1 3 4
Granger causality detection in high-dimensional systems using feedforward neural networks 0 0 2 6 0 2 4 24
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? 0 0 0 6 1 1 1 40
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 0 0 0 1 0 0 0 3
Investing in the size factor 0 0 2 8 0 1 6 29
Investor sentiment and bond risk premia 0 0 1 34 0 0 5 140
Machine Learning the Carbon Footprint of Bitcoin Mining 0 0 0 2 0 0 2 18
Modeling the spread of COVID‐19 in New York City 0 0 0 1 0 0 0 5
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS 0 0 2 8 0 0 2 49
Neural Network Models for Empirical Finance 0 0 0 7 0 1 1 23
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 1 2 26 0 2 5 90
Optimal asset allocation using a combination of implied and historical information 0 0 0 10 0 1 1 24
Optimal characteristic portfolios 0 0 1 2 0 2 5 8
Optimal currency carry trade strategies 0 0 0 48 1 1 3 152
Optimal portfolio allocation and asset centrality revisited 0 0 1 2 0 0 4 10
Optimal portfolio allocation using option‐implied information 0 0 1 5 0 1 4 24
Optimal portfolio choices using financial leverage 0 0 1 8 0 0 3 30
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction 0 0 0 18 1 2 4 146
Overnight News and Daily Equity Trading Risk Limits 0 0 0 4 0 0 0 28
Portfolio selection in quantile decision models 0 0 3 10 0 5 10 27
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 1 1 6 0 1 2 16
Robust Backtesting Tests for Value-at-risk Models 0 0 1 65 0 0 2 189
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data 0 0 2 13 0 2 6 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 2 5 14 0 2 7 40
Testing linearity against threshold effects: uniform inference in quantile regression 0 0 0 7 0 0 0 79
Tests of asset pricing with time‐varying factor loads 0 0 0 4 0 2 2 36
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 1 1 349
The size premium as a lottery 0 0 0 0 0 0 5 13
Threshold quantile autoregressive models 0 0 0 0 0 0 1 90
Unconventional monetary policies and the credit market 0 0 0 30 0 0 0 43
Uncovered Interest Parity: Are Empirical Rejections of It Valid? 0 0 0 0 1 1 1 67
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence 0 0 0 0 1 1 4 127
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic 0 2 7 28 0 3 18 60
Total Journal Articles 3 10 49 1,083 10 52 173 4,154

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Statistics updated 2025-04-04