Jose Olmo
Names
Identifer
Contact
Affiliations
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University of Southampton
/ Economics Division (weight: 20%)
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Universidad de Zaragoza
/ Facultad de Economía y Empresa (weight: 80%)
Research profile
author of:
- Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models (RePEc:aep:anales:4494)
by Gabriel Montes Rojas & Luciano De Castro & Antonio Galvao & José Olmo & Kim Jeong Yeol - Experiments On Portfolio Selection: A Comparison Between Quantile Preferences And Expected Utility Decision Models (RePEc:ake:iiepdt:202168)
by Gabriel Montes-Rojas & Luciano de Castro & Antonio F. Galvao & Jeong Yeol Kim & José Olmo - Portfolio Selection in Quantile Decision Models (RePEc:aoz:wpaper:11)
by Luciano De Castro & Antonio F. Galvao & Gabriel Montes Rojas & José Olmo - Prediction intervals for Deep Neural Networks (RePEc:arx:papers:2010.04044)
by Tullio Mancini & Hector Calvo-Pardo & Jose Olmo - Backtesting Parametric Value-at-Risk With Estimation Risk (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:36-51)
by Escanciano, J. Carlos & Olmo, Jose - Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry (RePEc:bir:birmec:14-02)
by Jose Olmo & William Pouliot - Optimal portfolio choices using financial leverage (RePEc:bla:buecrs:v:72:y:2020:i:2:p:146-166)
by Ricardo Laborda & Jose Olmo - On solving endogeneity with invalid instruments: an application to investment equations (RePEc:bla:jorssa:v:181:y:2018:i:3:p:689-716)
by Antonio F. Galvao & Gabriel Montes–Rojas & Jose Olmo & Suyong Song - Environmental Engel curves: A neural network approach (RePEc:bla:jorssc:v:71:y:2022:i:5:p:1543-1568)
by Tullio Mancini & Hector Calvo‐Pardo & Jose Olmo - Threshold quantile autoregressive models (RePEc:bla:jtsera:v:32:y:2011:i:3:p:253-267)
by Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo - A nonparametric predictive regression model using partitioning estimators based on Taylor expansions (RePEc:bla:jtsera:v:44:y:2023:i:3:p:294-318)
by Jose Olmo - Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective (RePEc:bla:obuest:v:81:y:2019:i:1:p:42-61)
by Jesus Gonzalo & Jose Olmo - Modeling the spread of COVID‐19 in New York City (RePEc:bla:presci:v:100:y:2021:i:5:p:1209-1229)
by Jose Olmo & Marcos Sanso‐Navarro - Analysis of Bitcoin prices using market and sentiment variables (RePEc:bla:worlde:v:44:y:2021:i:1:p:45-63)
by Burcu Kapar & Jose Olmo - Early Detection Techniques for Market Risk Failure (RePEc:bpj:sndecm:v:15:y:2011:i:4:n:1)
by Olmo Jose & Pouliot William - A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences (RePEc:bpj:sndecm:v:16:y:2012:i:3:n:3)
by Martinez Oscar & Olmo Jose - Bank characteristics and the interbank money market: a distributional approach (RePEc:bpj:sndecm:v:19:y:2015:i:3:p:249-283:n:6)
by Iori Giulia & Kapar Burcu & Olmo Jose - Machine Learning the Carbon Footprint of Bitcoin Mining (RePEc:cpr:ceprdp:16267)
by Calvo Pardo, Héctor & Olmo, Jose & Mancini, Tullio - Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion (RePEc:cte:werepe:23599)
by Gonzalo, Jesús & Olmo, José - Testing the existence of clustering in the extreme values (RePEc:cte:werepe:we051809)
by Olmo, José - Contagion versus flight to quality in financial markets (RePEc:cte:werepe:we051810)
by Gonzalo, Jesús & Olmo, José - Testing downside risk efficiency under market distress (RePEc:cte:werepe:we084321)
by Gonzalo, Jesús & Olmo, José - Downside Risk Efficiency Under Market Distress (RePEc:cte:werepe:we094423)
by Gonzalo, Jesús & Olmo, José - Conditional stochastic dominance tests in dynamic settings (RePEc:cte:werepe:we1029)
by Gonzalo, Jesús & Olmo, José - Conditional stochastic dominance tests in dynamic settings (RePEc:cte:werepe:we1205)
by Gonzalo, Jesús & Olmo, José - The impact of heavy tails and comovements in downside-risk diversification (RePEc:cte:werepe:we20070208)
by Gonzalo, Jesús & Olmo, José - A new family of estimators for the extremal index (RePEc:cty:dpaper:06/01)
by Olmo, J. - An asset pricing model for mean-variance-downside-risk averse investors (RePEc:cty:dpaper:07/01)
by Olmo, J. - The impact of heavy tails and comovements in downside-risk diversification (RePEc:cty:dpaper:07/02)
by Gonzalo, J. & Olmo, J. - A resolution of the forward discount puzzle (RePEc:cty:dpaper:07/10)
by Olmo, J. & Pilbeam, K. - Estimation risk effects on backtesting for parametric value-at-risk models (RePEc:cty:dpaper:07/11)
by Escanciano, J. C. & Olmo, J. - A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences (RePEc:cty:dpaper:08/08)
by Martinez, O. & Olmo, J. - Early Detection Techniques for Market Risk Failure (RePEc:cty:dpaper:08/09)
by Olmo, J. & Pouliot, W. - Testing Downside Risk Efficiency Under Market Distress (RePEc:cty:dpaper:08/11)
by Gonzalo, J. & Olmo, J. - U-statistic Type Tests for Structural Breaks in Linear Regression Models (RePEc:cty:dpaper:08/15)
by Pouliot, W. & Olmo, J. - Threshold quantile autoregressive models (RePEc:cty:dpaper:09/05)
by Galvao Jr, A. F. & Montes-Rojas, G. & Olmo, J. - Extreme Value Theory Filtering Techniques for Outlier Detection (RePEc:cty:dpaper:09/09)
by Olmo, J. - Detecting the Presence of Informed Price Trading Via Structural Break Tests (RePEc:cty:dpaper:09/10)
by Olmo, J. & Pilbeam, K. & Pouliot, W. - The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk (RePEc:cty:dpaper:11/02)
by Kapar, B. & Olmo, J. - The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation (RePEc:cty:dpaper:12/03)
by Iori, G. & Kapar, B. & Olmo, J. - Which Extreme Values are Really Extremes? (RePEc:ecm:nawm04:144)
by Jose Olmo & Jesus Gonzalo - Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S (RePEc:eee:ecmode:v:48:y:2015:i:c:p:155-166)
by Olmo, Jose & Sanso-Navarro, Marcos - Dynamic robust portfolio selection under market distress (RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602)
by Jiang, Yifu & Olmo, Jose & Atwi, Majed - An analysis of price discovery between Bitcoin futures and spot markets (RePEc:eee:ecolet:v:174:y:2019:i:c:p:62-64)
by Kapar, Burcu & Olmo, Jose - Optimal asset allocation using a combination of implied and historical information (RePEc:eee:finana:v:67:y:2020:i:c:s1057521918307774)
by Cheang, Chi Wan & Olmo, Jose & Ma, Tiejun & Sung, Ming-Chien & McGroarty, Frank - Financial integration in the United Arab Emirates Stock Markets (RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300492)
by Kapar, Burcu & Olmo, Jose & Ghalayini, Rim - Investor sentiment and bond risk premia (RePEc:eee:finmar:v:18:y:2014:i:c:p:206-233)
by Laborda, Ricardo & Olmo, Jose - Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction (RePEc:eee:intfor:v:29:y:2013:i:1:p:28-42)
by Fuertes, Ana-Maria & Olmo, Jose - Forecasting daily return densities from intraday data: A multifractal approach (RePEc:eee:intfor:v:30:y:2014:i:4:p:863-881)
by Hallam, Mark & Olmo, Jose - Optimal asset allocation for strategic investors (RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987)
by Laborda, Ricardo & Olmo, Jose - Granger causality detection in high-dimensional systems using feedforward neural networks (RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940)
by Calvo-Pardo, Hector & Mancini, Tullio & Olmo, Jose - Detecting the presence of insider trading via structural break tests (RePEc:eee:jbfina:v:35:y:2011:i:11:p:2820-2828)
by Olmo, Jose & Pilbeam, Keith & Pouliot, William - Forecasting the performance of hedge fund styles (RePEc:eee:jbfina:v:36:y:2012:i:8:p:2351-2365)
by Olmo, José & Sanso-Navarro, Marcos - Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate (RePEc:eee:joecas:v:6:y:2009:i:2:p:69-82)
by Galvao, Antonio F. & Montes-Rojas, Gabriel & Olmo, Jose - Optimal currency carry trade strategies (RePEc:eee:reveco:v:33:y:2014:i:c:p:52-66)
by Laborda, Juan & Laborda, Ricardo & Olmo, Jose - Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic (RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000234)
by Laborda, Ricardo & Olmo, Jose - Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models (RePEc:eee:soceco:v:97:y:2022:i:c:s2214804321001610)
by Castro, Luciano de & Galvao, Antonio F. & Kim, Jeong Yeol & Montes-Rojas, Gabriel & Olmo, Jose - A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index (RePEc:gam:jecnmx:v:3:y:2015:i:3:p:633-653:d:55020)
by Jose Olmo - Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS (RePEc:gam:jeners:v:11:y:2018:i:11:p:3148-:d:182707)
by M. Angeles Carnero & Jose Olmo & Lorenzo Pascual - Neural Network Models for Empirical Finance (RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:265-:d:437692)
by Hector F. Calvo-Pardo & Tullio Mancini & Jose Olmo - Machine Learning the Carbon Footprint of Bitcoin Mining (RePEc:gam:jjrfmx:v:15:y:2022:i:2:p:71-:d:742638)
by Hector F. Calvo-Pardo & Tullio Mancini & Jose Olmo - On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? (RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912)
by Ana-Maria Fuertes & Jose Olmo - On the role of volatility for modelling risk exposure (RePEc:ids:ijmefi:v:1:y:2008:i:2:p:219-234)
by Jose Olmo - Unconventional monetary policies and the credit market (RePEc:ids:ijmefi:v:11:y:2018:i:5:p:480-498)
by Jose Olmo & Marcos Sanso-Navarro - Growth in a cross-section of cities: location, increasing returns or random growth? (RePEc:ieb:wpaper:doc2011-39)
by Rafael González-Val & Jose Olmo - Backtesting Parametric Value-at-Risk with Estimation Risk (RePEc:inu:caeprp:2007005)
by Juan Carlos Escanciano & Jose Olmo - Portfolio selection in quantile decision models (RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00405-4)
by Luciano de Castro & Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo - The profitability of carry trades (RePEc:kap:annfin:v:5:y:2009:i:2:p:231-241)
by Jose Olmo & Keith Pilbeam - The forward discount puzzle and market efficiency (RePEc:kap:annfin:v:7:y:2011:i:1:p:119-135)
by Keith Pilbeam & Jose Olmo - Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data (RePEc:oup:jfinec:v:12:y:2014:i:2:p:408-432.)
by Mark Hallam & Jose Olmo - Overnight News and Daily Equity Trading Risk Limits (RePEc:oup:jfinec:v:14:y:2016:i:3:p:525-551.)
by Katja Ahoniemi & Ana-Maria Fuertes & Jose Olmo - Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns (RePEc:oup:jfinec:v:16:y:2018:i:2:p:211-243.)
by Antonio F Galvao & Ted Juhl & Gabriel Montes-Rojas & Jose Olmo - Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies
[Variable Selection for Portfolio Choice] (RePEc:oup:jfinec:v:20:y:2022:i:3:p:472-504.)
by Ricardo Laborda & Jose Olmo - Robust Backtesting Tests for Value-at-risk Models (RePEc:oup:jfinec:v:9:y:2011:i:1:p:132-161)
by J. Carlos Escanciano & Jose Olmo - A Statistical Test of City Growth: Location, Increasing Returns and Random Growth (RePEc:pra:mprapa:27139)
by González-Val, Rafael & Olmo, Jose - Uncovered Interest Parity: Are Empirical Rejections of It Valid? (RePEc:ris:integr:0478)
by Olmo, Jose & Pilbeam, Keith - Testing linearity against threshold effects: uniform inference in quantile regression (RePEc:spr:aistmt:v:66:y:2014:i:2:p:413-439)
by Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo - A panel data test for poverty traps (RePEc:taf:applec:45:y:2013:i:14:p:1943-1952)
by Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo - An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain (RePEc:taf:defpea:v:32:y:2021:i:1:p:68-86)
by Ricardo Laborda & Jose Olmo - The size premium as a lottery (RePEc:taf:eurjfi:v:27:y:2021:i:1-2:p:158-177)
by Richard J. McGee & Jose Olmo - Investing in the size factor (RePEc:taf:quantf:v:16:y:2016:i:1:p:85-100)
by Juan Laborda & Ricardo Laborda & Jose Olmo - Statistical tests of distributional scaling properties for financial return series (RePEc:taf:quantf:v:18:y:2018:i:7:p:1211-1232)
by Mark Hallam & Jose Olmo - Optimal portfolio allocation and asset centrality revisited (RePEc:taf:quantf:v:21:y:2021:i:9:p:1475-1490)
by Jose Olmo - Optimal characteristic portfolios (RePEc:taf:quantf:v:22:y:2022:i:10:p:1853-1870)
by Richard J. McGee & Jose Olmo - Functional coefficient quantile regression model with time-varying loadings (RePEc:taf:recsxx:v:26:y:2023:i:1:p:2167151)
by Alev Atak & Gabriel Montes-Rojas & Jose Olmo - Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth? (RePEc:taf:specan:v:10:y:2015:i:2:p:230-261)
by Rafael Gonz�lez-Val & Jose Olmo - A nonlinear threshold model for the dependence of extremes of stationary sequences (RePEc:urv:wpaper:2072/5361)
by Martínez Ibáñez, Oscar & Olmo, José - Conditional Stochastic Dominance Tests In Dynamic Settings (RePEc:wly:iecrev:v:55:y:2014:i:3:p:819-838)
by Jesus Gonzalo & Jose Olmo - Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence (RePEc:wly:ijfiec:v:16:y:2011:i:2:p:189-204)
by Jose Olmo & Keith Pilbeam - Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach (RePEc:wly:ijfiec:v:23:y:2018:i:2:p:79-93)
by Matthew Lyon & Jose Olmo - Tests of asset pricing with time‐varying factor loads (RePEc:wly:japmet:v:34:y:2019:i:5:p:762-778)
by Antonio F. Galvao & Gabriel Montes‐Rojas & Jose Olmo - Quantile Double AR Time Series Models for Financial Returns (RePEc:wly:jforec:v:32:y:2013:i:6:p:551-560)
by Yuzhi Cai & Gabriel Montes‐Rojas & Jose Olmo - Optimal portfolio allocation using option‐implied information (RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285)
by Maria Kyriacou & Jose Olmo & Marius Strittmatter - Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? (RePEc:xrp:wpaper:xreap2011-21)
by Rafael González-Val & Jose Olmo