Jose Olmo
Jose Olmo
ARAID Research Professor, Universidad de Zaragoza
Verified email at unizar.es - Homepage
TitleCited byYear
Backtesting parametric value-at-risk with estimation risk
JC Escanciano, J Olmo
Journal of Business & Economic Statistics 28 (1), 36-51, 2010
992010
Robust backtesting tests for value-at-risk models
JC Escanciano, J Olmo
Journal of Financial Econometrics 9 (1), 132-161, 2010
572010
Contagion versus flight to quality in financial markets
J Gonzalo, J Olmo
562005
Which extreme values are really extreme?
J Gonzalo, J Olmo
Journal of Financial Econometrics 2 (3), 349-369, 2004
522004
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
AM Fuertes, J Olmo
International Journal of Forecasting 29 (1), 28-42, 2013
432013
Threshold quantile autoregressive models
AF Galvao Jr, G Montes‐Rojas, J Olmo
Journal of Time Series Analysis 32 (3), 253-267, 2011
392011
Investor sentiment and bond risk premia
R Laborda, J Olmo
Journal of Financial Markets 18, 206-233, 2014
332014
Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence
J Olmo, K Pilbeam
International Journal of Finance & Economics 16 (2), 189-204, 2011
282011
Detecting the presence of insider trading via structural break tests
J Olmo, K Pilbeam, W Pouliot
Journal of Banking & Finance 35 (11), 2820-2828, 2011
252011
The profitability of carry trades
J Olmo, K Pilbeam
Annals of Finance 5 (2), 231-241, 2009
182009
Estimation risk effects on backtesting for parametric value-at-risk models
JC Escanciano, J Olmo
Center for Applied Economics and Policy Research, 2008
182008
An analysis of price discovery between Bitcoin futures and spot markets
B Kapar, J Olmo
Economics Letters 174, 62-64, 2019
172019
Testing linearity against threshold effects: uniform inference in quantile regression
AF Galvao, K Kato, G Montes-Rojas, J Olmo
Annals of the Institute of Statistical Mathematics 66 (2), 413-439, 2014
172014
Overnight news and daily equity trading risk limits
K Ahoniemi, AM Fuertes, J Olmo
Journal of Financial Econometrics 14 (3), 525-551, 2015
162015
Optimal currency carry trade strategies
J Laborda, R Laborda, J Olmo
International Review of Economics & Finance 33, 52-66, 2014
162014
The forward discount puzzle and market efficiency
K Pilbeam, J Olmo
Annals of Finance 7 (1), 119-135, 2011
162011
Semiparametric density forecasts of daily financial returns from intraday data
M Hallam, J Olmo
Journal of Financial Econometrics 12 (2), 408-432, 2013
142013
Bank characteristics and the interbank money market: a distributional approach
G Iori, B Kapar, J Olmo
Studies in Nonlinear Dynamics & Econometrics 19 (3), 249-283, 2015
132015
Conditional stochastic dominance tests in dynamic settings
J Gonzalo, J Olmo
International Economic Review 55 (3), 819-838, 2014
102014
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the US
J Olmo, M Sanso-Navarro
Economic Modelling 48, 155-166, 2015
82015
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