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Jose Olmo
Jose Olmo
ARAID Research Professor, Universidad de Zaragoza
Verified email at unizar.es - Homepage
Title
Cited by
Cited by
Year
Backtesting parametric value-at-risk with estimation risk
JC Escanciano, J Olmo
Journal of Business & Economic Statistics 28 (1), 36-51, 2010
1672010
An analysis of price discovery between Bitcoin futures and spot markets
B Kapar, J Olmo
Economics Letters 174, 62-64, 2019
1192019
Robust backtesting tests for value-at-risk models
JC Escanciano, J Olmo
Journal of Financial Econometrics 9 (1), 132-161, 2011
832011
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic
R Laborda, J Olmo
Research in International Business and Finance 57, 101402, 2021
772021
Investor sentiment and bond risk premia
R Laborda, J Olmo
Journal of Financial Markets 18, 206-233, 2014
732014
Contagion versus flight to quality in financial markets
J Gonzalo, J Olmo
662005
Threshold quantile autoregressive models
AF Galvao Jr, G Montes‐Rojas, J Olmo
Journal of Time Series Analysis 32 (3), 253-267, 2011
632011
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
592013
Which extreme values are really extreme?
J Gonzalo, J Olmo
Journal of Financial Econometrics 2 (3), 349-369, 2004
592004
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
442011
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
402011
Analysis of Bitcoin prices using market and sentiment variables
B Kapar, J Olmo
The World Economy 44 (1), 45-63, 2021
382021
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, 413-439, 2014
342014
Overnight news and daily equity trading risk limits
K Ahoniemi, AM Fuertes, J Olmo
Journal of Financial Econometrics 14 (3), 525-551, 2016
282016
Optimal currency carry trade strategies
J Laborda, R Laborda, J Olmo
International Review of Economics & Finance 33, 52-66, 2014
272014
The profitability of carry trades
J Olmo, K Pilbeam
Annals of Finance 5, 231-241, 2009
232009
The forward discount puzzle and market efficiency
K Pilbeam, J Olmo
Annals of Finance 7, 119-135, 2011
202011
Conditional stochastic dominance tests in dynamic settings
J Gonzalo, J Olmo
International Economic Review 55 (3), 819-838, 2014
192014
Semiparametric density forecasts of daily financial returns from intraday data
M Hallam, J Olmo
Journal of Financial Econometrics 12 (2), 408-432, 2013
182013
Estimation risk effects on backtesting for parametric value-at-risk models
JC Escanciano, J Olmo
Center for Applied Economics and Policy Research, 2008
182008
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