José Olmo

Jose Olmo is currently on leave from Centro Universitario de la Defensa.


Updated information on his professional profile can be found at https://sites.google.com/site/joseolmobadenas/ 



 Publications:


26. – J. Gonzalo and J. Olmo (2013). Conditional Stochastic Dominance Tests in Dynamic Settings. Accepted in International Economic Review.


25.- A. Galvao, K. Kato, G. Montes-Rojas and J. Olmo (2013). A Uniform Test for Linearity in Quantile Regression. Accepted in Annals of the Institute of Statistical Mathematics.


24.- R. Laborda and J. Olmo (2013). Investor Sentiment and Excess Bond Returns. Journal of Financial Markets. In Press.


23.- M. Hallam and J. Olmo (2013). Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data. Forthcoming in Journal of Financial Econometrics.


22.- A. Dentler, G. Montes-Rojas and J. Olmo (2013). Endogeneity in threshold nonlinearity tests. Forthcoming in Communications in Statistics – Theory and Methods.


21.- A.M. Fuertes and J. Olmo (2013). Optimally Harnessing Inter-day and Intra-day Information for Daily Value-at-Risk Prediction. International Journal of Forecasting 29, 28-42.


20.- A. Galvao, G. Montes-Rojas and J. Olmo (2013). Panel Data Tests for Poverty Traps. Applied Economics, Vol. 45, 14, 1943-1952.


19.- Y. Cai, G. Montes-Rojas and J. Olmo (2013). Quantile Double AR Time Series Models for Financial Returns. Journal of Forecasting. Published online. DOI: 10.0002/for.2261


18.- A.M. Fuertes and J. Olmo (2012). Exploiting Intraday and Overnight Price Variation for Value-at-Risk Prediction. Frontiers in Finance and Economics, Vol. 9, 2, 1-31.


17- B. Kapar, R. Laborda and J. Olmo (2012). Long-Run Risk Dynamics, Instabilities and Breaks on European Credit Markets over a Crisis Period. Journal of Fixed Income, Fall, Vol. 22, 2, 31-43.


16.- J. Olmo and M. Sanso-Navarro (2012). Forecasting the Performance of Hedge Fund Styles. Journal of Banking and Finance 36, 2351-2365.


15.- O. Martínez and J. Olmo (2012). Nonlinear Threshold Models for the Dependence of Extremes of Stationary Sequences. Studies in Nonlinear Dynamics & Econometrics, Vol. 16, 3.


14.- J. Olmo, K. Pilbeam and W. Pouliot (2011). Detecting the Presence of Insider Trading via Structural Break Tests. Journal of Banking and Finance 35, 2820-2828.


13.- J. Olmo and W. Pouliot (2011). Early Detection Techniques for Market Risk Failure. Studies in Nonlinear Dynamics & Econometrics, Vol. 15, 4, Article 1.


12.- A. Galvao, G. Montes-Rojas and J. Olmo (2011). Threshold Quantile Autoregressive Models. Journal of Time Series Analysis, Vol. 32, 253-267.


11.-  J. Olmo and K. Pilbeam (2011). Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the Evidence. International Journal of Finance and Economics, Vol 16, 2, 189-204.


10.- J.C. Escanciano and J. Olmo (2011). Robust Backtesting Tests for Value-at-Risk. Journal of Financial Econometrics, Vol 9, 1, 132-161. 


9.- J. Olmo and K. Pilbeam (2011).The Forward Discount Puzzle and Market Efficiency. Annals of Finance, Vol 7, 1, 119-135.


8.- J. Olmo (2010). Downside Risk Asset Pricing Revisited: A New Nonlinear Threshold Model. Journal of Risk, Fall, Vol 13, 1, 62-83.


7.- J.C. Escanciano and J. Olmo (2010). Backtesting Parametric Value-at-Risk with Estimation Risk.  Journal of Business and Economic Statistics, Vol 28, 1, 36-51.


6.- J.C. Escanciano and J. Olmo (2009). Specification Tests in Parametric Value-at-Risk Models. Economica. Proceedings of the 1st International Financial Research Forum, Chapter 5, 29-46.


5.- A. Galvao, G. Montes-Rojas and J. Olmo (2009). Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate. Journal of Economic Asymmetries, Vol 6, 2, 69-82.


4.- J. Olmo and K. Pilbeam (2009). Are empirical rejections of UIP valid? Journal of Economic Integration 24 (2), 370-385.


3. - J. Olmo and K. Pilbeam (2008). The profitability of Carry Trades. Annals of Finance, Vol 5, 2, 231-241.


2.-  J. Olmo (2008). On the Role of Volatility for Modelling Risk Exposure. International Journal of Monetary Economics and Finance, Vol 1, 2, 219-234. 


1.- J. Gonzalo and J. Olmo  (2004). Which Extreme Values are Really Extreme? Journal of Financial Econometrics, 2 (3), 349-369. 



 Working Papers:


Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? (with Rafael Gonzalez-Val)


- Optimal Currency Carry Trade Strategies (with Juan Laborda and Ricardo Laborda)


- Trading Hours, Non-trading Hours and Daily Value-at-Risk Prediction for Equity Trading (with Katja Ahoniemi and A.M. Fuertes)  


- The Cross-Section of Interbank Rates: A Nonparametric Investigation (with Giulia Iori and Burcu Kapar)


- Unconventional Monetary Policies and the Bank Lending Channel (with Marcos Sanso-Navarro)


- Density Forecasts of Daily Financial Returns from Intraday Data Using Distributional Scaling: A Multifractal Approach (with Mark Hallam)


- Exchange Rates, Macroeconomic Fundamentals and Risk Aversion (with Ricardo Laborda)



Editorial Activities:


- Editorial board of International Journal of Monetary Economics and Finance.


- Editorial board of Journal of Management and Strategy.


- Referee for Agencia Nacional de Evaluación y Prospectiva (ANEP). (6 projects)


- Referee of Journal of Econometrics, Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Business and Economic Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Journal of Economic Behavior and Organization, Applied Financial Economics, Applied Economics, Scandinavian Journal of Statistics, Statistics and Probability Letters, Innovar, Journal of Forecasting, Computational Statistics and Data Analysis, Studies in Nonlinear Dynamics & Econometrics, Test, Economic Modelling, Journal of Banking and Finance, European Journal of Finance.



PRÓXIMOS EVENTOS

30 SEP
 
La Noche de los Investigadores Zaragoza 2016
 
14 SEP
 
Apertura del curso 2016-2017 en la Academia General Militar y el Centro Universitario de la Defensa
 
12 SEP
 
Inicio del Curso Avanzado de Ciberdefensa

10-30 MAY
 

8-29 MAY

Ciclo de conferencias "Los retos de la Unión Europea" organizado por el CUD de Zaragoza e Ibercaja Obra Social
 
26-27 ABR
I Ciclo de Conferencias de Liderazgo "Liderazgo y Gestión de Crisis y Conflictos"