.
Olmo, Jose's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 1,470
Total Citations 16
1.
Escanciano, Juan Carlos Indiana University Bloomington - Department of Economics
Olmo, Jose City University London - Department of Economics
Posted:
22 Mar 07
Last Revised:
05 Sep 08
691(16,290)
6
Backtesting; Basel Accord; Conditional Quantile; Estimation Risk; Forecast evaluation; Fixed, rolling and recursive forecasting scheme; Risk management; Value at Risk
2.
Escanciano, Juan Carlos Indiana University Bloomington - Department of Economics
Olmo, Jose City University London - Department of Economics
196(76,251)
4
Backtesting, Basel Accord, Conditional Quantile, Forecast evaluation, Model Risk, Risk management, Value at Risk
3.
Fuertes, Ana-Maria Cass Business School, City University London
Olmo, Jose City University London - Department of Economics
Posted:
29 Feb 12
Last Revised:
06 May 12
99(136,077)
2
Quantile regression, Optimal forecast combination, Encompassing, Conditional coverage, High-frequency data, Realized Variance
4.
Fuertes, Ana-Maria Cass Business School, City University London
Olmo, Jose City University London - Department of Economics
94(140,919)
1
Encompassing, High-frequency data, Model uncertainty, Realized volatility, Risk management
5.
Galvao, Antonio University of Iowa
Montes-Rojas, Gabriel City University of London
Olmo, Jose City University London - Department of Economics
89(146,170)
6.
Olmo, Jose City University London - Department of Economics
Sanso-Navarro, Marcos Universidad de Zaragoza
Posted:
22 Sep 11
Last Revised:
16 Apr 12
84(151,591)
Conditional density estimation, hedge fund styles, nonparametric methods, portfolio performance, stochastic dominance tests
7.
Ahoniemi, Katja Imperial College Business School
Fuertes, Ana-Maria Cass Business School, City University London
Olmo, Jose City University London - Department of Economics
Posted:
23 May 12
Last Revised:
19 Jul 12
76(162,540)
1
Overnight, Price discovery, Realized volatility, Risk management, Value-at-Risk
8.
Olmo, Jose City University London - Department of Economics
Herrero, Ricardo Laborda affiliation not provided to SSRN
Posted:
12 Jan 11
Last Revised:
12 Mar 11
52(196,850)
Foreign Exchange Markets, International Bond Markets, Uncovered Interest Parity Condition
9.
Fuertes, Ana-Maria Cass Business School, City University London
Olmo, Jose City University London - Department of Economics
34(233,028)
Encompassing, High-frequency data, Model uncertainty, Realized volatility
10.
Olmo, Jose City University London - Department of Economics
34(233,028)
Clustering of extremes, Extremal index, Extreme value theory, Order statistics
11.
González-Val, Rafael affiliation not provided to SSRN
Olmo, Jose City University London - Department of Economics
10(310,192)
threshold nonlinearity test, locational fundamentals, multiple equilibria, random growth
12.
Olmo, Jose City University London - Department of Economics
Sanso-Navarro, Marcos Universidad de Zaragoza
9(313,414)
Equilibrium model, Unconventional monetary policies, Transmission mechanisms, Structural change, VECM
13.
Galvao, Antonio University of Iowa
Montes-Rojas, Gabriel City University of London
Olmo, Jose City University London - Department of Economics
2(335,682)
2
Nonlinear models, quantile regression, threshold models, C14, C22, C32, C50
14.
Gonzalo, Jesús Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Olmo, Jose City University London - Department of Economics
bootstrap, extreme values, goodness-of-fit test, Hill estimator, Pickands theorem, VaR
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