Jose Olmo

Universidad de Zaragoza

ARAID Research Professor

Gran Via, 2

50005 Zaragoza, Zaragoza 50005

Spain

University of Southampton

Professor (part-time) of Financial Economics

Southampton

United Kingdom

SCHOLARLY PAPERS

17

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2,317

CITATIONS
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SSRN RANKINGS

Top 18,813

in Total Papers Citations

36

Scholarly Papers (17)

1.

Backtesting Parametric Value-at-Risk With Estimation Risk

CAEPR Working Paper No. 2007-005
Number of pages: 39 Posted: 22 Mar 2007 Last Revised: 05 Sep 2008
Juan Carlos Escanciano and Jose Olmo
Indiana University Bloomington - Department of Economics and Universidad de Zaragoza
Downloads 872 (26,192)
Citation 1

Abstract:

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Backtesting; Basel Accord; Conditional Quantile; Estimation Risk; Forecast evaluation; Fixed, rolling and recursive forecasting scheme; Risk management; Value at Risk

2.

Robust Backtesting Tests for Value-at-Risk Models

Number of pages: 32 Posted: 24 Nov 2008
Juan Carlos Escanciano and Jose Olmo
Indiana University Bloomington - Department of Economics and Universidad de Zaragoza
Downloads 254 (119,476)

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Backtesting, Basel Accord, Conditional Quantile, Forecast evaluation, Model Risk, Risk management, Value at Risk

3.

Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction

International Journal of Forecasting 29(1), 28-42
Number of pages: 34 Posted: 29 Feb 2012 Last Revised: 19 Dec 2013
Ana-Maria Fuertes and Jose Olmo
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 184 (162,818)
Citation 2

Abstract:

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Quantile regression, Optimal forecast combination, Encompassing, Conditional coverage, High-frequency data, Realized Variance

4.

Overnight News and Daily Equity Trading Risk Limits

Number of pages: 29 Posted: 23 May 2012 Last Revised: 10 Jan 2015
Imperial College Business School, Cass Business School, City University of London and Universidad de Zaragoza
Downloads 160 (184,002)
Citation 3

Abstract:

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Overnight, Price discovery, Realized volatility, Risk management, Value-at-Risk

5.

The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction

Number of pages: 34 Posted: 29 May 2012
Ana-Maria Fuertes and Jose Olmo
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 153 (191,118)
Citation 1

Abstract:

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Encompassing, High-frequency data, Model uncertainty, Realized volatility, Risk management

6.

Forecasting the Performance of Hedge Fund Styles

Number of pages: 56 Posted: 22 Sep 2011 Last Revised: 16 Apr 2012
Jose Olmo and Marcos Sanso-Navarro
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 136 (210,331)
Citation 1

Abstract:

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Conditional density estimation, hedge fund styles, nonparametric methods, portfolio performance, stochastic dominance tests

7.

Tests of Asset Pricing with Time-Varying Factor Loads

Number of pages: 36 Posted: 20 Mar 2016 Last Revised: 04 Nov 2017
University of Arizona, City University of London and Universidad de Zaragoza
Downloads 129 (219,312)

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Asset pricing theories, realized measures, slope homogeneity tests, stochastic discount factor, two-pass regressions.

8.

The Size Premium As a Lottery

Number of pages: 38 Posted: 09 Nov 2018 Last Revised: 11 Jul 2019
Richard McGee and Jose Olmo
Smurfit Business School and Universidad de Zaragoza
Downloads 123 (227,345)

Abstract:

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size effect, lottery, asset pricing, industry momentum, monotonicity tests, risk factors, ranked sorted portfolios

9.

Exploiting Intraday and Overnight Price Variation for Daily VaR Prediction

Frontiers in Finance and Economics, Vol. 9, No. 2, 1-31
Number of pages: 31 Posted: 18 Dec 2012
Ana-Maria Fuertes and Jose Olmo
Cass Business School, City University of London and Universidad de Zaragoza
Downloads 101 (261,723)

Abstract:

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Encompassing, High-frequency data, Model uncertainty, Realized volatility

10.

Unconventional Monetary Policies and the Credit Market

Number of pages: 31 Posted: 14 Apr 2013 Last Revised: 20 Dec 2014
Jose Olmo and Marcos Sanso-Navarro
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 93 (276,263)

Abstract:

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Bank profit maximization, credit interest rate, optimal credit supply, un-conventional monetary policy

11.

Exchange Rates, Macroeconomic Fundamentals and Risk Aversion

Number of pages: 24 Posted: 12 Jan 2011 Last Revised: 12 Mar 2011
Jose Olmo and Ricardo Laborda Herrero
Universidad de Zaragoza and Independent
Downloads 70 (327,316)

Abstract:

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Foreign Exchange Markets, International Bond Markets, Uncovered Interest Parity Condition

12.

Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?

XREAP No. 2011-21
Number of pages: 47 Posted: 15 Dec 2011
Rafael González-Val and Jose Olmo
University of Zaragoza - Faculty of Business and Economics and Universidad de Zaragoza
Downloads 21 (512,982)

Abstract:

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threshold nonlinearity test, locational fundamentals, multiple equilibria, random growth

13.

Hedging Demand in Long-Term Asset Allocation With an Application to Carry Trade Strategies

Number of pages: 50 Posted: 14 Jun 2019
Ricardo Laborda Herrero and Jose Olmo
Centro Universitario de la Defensa de Zaragoza and Universidad de Zaragoza
Downloads 19 (524,609)

Abstract:

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currency carry trade, hedging demand, parametric portfolio policy rules, strategic asset allocation, state variables

14.

Threshold Quantile Autoregressive Models

Journal of Time Series Analysis, Vol. 32, Issue 3, pp. 253-267, 2011
Number of pages: 15 Posted: 12 Apr 2011
University of Arizona, City University of London and Universidad de Zaragoza
Downloads 2 (635,562)
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Nonlinear models, quantile regression, threshold models, C14, C22, C32, C50

15.

Differences between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 1, pp. 42-61, 2019
Number of pages: 20 Posted: 11 Jan 2019
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
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16.

Conditional Stochastic Dominance Tests in Dynamic Settings

International Economic Review, Vol. 55, Issue 3, pp. 819-838, 2014
Number of pages: 20 Posted: 30 Jul 2014
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
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17.

Which Extreme Values are Really Extreme?

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 349-369, 2004
Posted: 29 Feb 2008
Jesús Gonzalo and Jose Olmo
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad de Zaragoza

Abstract:

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bootstrap, extreme values, goodness-of-fit test, Hill estimator, Pickands theorem, VaR