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

31

DOWNLOADS
Rank 16,124

SSRN RANKINGS

Top 16,124

in Total Papers Downloads

5,629

SSRN CITATIONS
Rank 19,557

SSRN RANKINGS

Top 19,557

in Total Papers Citations

56

CROSSREF CITATIONS

9

Scholarly Papers (31)

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
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 978 (42,780)
Citation 12

Abstract:

Loading...

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

2.

Portfolio Selection Under Systemic Risk

Journal of Money, Credit and Banking, Forthcoming
Number of pages: 58 Posted: 01 Apr 2020 Last Revised: 06 Feb 2023
Neoma Business School, Universidad de Zaragoza and University of Liverpool Management School
Downloads 557 (89,807)
Citation 3

Abstract:

Loading...

Conditional Volatility Models, Portfolio Allocation, Sharpe Ratio, Systemic Risk, Conditional Tail Risk

3.

Optimal Characteristic Portfolios

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-6
Number of pages: 56 Posted: 13 Jul 2020 Last Revised: 20 Jul 2020
Richard McGee and Jose Olmo
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Universidad de Zaragoza
Downloads 345 (157,289)

Abstract:

Loading...

anomalies, portfolio sorts, size effect, value effect, momentum

4.

Portfolio Selection in Quantile Decision Models

Number of pages: 62 Posted: 13 Dec 2019 Last Revised: 06 Aug 2020
Tippie College of Business, Michigan State University, City University of London and Universidad de Zaragoza
Downloads 342 (158,752)
Citation 5

Abstract:

Loading...

Optimal asset allocation, Expected Utility, Quantile Utility, Portfolio Theory, Risk Attitude

5.

Robust Backtesting Tests for Value-at-Risk Models

Number of pages: 32 Posted: 24 Nov 2008
Juan Carlos Escanciano and Jose Olmo
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 324 (168,321)
Citation 9

Abstract:

Loading...

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

6.

Analysis of Bitcoin Prices Using Market and Sentiment Variables

The World Economy, 2020
Number of pages: 34 Posted: 03 Nov 2020
Burcu Kapar and Jose Olmo
American University in Dubai and Universidad de Zaragoza
Downloads 294 (186,499)

Abstract:

Loading...

Bitcoin Price, Co-Integration, Cryptocurrency, Factor Models, Permanent Transitory Decomposition

7.

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
Bayes Business School, City, University of London and Universidad de Zaragoza
Downloads 214 (255,100)
Citation 9

Abstract:

Loading...

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

8.

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, Bayes Business School, City, University of London and Universidad de Zaragoza
Downloads 206 (264,268)
Citation 5

Abstract:

Loading...

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

Joint Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 11 Nov 2020 Last Revised: 14 Sep 2023
Tippie College of Business, Michigan State University, City University of London and Universidad de Zaragoza
Downloads 149 (350,845)

Abstract:

Loading...

Quantile Preference, Risk Attitude, Elasticity of Intertemporal Substitution, Discount Factor, Experiment

Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 17 Nov 2022
Tippie College of Business, Michigan State University, University of Buenos Aires (UBA) and Universidad de Zaragoza
Downloads 42 (762,025)

Abstract:

Loading...

Quantile Preferences, Risk Attitude, Elasticity of Intertemporal Substitution, Discount Factor, Experiment

10.

The Size Premium As a Lottery

Number of pages: 38 Posted: 09 Nov 2018 Last Revised: 11 Jul 2019
Richard McGee and Jose Olmo
University College Dublin (UCD), College of Business and Law, UCD School of Business, Michael Smurfit Graduate School of Business, Students and Universidad de Zaragoza
Downloads 191 (282,908)
Citation 3

Abstract:

Loading...

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

11.

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
Bayes Business School, City, University of London and Universidad de Zaragoza
Downloads 180 (298,276)
Citation 1

Abstract:

Loading...

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

12.

Machine Learning the Carbon Footprint of Bitcoin Mining

Number of pages: 49 Posted: 06 Aug 2020
University of Southampton, University of Southampton and Universidad de Zaragoza
Downloads 177 (302,789)

Abstract:

Loading...

Machine Learning, Carbon Footprint, Cryptocurrencies, Now-casting, Feed-forward Neural Networks, Climate Change

13.

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 175 (305,807)
Citation 1

Abstract:

Loading...

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

14.

Tests of Asset Pricing with Time-Varying Factor Loads

Number of pages: 36 Posted: 20 Mar 2016 Last Revised: 04 Nov 2017
Michigan State University, City University of London and Universidad de Zaragoza
Downloads 161 (328,715)

Abstract:

Loading...

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

15.

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

Number of pages: 57 Posted: 14 Jun 2019 Last Revised: 11 Jun 2020
Ricardo Laborda Herrero and Jose Olmo
Centro Universitario de la Defensa de Zaragoza and Universidad de Zaragoza
Downloads 155 (339,318)

Abstract:

Loading...

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

16.

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
Bayes Business School, City, University of London and Universidad de Zaragoza
Downloads 140 (368,381)

Abstract:

Loading...

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

17.

A nonparametric spatial regression model using partitioning estimators

Number of pages: 53 Posted: 12 May 2020 Last Revised: 19 Dec 2022
Jose Olmo and Marcos Sanso-Navarro
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 130 (390,233)

Abstract:

Loading...

Spatial regression, partitioning estimators, interaction matrix, asymptotic theory, Environmental Engel curves.

18.

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 116 (425,231)

Abstract:

Loading...

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

19.

Granger Causality Detection in High-Dimensional Systems Using Feedforward Neural Networks

Number of pages: 62 Posted: 19 Mar 2020
University of Southampton, University of Southampton and Universidad de Zaragoza
Downloads 107 (451,225)
Citation 1

Abstract:

Loading...

Granger-causality, lasso penalty function, mutual information, neural networks, sparsity

20.

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 97 (483,234)

Abstract:

Loading...

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

21.

Experiments on Portfolio Selection: A Comparison between Quantile Preferences and Expected Utility Decision Models

Number of pages: 77 Posted: 11 May 2021
Tippie College of Business, Michigan State University, KDI School of Public Policy and Management, City University of London and Universidad de Zaragoza
Downloads 96 (486,597)
Citation 2

Abstract:

Loading...

22.

Optimal Deep Neural Networks by Maximization of the Approximation Power

Number of pages: 35 Posted: 12 May 2020 Last Revised: 11 Jun 2020
University of Southampton, University of Southampton and Universidad de Zaragoza
Downloads 91 (503,456)
Citation 3

Abstract:

Loading...

Deep neural networks, shallow networks, universal approximation theorem, ReLu activation function, Boston Housing dataset

23.

Modelling the Spread of COVID-19 in New York City

Number of pages: 33 Posted: 28 Oct 2020
Jose Olmo and Marcos Sanso-Navarro
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 70 (587,340)

Abstract:

Loading...

COVID-19, Poisson regression, Spatial effects, Bayesian model averaging, Prediction

24.

Paying or Being Paid to Be Green?

Number of pages: 38 Posted: 08 Feb 2023 Last Revised: 22 Apr 2023
University of Southampton, Universidad de Zaragoza and University of Southampton - Economics Division
Downloads 66 (605,861)

Abstract:

Loading...

Structural Equation Modeling, Environmental Pillar Score, Environmental Disclosure Score, Return on Assets

25.

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 53 (674,383)

Abstract:

Loading...

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

26.

Measuring and Testing Systemic Risk from the Cross Section of Stock Returns

Number of pages: 37 Posted: 28 Apr 2023
Jesus Gil-Jaime and Jose Olmo
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 52 (680,048)

Abstract:

Loading...

downside risk, goodness of fit, sequential limit theory, stochastic dominance test, systemic risk, Value at Risk

27.

A Simple Cointegration Test Robust to Serial Correlation

Number of pages: 56 Posted: 13 Sep 2022 Last Revised: 19 Dec 2022
Jose Olmo
Universidad de Zaragoza
Downloads 49 (704,134)

Abstract:

Loading...

Augmented Dickey-Fuller test, Engle-Granger cointegration, Phillips-Perron tests, asymptotic theory, unit roots, serial correlation.

28.
Downloads 43 (736,409)

Abstract:

Loading...

Series estimators, network regressions, Taylor expansion, asymptotic theory, carbon emissions, time series regressions.

29.

Estimation and Testing of Self-Reporting Heterogeneity in Self-Assessed Health Questions

Number of pages: 46 Posted: 06 Aug 2020
Emmanouil Mentzakis and Jose Olmo
University of Southampton and Universidad de Zaragoza
Downloads 29 (842,383)

Abstract:

Loading...

self-assessed health, reporting heterogeneity, structural equation model

30.

Machine Learning the Carbon Footprint of Bitcoin Mining

CEPR Discussion Paper No. DP16267
Number of pages: 52 Posted: 14 Jul 2021
University of Southampton - Economics Division, University of Southampton and Universidad de Zaragoza
Downloads 0 (1,097,668)
Citation 2
  • Add to Cart

Abstract:

Loading...

31.

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
Charles III University of Madrid - Department of Statistics and Econometrics and Universidad de Zaragoza

Abstract:

Loading...

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