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

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Top 16,743

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4,309

SSRN CITATIONS
Rank 19,663

SSRN RANKINGS

Top 19,663

in Total Papers Citations

36

CROSSREF CITATIONS

16

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 908 (36,896)
Citation 12

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.

Portfolio Selection Under Systemic Risk

Number of pages: 58 Posted: 01 Apr 2020 Last Revised: 14 Feb 2022
Durham University, Universidad de Zaragoza and University of Liverpool Management School
Downloads 421 (98,222)
Citation 1

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

3.

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 273 (157,112)
Citation 9

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

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 264 (162,506)
Citation 4

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

5.

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
Smurfit Business School and Universidad de Zaragoza
Downloads 239 (179,090)

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

6.

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 193 (218,473)
Citation 8

Abstract:

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

7.

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 184 (227,731)

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

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 176 (236,605)
Citation 5

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

9.

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 164 (251,068)
Citation 3

Abstract:

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

10.

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 162 (253,737)
Citation 1

Abstract:

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

11.

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 147 (274,621)
Citation 1

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

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 145 (277,610)

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

13.

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 141 (283,699)

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

14.

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 126 (309,068)

Abstract:

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

15.

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 110 (340,357)

Abstract:

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

16.

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 96 (372,158)

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

17.

Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 11 Nov 2020 Last Revised: 14 Jul 2022
Tippie College of Business, Michigan State University, City University of London and Universidad de Zaragoza
Downloads 91 (384,833)

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

18.

A Network Regression Model With an Estimated Interaction Matrix

Number of pages: 59 Posted: 12 May 2020 Last Revised: 04 Apr 2022
Jose Olmo and Marcos Sanso-Navarro
Universidad de Zaragoza and Universidad de Zaragoza
Downloads 87 (395,504)

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Network regression, series estimators, interaction matrix, asymptotic theory, Environmental Engel curves.

19.

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 77 (424,817)

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

20.

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, University of Arizona, City University of London and Universidad de Zaragoza
Downloads 67 (457,691)

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21.

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 66 (461,123)

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

22.

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 51 (520,350)

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

23.

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 51 (520,350)
Citation 2

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

24.

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 27 (649,908)

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

25.

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 21 (694,506)

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self-assessed health, reporting heterogeneity, structural equation model

26.
Downloads 12 (771,305)

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

27.

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
Michigan State University, City University of London and Universidad de Zaragoza
Downloads 5 (841,300)
Citation 1

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Nonlinear models, quantile regression, threshold models, C14, C22, C32, C50

28.

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
Downloads 3 (877,419)

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29.

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
Downloads 2 (877,419)

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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 (908,664)
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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
Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad de Zaragoza

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