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

18

DOWNLOADS
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2,420

SSRN CITATIONS
Rank 21,092

SSRN RANKINGS

Top 21,092

in Total Papers Citations

24

CROSSREF CITATIONS

14

Scholarly Papers (18)

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 875 (27,374)
Citation 10

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
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 258 (123,135)
Citation 7

Abstract:

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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 (170,232)
Citation 6

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 (192,273)
Citation 4

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 154 (198,617)
Citation 1

Abstract:

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

6.

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 139 (216,009)
Citation 1

Abstract:

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

7.

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 138 (217,251)
Citation 1

Abstract:

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

8.

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 130 (227,768)

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

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 (273,227)

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 95 (284,480)

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 71 (338,942)

Abstract:

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

12.

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 67 (349,749)

Abstract:

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

13.

Portfolio Selection in Quantile Utility Models

Number of pages: 57 Posted: 13 Dec 2019
Tippie College of Business, University of Arizona, City University of London and Universidad de Zaragoza
Downloads 23 (523,300)
Citation 1

Abstract:

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

14.

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 23 (523,300)

Abstract:

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

15.

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 (662,853)
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Nonlinear models, quantile regression, threshold models, C14, C22, C32, C50

16.

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 0 (691,973)
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17.

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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18.

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