← All authors José Olmo University of Southampton (from arXiv:2010.04044, 2020) · ORCID · OpenAlex
78 papers in scope · 77 published · 1 on the econ.EM arXiv · 1,165 citations · h-index 17 (over the papers listed here)
Papers (1 of 78)
Testing for Nontrivial Cointegration
published 2026 · Journal of Business and Economic Statistics · 1 citations
High-dimensional multi-period portfolio allocation using deep reinforcement learning
published 2025 · International Review of Economics & Finance · 8 citations
with Yifu Jiang, Majed Atwi
A novel test of economic convergence in time series
published 2025 · Empirical Economics · first circulated 2022
A causal analysis of environmental and financial performance: Differences between brown and green firms
published 2024 · Economic Modelling · 7 citations
Implantación de un modelo de clasificación telefónica en el SUMMA112 de la Comunidad de Madrid
published 2024 · Tesela Liderazgo y Gestión
with Z González, Julia De la Figuera Bayón, Enrique Claudio Romo, César Cardenete Reyes
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns
published 2024 · Journal of Financial Econometrics · first circulated 2023
with Jesús Gil Jaime, Jesus Gil-Jaime
Dynamic robust portfolio selection under market distress
published 2023 · The North American Journal of Economics and Finance · 3 citations
with Yifu Jiang, Majed Atwi
Joint elicitation of elasticity of intertemporal substitution, risk and time preferences
published 2023 · International Journal of Finance & Economics · 4 citations
Optimal deep neural networks by maximization of the approximation power
published 2023 · Computers & Operations Research · 10 citations · first circulated 2020
Portfolio Selection under Systemic Risk
published 2023 · Journal of money credit and banking · 17 citations · first circulated 2020
A nonparametric spatial regression model using partitioning estimators
published 2023 · Econometrics and Statistics · 1 citations
with Marcos Sanso-Navarro
Functional coefficient quantile regression model with time-varying loadings
published 2023 · Journal of Applied Economics · 1 citations
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions
published 2022 · Journal of Time Series Analysis · 1 citations
Environmental Engel Curves: A Neural Network Approach
published 2022 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 1 citations
Optimal characteristic portfolios
published 2022 · Quantitative Finance · 6 citations · first circulated 2020
with Richard McGee
Portfolio selection in quantile decision models
published 2022 · Annals of Finance · 15 citations
Machine Learning the Carbon Footprint of Bitcoin Mining
published 2022 · Journal of risk and financial management · 18 citations · first circulated 2020
Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models
published 2022 · Journal of Behavioral and Experimental Economics · 5 citations · first circulated 2019
Extremely randomized neural networks for constructing prediction intervals
published 2021 · Neural Networks · 16 citations
Optimal portfolio allocation and asset centrality revisited
published 2021 · Quantitative Finance · 14 citations
Modeling the spread of COVID‐19 in New York City
published 2021 · Papers of the Regional Science Association · 16 citations · first circulated 2020
with Marcos Sanso-Navarro
Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic
published 2021 · Research in International Business and Finance · 115 citations
with Ricardo Laborda
Optimal portfolio allocation using option‐implied information
published 2020 · Journal of Futures Markets · 2 citations
with Maria Kyriacou, Marius Strittmatter
Granger causality detection in high-dimensional systems using feedforward neural networks
published 2020 · International Journal of Forecasting · 13 citations
Neural Network Models for Empirical Finance
published 2020 · Journal of risk and financial management · 8 citations
working paper 2020 · arXiv · 3 citations
Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies
published 2020 · Journal of Financial Econometrics · first circulated 2019
with Ricardo Laborda, Ricardo Laborda Herrero
Analysis of Bitcoin prices using market and sentiment variables
published 2020 · World Economy · 43 citations
with Burcu Kapar
Optimal asset allocation using a combination of implied and historical information
published 2019 · International Review of Financial Analysis · 3 citations
Optimal portfolio choices using financial leverage
published 2019 · Bulletin of Economic Research · 3 citations
with Ricardo Laborda
The size premium as a lottery
published 2019 · European Journal of Finance · 5 citations · first circulated 2018
with Richard McGee
Financial integration in the United Arab Emirates Stock Markets
published 2019 · Finance research letters · 18 citations
with Burcu Kapar, Rim Ghalayini
An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain
published 2019 · Defence and Peace Economics · 13 citations
with Ricardo Laborda
Tests of asset pricing with time‐varying factor loads
published 2019 · Journal of Applied Econometrics · 3 citations
Uncovering the Distribution of Option Implied Risk Aversion
published 2019 · Journal of Mathematical Finance · 3 citations
with Maria Kyriacou, Marius Strittmatter
Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS
published 2018 · Energies · 19 citations
with M. Angeles Carnero, Lorenzo Pascual
An analysis of price discovery between Bitcoin futures and spot markets
published 2018 · Economics Letters · 131 citations
with Burcu Kapar
Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
published 2018 · Oxford Bulletin of Economics and Statistics · 1 citations
Statistical tests of distributional scaling properties for financial return series
published 2018 · Quantitative Finance · 1 citations
with Mark Hallam
Does the PPP condition hold for oil‐exporting countries? A quantile cointegration regression approach
published 2018 · International Journal of Finance & Economics · 5 citations
with Matthew Lyon
Unconventional monetary policies and the credit market
published 2018 · International Journal of Monetary Economics and Finance · 2 citations · first circulated 2017
with Marcos Sanso-Navarro
On Solving Endogeneity with Invalid Instruments: An Application to Investment Equations
published 2017 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 4 citations
Optimal asset allocation for strategic investors
published 2017 · International Journal of Forecasting · 8 citations
with Ricardo Laborda
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns*
published 2017 · Journal of Financial Econometrics · 14 citations
On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?
published 2016 · Journal of risk and financial management · 4 citations
with Ana-María Fuertes
A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index
published 2015 · Econometrics
Investing in the size factor
published 2015 · Quantitative Finance · 4 citations
with Juan Laborda, Ricardo Laborda
Bank characteristics and the interbank money market: a distributional approach
published 2015 · Studies in Nonlinear Dynamics and Econometrics · 14 citations
with Giulia Iori, Burcu Kapar
Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?
published 2015 · Spatial Economic Analysis · 17 citations · first circulated 2011
with Rafael González-Val
Overnight News and Daily Equity Trading Risk Limits
published 2015 · Journal of Financial Econometrics · 26 citations · first circulated 2012
with Katja Ahoniemi, Ana-María Fuertes
Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S.
published 2014 · Economic Modelling · 10 citations
with Marcos Sanso-Navarro
CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
published 2014 · International Economic Review · 19 citations · first circulated 2010
Forecasting daily return densities from intraday data: A multifractal approach
published 2014 · International Journal of Forecasting · 10 citations
with Mark Hallam
Optimal currency carry trade strategies
published 2014 · International Review of Economics & Finance · 15 citations
with Juan Laborda, Ricardo Laborda
Exchange Rates, Macroeconomic Fundamentals and Risk Aversion
published 2014 · Theoretical Economics Letters · 1 citations · first circulated 2011
with Ricardo Laborda, Ricardo Laborda Herrero
Endogeneity in Threshold Nonlinearity Tests
published 2013 · Communication in Statistics-Theory and Methods · 3 citations
Testing linearity against threshold effects: uniform inference in quantile regression
published 2013 · Annals of the Institute of Statistical Mathematics · 31 citations
Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data
published 2013 · Journal of Financial Econometrics · 13 citations
with Mark Hallam
Investor sentiment and bond risk premia
published 2013 · Journal of Financial Markets · 62 citations
with Ricardo Laborda
Quantile Double AR Time Series Models for Financial Returns
published 2013 · Journal of Forecasting · 17 citations
Long-Run Risk Dynamics, Instabilities, and Breaks on European Credit Markets over a Crisis Period
published 2012 · The Journal of Fixed Income
with Burcu Kapar, Ricardo Laborda
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
published 2012 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2008
with Oscar Martínez
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
published 2012 · International Journal of Forecasting · 50 citations
with Ana-María Fuertes
Forecasting the performance of hedge fund styles
published 2012 · Journal of Banking & Finance · 9 citations
with Marcos Sanso-Navarro
A panel data test for poverty traps
published 2012 · Applied Economics · 4 citations
Detecting the presence of insider trading via structural break tests
published 2011 · Journal of Banking & Finance · 36 citations
with Keith Pılbeam, William Pouliot
Early Detection Techniques for Market Risk Failure
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 5 citations · first circulated 2008
with William Pouliot
Threshold quantile autoregressive models
published 2010 · Journal of Time Series Analysis · 53 citations · first circulated 2009
Downside risk asset pricing revisited: a new non-linear threshold model
published 2010 · The Journal of Risk
Uncovered interest parity and the efficiency of the foreign exchange market: a re-examination of the evidence
published 2010 · International Journal of Finance & Economics · 30 citations
with Keith Pılbeam
Robust Backtesting Tests for Value-at-risk Models
published 2010 · Journal of Financial Econometrics · 55 citations · first circulated 2008
The forward discount puzzle and market efficiency
published 2010 · Annals of Finance · 14 citations
with Keith Pılbeam
Backtesting Parametric Value-at-Risk With Estimation Risk
published 2009 · Journal of Business and Economic Statistics · 34 citations · first circulated 2008
Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate
published 2009 · The Journal of Economic Asymmetries · 2 citations
Uncovered Interest Parity: Are Empirical Rejections of It Valid?
published 2009 · Journal of Economic Integration · 6 citations
with Keith Pılbeam
The profitability of carry trades
published 2008 · Annals of Finance · 14 citations
with Keith Pılbeam
On the role of volatility for modelling risk exposure
published 2008 · International Journal of Monetary Economics and Finance · 2 citations
Which Extreme Values Are Really Extreme?
published 2004 · Journal of Financial Econometrics · 42 citations
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