Overview

Jose Olmo is ARAID Senior Researcher in the Department of Economic Analysis at Universidad de Zaragoza and part-time Professor at University of Southampton. Jose received a BSc in Mathematics from Universidad de Zaragoza and a PhD in Economics from Universidad Carlos III de Madrid and is accredited by Spanish ANECA as Catedrático since April 2017. Jose has had full time positions as Professor of Financial Economics, Associate Professor and Reader in Economics at University of Southampton and Senior Lecturer and Lecturer at City University London. Jose has also taught as visiting professor at IE Business School, Universitat Pompeu Fabra and Imperial College London. His main research interests are in Financial Economics and Econometrics. José has published in top field academic journals such as Journal of Business and Economic Statistics, International Economic Review, Journal of Money, Credit and Banking, Journal of Applied Econometrics,  and Journal of Financial Econometrics, among many others. He also serves as an Associate Editor for International Journal of Finance and Economics and has been in the editorial boards of Journal of Royal Statistical Society - Series A and Bulletin of Economic Research. 

Selected publications:

- W. Lin, J. Olmo and A. Taamouti (2023). Portfolio Selection Under Systemic Risk . Journal of Money, Credit and Banking (DOI:10.1111/jmcb.13038). 

- A. Galvao, G. Montes-Rojas and J. Olmo (2019). Tests of Asset Pricing with time-varying factor loads. Journal of Applied Econometrics 34, 5, 762-778.

- A. Galvao, G.Montes-Rojas, J. Olmo and S. Song (2018). On Solving Endogeneity with Invalid Instruments: An Application to Investment Equations. Journal of Royal Statistical Society - Series A 181, Part 4, 1-28.

- R. Laborda and J. Olmo (2017). Optimal Portfolio Allocation for Strategic Investors. International Journal of Forecasting 33, 970-987.

- J. Gonzalo and J. Olmo (2014). Conditional Stochastic Dominance Tests in Dynamic Settings. International Economic Review 55, 3, 819-838. 

- J. Olmo and M. Sanso-Navarro (2012). Forecasting the Performance of Hedge Fund Styles. Journal of Banking and Finance 36, 2351-2365.

- J.C. Escanciano and J. Olmo (2010). Backtesting Parametric Value-at-Risk with Estimation Risk. Journal of Business and Economic Statistics, Vol 28, 1, 36-51.