Main publications
Y. Jiang, J. Olmo and M. Atwi (2024). Deep reinforcement learning for portfolio selection. Forthcoming at Global Finance Journal (DOI: 10.1016/j.gfj.2024.101016).
J. Gil-Jaime and J. Olmo (2024). Measuring and testing systemic risk from the cross section of stock returns. Forthcoming at Journal of Financial Econometrics (DOI: 10.1093/jjfinec/nbae005)
Y. Jiang, J. Olmo and M. Atwi (2024). Dynamic robust portfolio selection under market distress. North American Journal of Economics and Finance Volume 69, Part B, 102037.
L. De Castro, A. Galvao, G. Montes-Rojas and J. Olmo (2023). Joint Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences. Forthcoming at International Journal of Finance and Economics (DOI:10.1002/ijfe.2879).
J. Olmo and M. Sanso-Navarro (2023). A nonparametric spatial regression model using partitioning estimators. Econometrics and Statistics. Available online at https://doi.org/10.1016/j.ecosta.2023.02.003.
W. Lin, J. Olmo and A. Taamouti (2023). Portfolio Selection Under Systemic Risk . Journal of Money, Credit and Banking. Available online at DOI:10.1111/jmcb.13038).
J. Olmo (2023). Estimation error in optimal portfolio allocation problems. Oxford Research Encyclopedia of Economics and Finance (DOI: 10.1093/acrefore/9780190625979.013.884 ).
T. Mancini, H.-F. Calvo-Pardo and J. Olmo (2023). Optimal deep neural networks by maximization of the approximation power. Computers & Operations Research 156, C, 1-45 (DOI: 10.1016/j.cor.2023.106264).
A. Atak, G. Montes Rojas and J. Olmo (2023). Functional coefficient quantile regression model with time-varying loadings. Journal of Applied Economics 26, 1, 2167151
J. Olmo (2023). A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. Journal of Time Series Analysis 44, 3, 294-318.
T. Mancini, H.-F. Calvo-Pardo and J. Olmo (2022). Environmental Engel Curves: a neural network approach. Journal of Royal Statistical Society: Series C 71, 1543-1568.
R. McGee and J. Olmo (2022). Optimal Characteristic Portfolios. Quantitative Finance 22, 10, 1853-1870.
L. De Castro, A. Galvao, J.-Y. Kim, G. Montes-Rojas and J. Olmo (2022). Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models. Journal of Behavioral and Experimental Economics 97, April, 101822.
L. De Castro, A. Galvao, G. Montes-Rojas and J. Olmo (2022). Portfolio Selection in Quantile Utility Models. Annals of Finance 18, 133-181.
R. Laborda and J. Olmo (2022). Hedging demand in long-term currency carry trade asset allocation problems. Journal of Financial Econometrics 20, 3, 472-504.
T. Mancini, H.-F. Calvo-Pardo and J. Olmo (2021). Extremely Randomized Neural Networks for constructing prediction intervals. Neural Networks 144, 113-128.
R. Laborda and J. Olmo (2021). An empirical analysis of terrorism and stock market spillovers: The case of Spain. Defence and Peace Economics 32, 1, 68-86.
B. Kapar and J. Olmo (2021). Analysis of Bitcoin prices using market and sentiment variables. The World Economy 44, 1, 45-63.
J. Olmo (2021). Optimal portfolio allocation and asset centrality revisited. Quantitative Finance 21:9, 1475-1490.
M. Kyriacou, M. Strittmatter and J. Olmo (2021). Optimal portfolio allocation using option implied information. Journal of Futures Markets 41, 2, 266-285.
J. Olmo and M.arcos Sanso-Navarro (2021). Modeling the spread of COVID-19 in New York City. Papers in Regional Science 100 (5), 1209-1229.
H.-F. Calvo-Pardo, T. Mancini and J. Olmo (2021). Granger causality detection in high-dimensional systems using feedforward neural networks. International Journal of Forecasting 37, 920-940.
R. McGee and J. Olmo (2021). The size effect as a lottery. European Journal of Finance 27, 1-2, 158-177.
R. Laborda and J. Olmo (2021). Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic. Research in International Business and Finance 57, 101402.
B. Kapar, J. Olmo and R. Ghalayini (2020). Financial integration in the United Arab States stock markets. Finance Research Letters 30, 101219, 1-8.
C-W Cheang, J. Olmo, T. Ma, M-C Sung, F. McGroarty (2020). Optimal asset allocation using a combination of implied and historical information. International Review of Financial Analysis 69, 101419.
R. Laborda and J. Olmo (2020). Optimal portfolio choices using financial leverage. Bulletin of Economic Research 72, 146-166.
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.
B. Kapar and J. Olmo (2019). An analysis of price discovery between Bitcoin futures and spot prices. Economics Letters 174, 62-64.
J. Gonzalo and J. Olmo (2019). Differences between short and long term risk aversion: an optimal asset allocation perspective. Oxford Bulletin of Economics and Statistics 81, 1, 42-61.
M. Hallam and J. Olmo (2018). Statistical Tests of Distributional Scaling Properties for Financial Returns Series. Quantitative Finance 18 (7), 11-32.
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.
A. Galvao, T. Juhl, G.Montes-Rojas and J. Olmo (2018). Slope Homogeneity Tests in Quantile Regression Panel Data Models with an Application to the Cross-Section of Stock Returns. Journal of Financial Econometrics 16 (2), 211-243.
M. Lyon and J. Olmo (2018). Does the PPP condition hold for oil-exporting countries? A quantile cointegration regression approach. International Journal of Finance and Economics 23, 79-93.
R. Laborda and J. Olmo (2017). Optimal Portfolio Allocation for Strategic Investors. International Journal of Forecasting 33, 970-987.
J. Laborda, R. Laborda and J. Olmo (2016). Investing in the Size Factor. Quantitative Finance 16, 1, 85-100.
J. Olmo (2015). A New Family of Consistent and Asymptotically Normal Estimators for the Extremal Index. Econometrics 3, 3, 633-653.
J. Olmo and M. Sanso-Navarro (2015). Changes in the transmission of monetary policy during crisis episodes: Evidence from the Euro area and the U.S. Economic Modelling 48, 155-166.
R. Gonzalez-Val and J. Olmo (2015). Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? Spatial Economic Analysis 10, 2, 230-261.
G. Iori, B. Kapar and J. Olmo (2015). Bank characteristics and the interbank money market: A distributional approach. Studies in Nonlinear Dynamics and Econometrics 19, 3, 249–283.
K. Ahoniemi, A.M. Fuertes and J. Olmo (2015). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics 13, 1, 1-27.
M. Hallam and J. Olmo (2014). Forecasting daily return densities from intraday data using distributional scaling: A multifractal approach. International Journal of Forecasting 30, 863-881.
J. Gonzalo and J. Olmo (2014). Conditional Stochastic Dominance Tests in Dynamic Settings. International Economic Review 55, 3, 819-838.
A. Dentler, G.Montes-Rojas and J. Olmo (2014). Endogeneity in threshold nonlinearity tests. Communications in Statistics: Theory and Methods 43, 1-10.
A. Galvao, K. Kato, G. Montes-Rojas and J. Olmo (2014). Testing linearity against threshold effects: uniform inference in quantile regression. Annals of the Institute of Statistical Mathematics 66, 2, 413-439.
R. Laborda and J. Olmo (2014). Investor sentiment and excess bond returns. Journal of Financial Markets 18, 206-233.
M. Hallam and J. Olmo (2014). Semiparametric density forecasts of daily financial returns from intraday data. Journal of Financial Econometrics 12, 2, 408-432.
J. Laborda, R. Laborda and J. Olmo (2014). Optimal Currency Carry Trade Strategies. International Review of Economics and Finance 33, 52-66.
A.M. Fuertes and J. Olmo (2013). Optimally harnessing inter-day and intra-day information for daily Value-at-Risk prediction. International Journal of Forecasting 29, 28-42.
Y. Cai, G. Montes-Rojas and J. Olmo (2013). Quantile Double AR Time Series Models for Financial Returns. Journal of Forecasting, 32, 6, 551-560.
A. Galvao, G.Montes-Rojas and J. Olmo (2013). Panel Data Tests for Poverty Traps. Applied Economics, 45, 14, 1943-1952.
J. Olmo and M. Sanso-Navarro (2012). Forecasting the Performance of Hedge Fund Styles. Journal of Banking and Finance 36, 2351-2365.
O. Martínez and J. Olmo (2012). Nonlinear Threshold Models for the Dependence of Extremes of Stationary Sequences. Studies in Nonlinear Dynamics & Econometrics, Vol 16, 3, Article 1.
B. Kapar, R. Laborda and J. Olmo (2012). Long Run Risk Dynamics, Instabilities and Breaks on European Credit Markets over a Crisis Period. Journal of Fixed Income, Vol. 22, 2, 31-43.
A. Galvao, G. Montes-Rojas and J. Olmo (2011). Threshold Quantile Autoregressive Models. Journal of Time Series Analysis, Vol. 32, 253-267.
J. Olmo and K. Pilbeam (2011). Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the Evidence. International Journal of Finance and Economics, Vol. 16, 2, 189-204.
J. Olmo, K. Pilbeam and W. Pouliot (2011). Detecting the Presence of Insider Trading via Structural Break Tests. Journal of Banking and Finance 35, 2820-2828.
J. Olmo and W. Pouliot (2011). Early Detection Techniques for Market Risk Failure. Studies in Nonlinear Dynamics & Econometrics, Vol 15, 4, Article 1.
J. Olmo and K. Pilbeam (2011). The Forward Discount Puzzle and Market Efficiency. Annals of Finance, 7, 1, 119-135.
J.C. Escanciano and J. Olmo (2011). Robust Backtesting Tests for Value-at-Risk. Journal of Financial Econometrics, Vol 9, 1, 132-161.
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.
J. Olmo (2010). Downside Risk Asset Pricing Revisited: A New Nonlinear Threshold Model. Journal of Risk, Fall, 3, 1, 62-83.
J. Olmo and K. Pilbeam (2008). The profitability of Carry Trades. Annals of Finance, 5, 2, 231-241.
J. Gonzalo and J. Olmo (2004). Which Extreme Values are Really Extreme? Journal of Financial Econometrics, 2 (3), 349-369.