Biography:

José Olmo is an ARAID Senior Researcher in the Department of Economic Analysis at the Universidad de Zaragoza and a Part-time Professor at the University of Southampton. He holds a BSc in Mathematics from the Universidad de Zaragoza and a PhD in Economics from Universidad Carlos III de Madrid, and has been awarded ANECA accreditation as Catedrático since April 2017. He has held full-time academic positions as Professor of Financial Economics, Associate Professor, and Reader in Economics at the University of Southampton, as well as Senior Lecturer and Lecturer at City St George's, University of London. He has also been a visiting professor at IE Business School, Universitat Pompeu Fabra, and Imperial College London. His main research interests lie in Financial Economics and Econometrics. He has published in leading international journals such as International Economic Review, Journal of Business and Economic Statistics, Journal of Money, Credit and Banking, Journal of Applied Econometrics, and Journal of Financial Econometrics, among others. He is an Associate Editor of the International Journal of Finance and Economics and has previously served on the editorial boards of the Journal of the Royal Statistical Society: Series A and the Bulletin of Economic Research. He has also acted as a referee for numerous academic journals and international research funding agencies.

Education:

• PhD Economics at Universidad Carlos III de Madrid (2005)

• BSc Mathematics at Universidad de Zaragoza (1998)

Selected Publications:

• J. Hualde and J. Olmo (2026). Testing for nontrivial cointegration. Journal of Business and Economic Statistics. DOI: 10.1080/07350015.2026.2638497.

• W. Lin, J. Olmo and A. Taamouti (2023). Portfolio selection under systemic risk. Journal of Money, Credit and Banking. DOI: 10.1111/jmcb.13038

• H. Calvo-Pardo, T. Mancini and J. Olmo (2020). Granger causality detection in high-dimensional systems using feedforward neural networks. International Journal of Forecasting. DOI: 10.2139/ssrn.3543687

• A-F. Galvao, G. Montes-Rojas and Jose Olmo (2019). Tests of asset pricing with time-varying factor loads. Journal of Applied Econometrics. DOI: 10.1002/jae.2687

• A-F. Galvao, G. Montes-Rojas, J. Olmo and S. Song (2018). On solving endogeneity with invalid instruments: an application to investment equations. Journal of the Royal Statistical Society: Series A (Statistics in Society). DOI: 10.1111/rssa.12313

• R. Laborda and J. Olmo (2014). Investor sentiment and excess bond returns. Journal of Financial Markets. DOI: 10.1016/j.finmar.2013.05.008 

• J. Gonzalo and J. Olmo (2014). Conditional Stochastic Dominance Tests in Dynamic Settings. International Economic Review. DOI: 10.1111/iere.12072

• J. Olmo and M. Sanso-Navarro (2012). Forecasting the Performance of Hedge Fund Styles. Journal of Banking and Finance. DOI: 10.1016/j.jbankfin.2012.04.016 

• J.C. Escanciano and J. Olmo (2010). Backtesting Parametric Value-at-Risk with Estimation Risk. Journal of Business and Economic Statistics. DOI: 10.1198/jbes.2009.07063 

Contact details:

Facultad de Economía y Empresa.  Universidad de Zaragoza. Gran Vía 2, 50005. Zaragoza. Tel.: +34 876 55 4682. 

Primary e-mail: joseolmo@unizar.es (ARAID Researcher at Universidad de Zaragoza)

Secondary contact: J.B.Olmo@soton.ac.uk (University of Southampton)