Biography:
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 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 many other iacademic journals. Jose is Associate Editor of International Journal of Finance and Economics and, previously, he has also served in the editorial boards of the Journal of Royal Statistical Society - Series A and Bulletin of Economic Research. as well as as academic referee for many scientific journals and several international research funding bodies.
Education:
PhD Economics at Universidad Carlos III de Madrid (2005)
BSc Mathematics at Universidad de Zaragoza (1998)
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
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
J. Gonzalo and J. Olmo (2014). Conditional Stochastic Dominance Tests in Dynamic Settings. International Economic Review. DOI: 10.1111/iere.12072
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. 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)