Publications

M.D. Gadea-Rivas, J. Gonzalo and J. Olmo (2025). Testing extreme warming and geographical heterogeneity. Communications in Statistics: Case studies, Data analysis and Applications. DOI: 10.1080/23737484.2025.2509978

Y. Jiang, J. Olmo and Majed Atwi (2025). High-dimensional multi-period portfolio allocation using deep reinforcement learning. International Review of Economics and Finance. DOI: 10.1016/j.iref.2025.103996

J. Olmo and J. Hualde (2025). A novel test of economic convergence in time series. Empirical Economics. DOI: 10.1007/s00181-024-02699-5

R. Vashisht, H. Calvo-Pardo and J. Olmo (2024). A causal analysis of environmental and financial performance: Differences between brown and green firms. Economic Modelling. DOI: 10.1016/j.econmod.2024.106949

Y. Jiang, J. Olmo and Majed Atwi (2024). Deep reinforcement learning for portfolio selection. Global Finance Journal. DOI: 10.1016/j.gfj.2024.101016

J. Gil-Jaime and J. Olmo (2025). Measuring and testing systemic risk from the cross-section of stock returns. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbae005

Y. Jiang, J. Olmo and Majed Atwi (2024). Dynamic robust portfolio selection under market distress. The North American Journal of Economics and Finance. DOI: 10.1016/j.najef.2023.102037

L. de Castro, A-F Galvao, G. Montes-Rojas and J. Olmo (2023). Joint elicitation of elasticity of intertemporal substitution, risk and time preferences. International Journal of Finance & Economics. DOI: 10.1002/ijfe.2879

H. Calvo-Pardo, T. Mancini and J. Olmo (2023). Optimal deep neural networks by maximization of the approximation power. Computers and Operations Research. DOI: 10.1016/j.cor.2023.106264

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

J. Olmo and M. Sanso-Navarro (2023). A nonparametric spatial regression model using partitioning estimators. Econometrics and Statistics. DOI: 10.1016/j.ecosta.2023.02.003

J. Olmo (2023). Estimation error in optimal portfolio allocation problems. Oxford Research Encyclopedia - Finance and Economics. DOI: 

A. Atak, G. Montes-Rojas and J. Olmo (2023). Functional coefficient quantile regression model with time-varying loadings. Journal of Applied Economics. DOI: 10.1080/15140326.2023.2167151

Tullio Mancini, H. Calvo-Pardo and J. Olmo (2022). Environmental Engel curves. Journal of the Royal Statistical Society, Series C (Applied Statistics). DOI: 10.1111/rssc.12588

J. Olmo (2022). A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. Journal of Time Series Analysis. DOI: 10.1111/jtsa.12668

R. McGee and J. Olmo (2022). Optimal characteristic portfolios. Quantitative Finance. DOI: 10.1080/14697688.2022.2094282

L. de Castro, A-F Galvao, G. Montes-Rojas and J. Olmo (2022). Portfolio selection in quantile decision models. Annals of Finance. DOI: 10.1007/s10436-021-00405-4

L. de Castro, A-F Galvao, J.Y. Kim, G. Montes-Rojas and J. Olmo (2022). Journal of Behavioral and Experimental Economics. DOI: 10.1016/j.socec.2021.101822

H. Calvo-Pardo, T. Mancini and J. Olmo (2022). Machine learning the carbon footprint of bitcoin mining. Journal of Risk and Financial Management. DOI: 10.3390/jrfm15020071

T. Mancini, H. Calvo-Pardo and J. Olmo (2021). Extremely randomized neural networks for constructing prediction intervals. Neural Networks : The official journal of the International Neural Network Society. DOI: 10.1016/j.neunet.2021.08.020

R. Laborda and J. Olmo (2021). Volatility spillover between economic sectors in financial crisis prediction. Research in International Business and Finance. DOI: 10.1016/j.ribaf.2021.101402

J. Olmo and M. Sanso-Navarro (2021). Modeling the spread of COVID‐19 in New York City. Papers in Regional Science. DOI: 10.1111/pirs.12615

B. Kapar and J. Olmo (2021). Analysis of Bitcoin prices using market and sentiment variables. The World Economy. DOI: 10.1111/twec.13020

J. Olmo (2021). Optimal portfolio allocation and asset centrality revisited. Quantitative Finance. DOI: 10.1080/14697688.2021.1937298

M. Kyriacou, J. Olmo and M. Strittmatter (2020). Optimal portfolio allocation using option implied information. Journal of Futures Markets. DOI: 10.1002/fut.22177

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

H. Calvo-Pardo, T. Mancini and J. Olmo (2020). Neural network models for empirical finance. Journal of Risk and Financial Management. DOI: 10.3390/jrfm13110265

R. Laborda and J. Olmo (2020). Hedging demand in long-term asset allocation with an application to carry trade strategies. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbaa034

C-W. Cheang, J. Olmo, T. Ma, M-C. Sung and F.McGroarty (2020). Optimal asset allocation using a combination of implied and historical information. International Review of Financial Analysis. DOI: 10.1016/j.irfa.2019.101419

R. Laborda and J. Olmo (2019). Optimal portfolio choices using financial leverage. Bulletin of Economic Research. DOI: 10.1111/boer.12215

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

R. McGee and J. Olmo (2019). The size premium as a lottery. European Journal of Finance. DOI: 10.1080/1351847X.2019.1644360

B. Kapar, J. Olmo and R. Ghalayini (2019). Financial integration in the United Arab Emirates Stock Markets. Finance Research Letters. DOI: 10.1016/j.frl.2019.06.017

R. Laborda and J. Olmo (2019). An empirical analysis of terrorism and stock market spillovers. Defence and Peace Economics. DOI: 10.1080/10242694.2019.1617601

M. Kyriacou, J. Olmo and M. Strittmatter (2019). Uncovering the distribution of option implied risk aversion. Journal of Mathematical Finance. DOI: 10.4236/jmf.2019.92006

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. DOI: 10.1111/obes.12247

B. Kapar and J. Olmo (2019). An analysis of price discovery between Bitcoin futures and spot markets. Economics Letters. DOI: 10.1016/j.econlet.2018.10.031

M-A. Carnero, J. Olmo and L. Pascual (2018). Modelling the dynamics of fuel and EU allowance prices during phase 3 of the EU ETS. Energies. DOI: 10.3390/en11113148

J. Olmo and M. Sanso-Navarro (2018). Unconventional monetary policies and the credit market. International Journal of Monetary Economics and Finance. DOI: 10.1504/IJMEF.2018.095777

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

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. DOI: 10.1002/ijfe.1603

A-F. Galvao, T. Juhl, G. Montes-Rojas and J. Olmo (2018). Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbx016

M. Hallam and J. Olmo (2018). Statistical tests of distributional scaling properties for financial return series. Quantitative Finance. DOI: 10.1080/14697688.2017.1298832

R. Laborda and J. Olmo (2017). Optimal asset allocation for Strategic Investors. International Journal of Forecasting. DOI: 10.1016/j.ijforecast.2017.05.003

J. Laborda, R. Laborda and J. Olmo (2016). Investing in the size factor. Quantitative Finance. DOI: 10.1080/14697688.2015.1051098

J. Olmo (2015). A new family of consistent and asymptotically normal estimators for the extremal index. Econometrics. DOI: 10.3390/econometrics3030633

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. DOI: 10.1016/j.econmod.2014.10.033

B. Kapar, G. Iori and J. Olmo (2015). Bank characteristics and the interbank money market: a distributional approach. Studies in Nonlinear Dynamics & Econometrics. DOI: 10.1515/snde-2014-0030

TK. Ahoniemi, A-M. Fuertes and J. Olmo (2015). Overnight news and daily equity trading risk limits. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbu032

R. Gonzalez-Val and J. Olmo (2015). Growth in a cross-section of cities: location, increasing returns or random growth? Spatial Economic Analysis. DOI: 10.1080/17421772.2015.1023337

J. Laborda, R. Laborda and J. Olmo (2014). Optimal Currency Carry Trade Strategies. International Review of Economics and Finance. DOI: 10.1016/j.iref.2014.03.007 

M. Hallam and J. Olmo (2014). Forecasting daily return densities from intraday data using distributional scaling: A multifractal approach. International Journal of Forecasting. DOI: 10.1016/j.ijforecast.2014.01.007 

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

A. Dentler, G.Montes-Rojas and J. Olmo (2014). Endogeneity in threshold nonlinearity tests. Communications in Statistics: Theory and Methods. DOI: 10.1080/03610926.2012.655878 

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. DOI: 10.1007/s10463-013-0418-9 

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

M. Hallam and J. Olmo (2014). Semiparametric density forecasts of daily financial returns from intraday data. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbt016 

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. DOI: 10.1016/j.ijforecast.2012.05.005  

A. Galvao, G.Montes-Rojas and J. Olmo (2013). Panel Data Tests for Poverty Traps. Applied Economics. DOI: 10.1080/00036846.2011.641930 

Y. Cai, G. Montes-Rojas and J. Olmo (2013). Quantile Double AR Time Series Models for Financial Returns. Journal of Forecasting. DOI:10.1002/for.2261  

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. DOI: 10.3905/jfi.2012.22.2.031  

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 

O. Martínez and  J. Olmo (2012). Nonlinear Threshold Models for the Dependence of Extremes of Stationary Sequences. Studies in Nonlinear Dynamics & Econometrics. DOI: 10.1515/1558-3708.1881 

A. Galvao, G. Montes-Rojas and J. Olmo (2011). Threshold Quantile Autoregressive Models. Journal of Time Series Analysis. DOI: 10.1111/j.1467-9892.2010.00696.x 

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. DOI: 10.1002/ijfe.429 

J. Olmo, K. Pilbeam and W. Pouliot (2011). Detecting the Presence of Insider Trading via Structural Break Tests. Journal of Banking and Finance. DOI: 10.1016/j.jbankfin.2011.03.013 

J. Olmo and W. Pouliot (2011). Early Detection Techniques for Market Risk Failure. Studies in Nonlinear Dynamics & Econometrics. DOI: 10.2202/1558-3708.1800 

J. Olmo and K. Pilbeam (2011). The Forward Discount Puzzle and Market Efficiency. Annals of Finance. DOI: 10.1007/s10436-010-0159-1 

J.C. Escanciano and J. Olmo (2011). Robust Backtesting Tests for Value-at-Risk. Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbq021 

J. Olmo (2010). Downside Risk Asset Pricing Revisited: A New Nonlinear Threshold Model. Journal of Risk, Fall, 3, 1, 62-83. 

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 

J. Olmo and K. Pilbeam (2009). Are empirical rejections of UIP valid? Journal of Economic Integration. DOI: 10.11130/jei.2009.24.2.369 

J. Olmo and K. Pilbeam (2008). The profitability of Carry Trades. Annals of Finance. DOI: 10.1007/s10436-008-0098-2 

J. Olmo (2008). On the role of volatility for modelling risk exposure. International Journal of Monetary Economics and Finance. DOI: 10.1504/IJMEF.2008.019223 

J. Gonzalo and J. Olmo (2004). Which Extreme Values are Really Extreme? Journal of Financial Econometrics. DOI: 10.1093/jjfinec/nbh014