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Items where City Author is "Olmo, Jose"

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Number of items: 20.

Article

Fuertes, A. and Olmo, J. (2016). On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. Journal of Risk and Financial Management, 9(3), 10.. doi: 10.3390/jrfm9030010

Ahoniemi, K., Fuertes, A. and Olmo, J. (2016). Overnight News and Daily Equity Trading Risk Limits. Journal of Financial Econometrics, 14(3), pp. 525-551. doi: 10.1093/jjfinec/nbu032

Iori, G., Kapar, B. and Olmo, J. (2015). Bank characteristics and the interbank money market: a distributional approach. Studies In Nonlinear Dynamics And Econometrics, 19(3), pp. 249-283. doi: 10.1515/snde-2014-0030

Galvao Jr, A. F., Kato, K., Montes-Rojas, G. and Olmo, J. (2014). Testing linearity against threshold effects: uniform inference in quantile regression. Annals of the Institute of Statistical Mathematics, 66(2), pp. 413-439. doi: 10.1007/s10463-013-0418-9

Galvao Jr, A. F., Montes-Rojas, G. and Olmo, J. (2013). A panel data test for poverty traps. Applied Economics, 45(14), pp. 1943-1952. doi: 10.1080/00036846.2011.641930

Fuertes, A. and Olmo, J. (2013). Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. International Journal of Forecasting, 29(1), pp. 28-42. doi: 10.1016/j.ijforecast.2012.05.005

Monograph

Iori, G., Kapar, B. and Olmo, J. (2012). The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation (Report No. 12/03). London, UK: Department of Economics, City University London.

Kapar, B. and Olmo, J. (2011). The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk (Report No. 11/02). London, UK: Department of Economics, City University London.

Olmo, J., Pilbeam, K. and Pouliot, W. (2009). Detecting the Presence of Informed Price Trading Via Structural Break Tests (Report No. 09/10). London, UK: Department of Economics, City University London.

Olmo, J. (2009). Extreme Value Theory Filtering Techniques for Outlier Detection (Report No. 09/09). London, UK: Department of Economics, City University London.

Galvao Jr, A. F., Montes-Rojas, G. and Olmo, J. (2009). Threshold quantile autoregressive models (Report No. 09/05). London, UK: Department of Economics, City University London.

Olmo, J. and Pouliot, W. (2008). Early Detection Techniques for Market Risk Failure (Report No. 08/09). London, UK: Department of Economics, City University London.

Martinez, O. and Olmo, J. (2008). A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences (Report No. 08/08). London, UK: Department of Economics, City University London.

Gonzalo, J. and Olmo, J. (2008). Testing Downside Risk Efficiency Under Market Distress (Report No. 08/11). London, UK: Department of Economics, City University London.

Pouliot, W. and Olmo, J. (2008). U-statistic Type Tests for Structural Breaks in Linear Regression Models (Report No. 08/15). London, UK: Department of Economics, City University London.

Escanciano, J. C. and Olmo, J. (2007). Estimation risk effects on backtesting for parametric value-at-risk models (Report No. 07/11). London, UK: Department of Economics, City University London.

Olmo, J. (2007). An asset pricing model for mean-variance-downside-risk averse investors (Report No. 07/01). London, UK: Department of Economics, City University London.

Gonzalo, J. and Olmo, J. (2007). The impact of heavy tails and comovements in downside-risk diversification (Report No. 07/02). London, UK: Department of Economics, City University London.

Olmo, J. and Pilbeam, K. (2007). A resolution of the forward discount puzzle (Report No. 07/10). London, UK: Department of Economics, City University London.

Olmo, J. (2006). A new family of estimators for the extremal index (Report No. 06/01). London, UK: Department of Economics, City University London.

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