Jose Olmo : Citation Profile


Are you Jose Olmo?

Universidad de Zaragoza (80% share)
University of Southampton (20% share)

10

H index

10

i10 index

267

Citations

RESEARCH PRODUCTION:

39

Articles

29

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 16
   Journals where Jose Olmo has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 11 (3.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pol72
   Updated: 2020-10-17    RAS profile: 2020-04-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Montes-Rojas, Gabriel (3)

Fuertes, Ana-Maria (2)

Gonzalo, Jesus (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jose Olmo.

Is cited by:

Moreno Gutiérrez, José (15)

GUPTA, RANGAN (8)

Hurlin, Christophe (8)

Zakoian, Jean-Michel (8)

Francq, Christian (7)

Escanciano, Juan Carlos (7)

Espinosa Torres, Juan (5)

Topaloglou, Nikolas (5)

Maillet, Bertrand (5)

Melo-Velandia, Luis (5)

Dovern, Jonas (5)

Cites to:

Campbell, John (24)

Hansen, Bruce (17)

Ploberger, Werner (16)

Andrews, Donald (16)

Ait-Sahalia, Yacine (11)

Christoffersen, Peter (11)

Bollerslev, Tim (11)

Gonzalo, Jesus (11)

Engle, Robert (10)

Sarno, Lucio (10)

Santa-Clara, Pedro (10)

Main data


Where Jose Olmo has published?


Journals with more than one article published# docs
Journal of Financial Econometrics4
International Journal of Forecasting3
Studies in Nonlinear Dynamics & Econometrics3
Quantitative Finance2
International Journal of Finance & Economics2
Annals of Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, City University London14
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía8

Recent works citing Jose Olmo (2020 and 2019)


YearTitle of citing document
2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

Full description at Econpapers || Download paper

2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

Full description at Econpapers || Download paper

2019A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957.

Full description at Econpapers || Download paper

2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

Full description at Econpapers || Download paper

2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

Full description at Econpapers || Download paper

2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuess, Roland. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19116.

Full description at Econpapers || Download paper

2020Testing Stochastic Dominance with Many Conditioning Variables. (2020). Whang, Y-J., ; Seo, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2004.

Full description at Econpapers || Download paper

2019Illegal insider trading: Commission and SEC detection. (2019). Posylnaya, Valeriya V ; Cline, Brandon N. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:247-269.

Full description at Econpapers || Download paper

2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

Full description at Econpapers || Download paper

2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

Full description at Econpapers || Download paper

2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

Full description at Econpapers || Download paper

2020Spanning tests for Markowitz stochastic dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:291-311.

Full description at Econpapers || Download paper

2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

Full description at Econpapers || Download paper

2020On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty. (2020). Stengos, Thanasis ; Pinar, Mehmet ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:415-427.

Full description at Econpapers || Download paper

2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

Full description at Econpapers || Download paper

2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

Full description at Econpapers || Download paper

2020Bitcoin futures: An effective tool for hedging cryptocurrencies. (2020). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301849.

Full description at Econpapers || Download paper

2020Time-varying risk aversion and the predictability of bond premia. (2020). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Epni, Oguzhan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301217.

Full description at Econpapers || Download paper

2020Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?. (2020). Hsu, Yuan-Teng ; Liu, Hung-Chun ; Wang, Jying-Nan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319301904.

Full description at Econpapers || Download paper

2020Is the introduction of futures responsible for the crash of Bitcoin?. (2020). Zhao, Xuejun ; Zhang, Zili ; Wan, Shanfeng ; Liu, Ruozhou. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302211.

Full description at Econpapers || Download paper

2019Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach. (2019). Guidolin, Massimo ; Hansen, Erwin ; Pedio, Manuela. In: Journal of Financial Markets. RePEc:eee:finmar:v:45:y:2019:i:c:p:83-114.

Full description at Econpapers || Download paper

2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

Full description at Econpapers || Download paper

2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

Full description at Econpapers || Download paper

2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

Full description at Econpapers || Download paper

2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

Full description at Econpapers || Download paper

2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

Full description at Econpapers || Download paper

2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

Full description at Econpapers || Download paper

2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

Full description at Econpapers || Download paper

2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

Full description at Econpapers || Download paper

2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

Full description at Econpapers || Download paper

2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

Full description at Econpapers || Download paper

2020Contagion of future-level sentiment in Chinese Agricultural Futures Markets. (2020). Huang, Jialiang ; Zhou, Liyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19307048.

Full description at Econpapers || Download paper

2020Cryptocurrencies and stock market indices. Are they related?. (2020). Gil-Alana, Luis ; Romero, Maria Fatima ; Aikins, Emmanuel Joel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919303472.

Full description at Econpapers || Download paper

2020Price discovery in bitcoin futures. (2020). Fassas, Athanasios ; Koulis, Alexandros ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919305628.

Full description at Econpapers || Download paper

2020Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets. (2020). Switzer, Lorne N ; el Meslmani, Nabil ; Lee, Seungho. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919309808.

Full description at Econpapers || Download paper

2020What factors drive returns on initial coin offerings?. (2020). Lopez-Cabarcos, Angeles M ; Pieiro-Chousa, Juan ; Domingo, Ribeiro-Soriano. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:153:y:2020:i:c:s0040162519304275.

Full description at Econpapers || Download paper

2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

Full description at Econpapers || Download paper

2020Can Stock Investor Sentiment Be Contagious in China?. (2020). Cai, Xu-Yu ; Tao, Ran ; Su, Chi-Wei. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1571-:d:322696.

Full description at Econpapers || Download paper

2020Diversifying with cryptocurrencies during COVID-19. (2020). Goutte, Stephane ; Goodell, John. In: Working Papers. RePEc:hal:wpaper:halshs-02876529.

Full description at Econpapers || Download paper

2019Full steam ahead: Insider knowledge, stock trading and the nationalization of the railways in Prussia around 1879. (2019). Jopp, Tobias A ; Buchner, Michael. In: Working Papers. RePEc:hes:wpaper:0151.

Full description at Econpapers || Download paper

2019“Increasing contingent guarantees: The asymmetrical effect on sovereign risk of different government interventions. (2019). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K. In: IREA Working Papers. RePEc:ira:wpaper:201914.

Full description at Econpapers || Download paper

2020Investor Sentiment and the Return Rate of P2P Lending Platform. (2020). Shen, Dehua ; Wang, Pengfei ; Zhao, Yingxiu ; Zhang, Wei. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09284-2.

Full description at Econpapers || Download paper

2019Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-. (2019). Demertzidis, Anastasios. In: MAGKS Papers on Economics. RePEc:mar:magkse:201932.

Full description at Econpapers || Download paper

2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

Full description at Econpapers || Download paper

2019The relationship between carry trade and asset markets in South Africa. (2019). Bonga-Bonga, Lumengo ; Maake, Tebogo. In: MPRA Paper. RePEc:pra:mprapa:96667.

Full description at Econpapers || Download paper

2019Time-Varying Risk Aversion and the Predictability of Bond Premia. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Epni, Ouzhan. In: Working Papers. RePEc:pre:wpaper:201906.

Full description at Econpapers || Download paper

2019Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201912.

Full description at Econpapers || Download paper

2019Oil Price Uncertainty and Movements in the US Government Bond Risk Premia. (2019). Wohar, Mark ; Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Working Papers. RePEc:pre:wpaper:201919.

Full description at Econpapers || Download paper

2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

Full description at Econpapers || Download paper

2019Gold, Platinum and the Predictability of Bond Risk Premia. (2019). GUPTA, RANGAN ; Demirer, Riza ; Wohar, Mark E ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201967.

Full description at Econpapers || Download paper

2020On the performance of weighted bootstrapped kernel deconvolution density estimators. (2020). Pouliot, William ; Mojirsheibani, Majid ; Al-Sharadqah, Ali. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-018-1006-0.

Full description at Econpapers || Download paper

2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. (2019). van Dijk, Dick ; Kole, Erik ; Barendse, Sander . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:2019058.

Full description at Econpapers || Download paper

2019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

Full description at Econpapers || Download paper

2020Sentiment Risk Premia In The Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuss, Roland ; ROLAND FSS, . In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:13.

Full description at Econpapers || Download paper

2019Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective. (2019). Oxley, Les ; Hou, Yang ; Hu, Yang. In: Working Papers in Economics. RePEc:wai:econwp:19/13.

Full description at Econpapers || Download paper

2020Order‐invariant tests for proper calibration of multivariate density forecasts. (2020). Dovern, Jonas ; Manner, Hans. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:440-456.

Full description at Econpapers || Download paper

2020Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages. (2020). GUPTA, RANGAN ; Yilmaz, M ; Guney, Ethem I ; Cepni, Oguzhan. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:966-985.

Full description at Econpapers || Download paper

2020The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837.

Full description at Econpapers || Download paper

2020Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy. (2020). Kim, Tae-Hwan ; Mizen, Paul ; Lee, Dong Jin. In: Working papers. RePEc:yon:wpaper:2020rwp-164.

Full description at Econpapers || Download paper

2020Dealing with Markov-Switching Parameters in Quantile Regression Models. (2020). Kim, Tae-Hwan ; Huo, Lijuan. In: Working papers. RePEc:yon:wpaper:2020rwp-166.

Full description at Econpapers || Download paper

2019How Informative is High-Frequency data for Tail Risk Estimation and Forecasting?. (2019). Dimitriadis, Timo ; Halbleib, Roxana. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203669.

Full description at Econpapers || Download paper

Works by Jose Olmo:


YearTitleTypeCited
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article43
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43
paper
2014Tests to Disentangle Breaks in Intercept from Slope in Linear Regression Models with Application to Management Performance in the Mutual Fund Industry In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2018On solving endogeneity with invalid instruments: an application to investment equations In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article1
2011Threshold quantile autoregressive models In: Journal of Time Series Analysis.
[Citation analysis]
article14
2009Threshold quantile autoregressive models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
2011Early Detection Techniques for Market Risk Failure In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2008Early Detection Techniques for Market Risk Failure.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2012A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2008A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008A nonlinear threshold model for the dependence of extremes of stationary sequences.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2015Bank characteristics and the interbank money market: a distributional approach In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article7
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2005Testing the existence of clustering in the extreme values In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper1
2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper14
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper10
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006A new family of estimators for the extremal index In: Working Papers.
[Full Text][Citation analysis]
paper0
2007An asset pricing model for mean-variance-downside-risk averse investors In: Working Papers.
[Full Text][Citation analysis]
paper0
2007A resolution of the forward discount puzzle In: Working Papers.
[Full Text][Citation analysis]
paper0
2007Estimation risk effects on backtesting for parametric value-at-risk models In: Working Papers.
[Full Text][Citation analysis]
paper8
2008U-statistic Type Tests for Structural Breaks in Linear Regression Models In: Working Papers.
[Full Text][Citation analysis]
paper0
2009Extreme Value Theory Filtering Techniques for Outlier Detection In: Working Papers.
[Full Text][Citation analysis]
paper0
2009Detecting the Presence of Informed Price Trading Via Structural Break Tests In: Working Papers.
[Full Text][Citation analysis]
paper0
2011The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk In: Working Papers.
[Full Text][Citation analysis]
paper3
2012The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation In: Working Papers.
[Full Text][Citation analysis]
paper7
2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper17
2015Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S. In: Economic Modelling.
[Full Text][Citation analysis]
article3
2019An analysis of price discovery between Bitcoin futures and spot markets In: Economics Letters.
[Full Text][Citation analysis]
article12
2020Optimal asset allocation using a combination of implied and historical information In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2014Investor sentiment and bond risk premia In: Journal of Financial Markets.
[Full Text][Citation analysis]
article24
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]
article15
2014Forecasting daily return densities from intraday data: A multifractal approach In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2017Optimal asset allocation for strategic investors In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2011Detecting the presence of insider trading via structural break tests In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2012Forecasting the performance of hedge fund styles In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2009Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate In: The Journal of Economic Asymmetries.
[Full Text][Citation analysis]
article0
2014Optimal currency carry trade strategies In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article3
2015A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index In: Econometrics.
[Full Text][Citation analysis]
article0
2018Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS In: Energies.
[Full Text][Citation analysis]
article0
2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]
article2
2018Unconventional monetary policies and the credit market In: International Journal of Monetary Economics and Finance.
[Full Text][Citation analysis]
article0
2011Growth in a cross-section of cities: location, increasing returns or random growth? In: Working Papers.
[Full Text][Citation analysis]
paper5
2015Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?.(2015) In: Spatial Economic Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2011Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2009The profitability of carry trades In: Annals of Finance.
[Full Text][Citation analysis]
article2
2011The forward discount puzzle and market efficiency In: Annals of Finance.
[Full Text][Citation analysis]
article4
2014Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article7
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article2
2018Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2011Robust Backtesting Tests for Value-at-risk Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article25
2010A Statistical Test of City Growth: Location, Increasing Returns and Random Growth In: MPRA Paper.
[Full Text][Citation analysis]
paper2
2009Uncovered Interest Parity: Are Empirical Rejections of It Valid? In: Journal of Economic Integration.
[Citation analysis]
article1
2014Testing linearity against threshold effects: uniform inference in quantile regression In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]
article6
2013A panel data test for poverty traps In: Applied Economics.
[Full Text][Citation analysis]
article0
2016Investing in the size factor In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2018Statistical tests of distributional scaling properties for financial return series In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2011Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence In: International Journal of Finance & Economics.
[Citation analysis]
article9
2018Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article0
2019Tests of asset pricing with time‐varying factor loads In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article0
2013Quantile Double AR Time Series Models for Financial Returns In: Journal of Forecasting.
[Citation analysis]
article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team