Jose Olmo : Citation Profile


Are you Jose Olmo?

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

8

H index

8

i10 index

218

Citations

RESEARCH PRODUCTION:

37

Articles

28

Papers

RESEARCH ACTIVITY:

   15 years (2004 - 2019). See details.
   Cites by year: 14
   Journals where Jose Olmo has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 11 (4.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pol72
   Updated: 2019-11-16    RAS profile: 2019-02-18    
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Relations with other researchers


Works with:

Montes-Rojas, Gabriel (3)

Gonzalo, Jesus (3)

Hallam, Mark (2)

Fuertes, Ana-Maria (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)

Escanciano, Juan Carlos (7)

Hurlin, Christophe (7)

Francq, Christian (6)

Espinosa Torres, Juan (5)

GUPTA, RANGAN (5)

Zakoian, Jean-Michel (5)

Melo-Velandia, Luis (5)

Maillet, Bertrand (5)

Danielsson, Jon (4)

Ruiz, Esther (4)

Cites to:

Campbell, John (24)

Hansen, Bruce (17)

Andrews, Donald (16)

Ploberger, Werner (16)

Bollerslev, Tim (12)

Gonzalo, Jesus (11)

Ait-Sahalia, Yacine (11)

Christoffersen, Peter (11)

Santa-Clara, Pedro (10)

Sarno, Lucio (10)

Viceira, Luis (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
Annals of Finance2
Journal of Banking & Finance2
International Journal of Finance & Economics2
Quantitative 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 (2019 and 2018)


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.

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2018Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800.

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

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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.

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

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2017Quantile Regression on Quantile Ranges – A Threshold Approach. (2017). Kuan, Chung-Ming ; Xiao, Zhijie ; Michalopoulos, Christos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

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2018Identifying the nonlinear correlation between business cycle and monetary policy rule: Evidence from China and the U.S.. (2018). Liu, Dayu ; Song, Yang ; Zhao, Tingting ; Xu, Ning. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:45-54.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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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.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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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.

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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.

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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.

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2017Reduced form vector directional quantiles. (2017). Montes-Rojas, Gabriel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:20-30.

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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.

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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.

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2018General Quantile Time Series Regressions for Applications in Population Demographics. (2018). Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: Graz Economics Papers. RePEc:grz:wpaper:2018-09.

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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.

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2017Automatic Portmanteau Tests with Applications to Market Risk Management. (2017). Escanciano, Juan Carlos ; Du, Zaichao ; Zhu, Guangwei . In: CAEPR Working Papers. RePEc:inu:caeprp:2017002.

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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.

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2017Resilience, Weather and Dynamic Adjustments in Agroecosystems: The Case of Wheat Yield in England. (2017). Chavas, Jean-Paul ; Falco, Salvatore . In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:2:d:10.1007_s10640-015-9987-9.

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2018When Kamay Met Hill: Organisational Ethics in Practice. (2018). Szilagyi, Peter ; Batten, Jonathan ; Lonarski, Igor. In: Journal of Business Ethics. RePEc:kap:jbuset:v:147:y:2018:i:4:d:10.1007_s10551-017-3435-4.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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

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

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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.

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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.

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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.

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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.

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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.

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2018The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2018). Barucca, Paolo ; Lillo, Fabrizio. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0293-6.

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2017Risk Measure Inference. (2017). Smeekes, Stephan ; Quaedvlieg, Rogier ; Laurent, Sébastien ; Hurlin, Christophe. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:4:p:499-512.

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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.

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

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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.

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Works by Jose Olmo:


YearTitleTypeCited
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
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article36
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.
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paper1
2018On solving endogeneity with invalid instruments: an application to investment equations In: Journal of the Royal Statistical Society Series A.
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article0
2011Threshold quantile autoregressive models In: Journal of Time Series Analysis.
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article12
2009Threshold quantile autoregressive models.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 12
paper
2019Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics.
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article0
2011Early Detection Techniques for Market Risk Failure In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2008Early Detection Techniques for Market Risk Failure.(2008) In: Working Papers.
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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.
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article1
2008A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences.(2008) In: Working Papers.
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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.
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paper
2015Bank characteristics and the interbank money market: a distributional approach In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
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paper0
2005Testing the existence of clustering in the extreme values In: UC3M Working papers. Economics.
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paper1
2005Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics.
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paper12
2008Testing downside risk efficiency under market distress In: UC3M Working papers. Economics.
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paper0
2008Testing Downside Risk Efficiency Under Market Distress.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
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paper0
2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
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paper7
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
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paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
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2007The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics.
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paper0
2007The impact of heavy tails and comovements in downside-risk diversification.(2007) In: Working Papers.
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2006A new family of estimators for the extremal index In: Working Papers.
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paper0
2007An asset pricing model for mean-variance-downside-risk averse investors In: Working Papers.
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paper0
2007A resolution of the forward discount puzzle In: Working Papers.
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paper0
2007Estimation risk effects on backtesting for parametric value-at-risk models In: Working Papers.
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paper8
2008U-statistic Type Tests for Structural Breaks in Linear Regression Models In: Working Papers.
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paper0
2009Extreme Value Theory Filtering Techniques for Outlier Detection In: Working Papers.
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paper0
2009Detecting the Presence of Informed Price Trading Via Structural Break Tests In: Working Papers.
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2011The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk In: Working Papers.
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2012The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation In: Working Papers.
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paper7
2004Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings.
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paper16
2015Changes in the transmission of monetary policy during crisis episodes: Evidence from the euro area and the U.S. In: Economic Modelling.
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article3
2019An analysis of price discovery between Bitcoin futures and spot markets In: Economics Letters.
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article2
2014Investor sentiment and bond risk premia In: Journal of Financial Markets.
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article17
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
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article11
2014Forecasting daily return densities from intraday data: A multifractal approach In: International Journal of Forecasting.
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article1
2017Optimal asset allocation for strategic investors In: International Journal of Forecasting.
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article0
2011Detecting the presence of insider trading via structural break tests In: Journal of Banking & Finance.
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article10
2012Forecasting the performance of hedge fund styles In: Journal of Banking & Finance.
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article2
2009Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate In: The Journal of Economic Asymmetries.
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article0
2014Optimal currency carry trade strategies In: International Review of Economics & Finance.
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article3
2015A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index In: Econometrics.
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article0
2018Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS In: Energies.
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article0
2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: Journal of Risk and Financial Management.
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article1
2018Unconventional monetary policies and the credit market In: International Journal of Monetary Economics and Finance.
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article0
2011Growth in a cross-section of cities: location, increasing returns or random growth? In: Working Papers.
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paper5
2015Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?.(2015) In: Spatial Economic Analysis.
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2011Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?.(2011) In: Working Papers.
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2009The profitability of carry trades In: Annals of Finance.
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article2
2011The forward discount puzzle and market efficiency In: Annals of Finance.
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article4
2014Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data In: Journal of Financial Econometrics.
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article5
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
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article0
2018Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns In: Journal of Financial Econometrics.
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article0
2011Robust Backtesting Tests for Value-at-risk Models In: Journal of Financial Econometrics.
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article23
2010A Statistical Test of City Growth: Location, Increasing Returns and Random Growth In: MPRA Paper.
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paper2
2009Uncovered Interest Parity: Are Empirical Rejections of It Valid? In: Journal of Economic Integration.
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article1
2014Testing linearity against threshold effects: uniform inference in quantile regression In: Annals of the Institute of Statistical Mathematics.
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article6
2013A panel data test for poverty traps In: Applied Economics.
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article0
2016Investing in the size factor In: Quantitative Finance.
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article0
2018Statistical tests of distributional scaling properties for financial return series In: Quantitative Finance.
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article0
2011Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence In: International Journal of Finance & Economics.
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article8
2018Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach In: International Journal of Finance & Economics.
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article0
2013Quantile Double AR Time Series Models for Financial Returns In: Journal of Forecasting.
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article2

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