Jose Olmo : Citation Profile

Are you Jose Olmo?

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

11

H index

13

i10 index

454

Citations

RESEARCH PRODUCTION:

60

Articles

33

Papers

RESEARCH ACTIVITY:

   20 years (2004 - 2024). See details.
   Cites by year: 22
   Journals where Jose Olmo has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 12 (2.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pol72
   Updated: 2024-04-18    RAS profile: 2024-02-06    
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Relations with other researchers

Works with:

Montes-Rojas, Gabriel (7)

Galvao, Antonio (6)

Calvo Pardo, Hector (5)

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

Is cited by:

GUPTA, RANGAN (13)

Hurlin, Christophe (10)

Escanciano, Juan Carlos (8)

Zakoian, Jean-Michel (8)

Francq, Christian (7)

Wohar, Mark (7)

Guidolin, Massimo (6)

Cepni, Oguzhan (6)

Dovern, Jonas (5)

Melo-Velandia, Luis (5)

Kole, Erik (5)

Cites to:

Campbell, John (39)

Hansen, Bruce (25)

Andrews, Donald (22)

Bollerslev, Tim (18)

Ploberger, Werner (18)

Diebold, Francis (17)

Sarno, Lucio (16)

Viceira, Luis (16)

Ait-Sahalia, Yacine (16)

Davidson, Russell (14)

Gonzalo, Jesus (13)

Main data

Where Jose Olmo has published?

Journals with more than one article published# docs
Journal of Financial Econometrics5
Quantitative Finance4
International Journal of Forecasting4
JRFM3
Annals of Finance3
Studies in Nonlinear Dynamics & Econometrics3
International Journal of Monetary Economics and Finance2
International Journal of Finance & Economics2
Journal of Time Series Analysis2
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 (2024 and 2023)

YearTitle of citing document
2023Blockchain in Financial Intermediation and Beyond: What are the Main Barriers for Widespread Adoption?. (2023). Yerushalmi, Erez ; Paladini, Stefania. In: CAFE Working Papers. RePEc:akf:cafewp:22.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2023). Wang, Zhipeng ; Xiong, Xihan ; Huth, Michael ; Knottenbelt, William ; Cui, Tianxiang. In: Papers. RePEc:arx:papers:2311.17715.

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2023.

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2023Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis. (2023). Vo, Xuan Vinh ; Kang, Sang Hoon ; Ko, Hee-Un ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:558-580.

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2023Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623.

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2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

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2023Testing stochastic dominance with many conditioning variables. (2023). Whang, Yoon-Jae ; Seo, Myung Hwan ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:507-527.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023The effect of oil implied volatility and geopolitical risk on GCC stock sectors under various market conditions. (2023). Kassm, Christina Abou ; Hammoud, Rami ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001159.

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2023The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method. (2023). Zhang, Kai Quan ; Yu, Zheng ; Dang, Yi Jing ; Qiao, Sen. In: Energy. RePEc:eee:energy:v:266:y:2023:i:c:s0360544222032303.

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2023Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173.

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2023The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19. (2023). Çevik, Emrah ; Yildirim, Durmu Ari ; Dibooglu, Sel ; Gunay, Samet ; Cevik, Emrah Ismail. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411.

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2023Cryptocurrency hacking incidents and the price dynamics of Bitcoin spot and futures. (2023). Yang, Jimmy J ; Chang, Yung Ting ; Chen, Yu-Lun. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003276.

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2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods. (2023). Urquhart, Andrew ; Duan, Kun ; Huang, Yingying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001597.

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2023A machine learning attack on illegal trading. (2023). Prokhorov, Artem ; Leung, Henry ; James, Robert. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003156.

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2023Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States. (2023). Shahbaz, Muhammad ; Chopra, Ritika ; Singh, Sanjeet ; Sharma, Gagan Deep ; Cifuentes-Faura, Javier. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006110.

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2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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2023A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214.

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2023Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.

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2023How well do investor sentiment and ensemble learning predict Bitcoin prices?. (2023). Sahut, Jean-Michel ; Hikkerova, Lubica ; Hajek, Petr. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002227.

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2023Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network. (2023). Abedin, Mohammad Zoynul ; Fisher, Ben ; Hajek, Petr ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002495.

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2023Crisis Index Prediction Based on Momentum Theory and Earnings Downside Risk Theory: Focusing on South Korea’s Energy Industry. (2023). Hong, Jongyi ; Kim, Hangook ; Park, Kyungbo ; Cha, Jeonghwa. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:5:p:2153-:d:1077630.

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2023Impact of Proof of Work (PoW)-Based Blockchain Applications on the Environment: A Systematic Review and Research Agenda. (2023). Dash, Ashutosh ; Shaikh, Imlak ; Sapra, Nishant. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:218-:d:1112406.

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2023On the Determinants of Bitcoin Returns and Volatility: What We Get from Gets?. (2023). el Montasser, Ghassen ; Messai, Ahlem Selma ; Benhamed, Adel. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1761-:d:1038511.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023CO2 Emission Allowances Risk Prediction with GAS and GARCH Models. (2023). Tiwari, Aviral ; Trabelsi, Nader. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10231-5.

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2023Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors. (2023). Gooijer, Jan G. ; de Gooijer, Jan G. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10289-9.

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2023Sectoral volatility spillovers and their determinants in Vietnam. (2023). Vo, Duc Hong ; Nguyen, Nhan Thien ; Dang, Tam Hoang-Nhat. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09446-9.

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2023Assessing the contribution of South African Insurance Firms to Systemic Risk. (2023). Bonga-Bonga, Lumengo ; Manguzvane, Mathias Mandla ; Zulu, Thulani. In: MPRA Paper. RePEc:pra:mprapa:116815.

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2023Which return regime induces overconfidence behavior? Artificial intelligence and a nonlinear approach. (2023). alp coşkun, esra ; Marco, Chi Keung ; Kahyaoglu, Hakan ; Cokun, Esra Alp. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00446-2.

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2023Efficiency of Wheat Futures across APMC Mandis. (2023). Singh, Rahul Kumar. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00348-9.

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2023Uncovered equity returns parity in non?euro Central European EU member countries. (2023). Sywak, Monika ; Soper, Carolyne ; Orlowski, Lucjan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:307-315.

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2023International journal of finance and economics: A bibliometric overview. (2023). Gupta, Prashant ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:9-46.

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2023Does market power explain margins in dual banking? Evidence from panel quantile regression. (2023). ULUYOL, BURHAN ; Khan, Shabeer ; Saiti, Buerhan ; Khattak, Mudeer A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1826-1844.

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2024Time?varying price discovery in regular and microbitcoin futures. (2024). Yang, Jimmy J ; Chen, Yulun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:103-121.

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2023Banks of a feather: The informational advantage of being alike. (2023). von Westernhagen, Natalja ; Schultz, Alison ; Dinger, Valeriya ; Bednarek, Peter. In: Discussion Papers. RePEc:zbw:bubdps:092023.

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Works by Jose Olmo:

YearTitleTypeCited
2021Experiments on Portfolio Selection: A comparison between quantile preferences and expected utility decision models In: Asociación Argentina de Economía Política: Working Papers.
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2021EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS.(2021) In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
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2022Experiments on portfolio selection: A comparison between quantile preferences and expected utility decision models.(2022) In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics).
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This paper has nother version. Agregated cites: 0		article
2020Portfolio Selection in Quantile Decision Models In: Working Papers.
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2022Portfolio selection in quantile decision models.(2022) In: Annals of Finance.
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2021Prediction intervals for Deep Neural Networks In: Papers.
[Full Text][Citation analysis]		paper0
2010Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article58
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
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This paper has nother version. Agregated cites: 58		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
2020Optimal portfolio choices using financial leverage In: Bulletin of Economic Research.
[Full Text][Citation analysis]		article0
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
2022Environmental Engel curves: A neural network approach In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article0
2011Threshold quantile autoregressive models In: Journal of Time Series Analysis.
[Citation analysis]		article19
2023A nonparametric predictive regression model using partitioning estimators based on Taylor expansions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
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
2021Modeling the spread of COVID?19 in New York City In: Papers in Regional Science.
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2021Analysis of Bitcoin prices using market and sentiment variables In: The World Economy.
[Full Text][Citation analysis]		article10
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.
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This paper has nother 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.
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2008A nonlinear threshold model for the dependence of extremes of stationary sequences.(2008) In: Working Papers.
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This paper has nother 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]		article9
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper2
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]		paper19
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.
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2009Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics.
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2010Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper6
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
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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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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.
[Full Text][Citation analysis]		paper0
2007An asset pricing model for mean-variance-downside-risk averse investors In: Working Papers.
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2007A resolution of the forward discount puzzle In: Working Papers.
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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]		paper2
2009Threshold quantile autoregressive 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]		paper4
2012The Cross-Section of Interbank Rates: A Nonparametric Empirical Investigation In: Working Papers.
[Full Text][Citation analysis]		paper8
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]		article6
2024Dynamic robust portfolio selection under market distress In: The North American Journal of Economics and Finance.
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2019An analysis of price discovery between Bitcoin futures and spot markets In: Economics Letters.
[Full Text][Citation analysis]		article48
2020Optimal asset allocation using a combination of implied and historical information In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2020Financial integration in the United Arab Emirates Stock Markets In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2014Investor sentiment and bond risk premia In: Journal of Financial Markets.
[Full Text][Citation analysis]		article38
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article23
2014Forecasting daily return densities from intraday data: A multifractal approach In: International Journal of Forecasting.
[Full Text][Citation analysis]		article4
2017Optimal asset allocation for strategic investors In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2021Granger causality detection in high-dimensional systems using feedforward neural networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2011Detecting the presence of insider trading via structural break tests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
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]		article6
2021Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic In: Research in International Business and Finance.
[Full Text][Citation analysis]		article22
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]		article6
2020Neural Network Models for Empirical Finance In: JRFM.
[Full Text][Citation analysis]		article0
2022Machine Learning the Carbon Footprint of Bitcoin Mining In: JRFM.
[Full Text][Citation analysis]		article2
2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM.
[Full Text][Citation analysis]		article2
2018Unconventional monetary policies and the credit market In: International Journal of Monetary Economics and Finance.
[Full Text][Citation analysis]		article1
2008On the role of volatility for modelling risk exposure In: International Journal of Monetary Economics and Finance.
[Full Text][Citation analysis]		article1
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.
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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.
[Full Text][Citation analysis]		article2
2011The forward discount puzzle and market efficiency In: Annals of Finance.
[Full Text][Citation analysis]		article5
2014Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
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]		article3
2022Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* 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]		article30
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]		article10
2013A panel data test for poverty traps In: Applied Economics.
[Full Text][Citation analysis]		article1
2021An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain In: Defence and Peace Economics.
[Full Text][Citation analysis]		article1
2021The size premium as a lottery In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2016Investing in the size factor In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2018Statistical tests of distributional scaling properties for financial return series In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2021Optimal portfolio allocation and asset centrality revisited In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2022Optimal characteristic portfolios In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2023Functional coefficient quantile regression model with time-varying loadings In: Journal of Applied Economics.
[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]		article16
2018Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article1
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]		article4
2021Optimal portfolio allocation using option?implied information In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2

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