11
H index
13
i10 index
427
Citations
Universidad de Zaragoza (80% share) | 11 H index 13 i10 index 427 Citations RESEARCH PRODUCTION: 56 Articles 18 Papers RESEARCH ACTIVITY: 18 years (2004 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pol72 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jose Olmo. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Journal of Financial Econometrics | 5 |
Quantitative Finance | 4 |
International Journal of Forecasting | 4 |
JRFM | 3 |
Studies in Nonlinear Dynamics & Econometrics | 3 |
Annals of Finance | 3 |
International Journal of Finance & Economics | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía | 8 |
Year | Title of citing document |
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2023 | Blockchain 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. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper |
2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2023). Huth, Michael ; Knottenbelt, William ; Cui, Tianxiang ; Wang, Zhipeng ; Xiong, Xihan. In: Papers. RePEc:arx:papers:2311.17715. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Frequency 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. Full description at Econpapers || Download paper |
2023 | Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2023 | Testing 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. Full description at Econpapers || Download paper |
2023 | Out-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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Stock–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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Cryptocurrency 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. Full description at Econpapers || Download paper |
2023 | Portfolio 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. Full description at Econpapers || Download paper |
2023 | Discovering 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Investigating 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. Full description at Econpapers || Download paper |
2023 | Spillovers 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Foreign 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. Full description at Econpapers || Download paper |
2023 | How 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. Full description at Econpapers || Download paper |
2023 | Nonlinearity 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. Full description at Econpapers || Download paper |
2023 | Crisis 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. Full description at Econpapers || Download paper |
2023 | Impact 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. Full description at Econpapers || Download paper |
2023 | On 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. Full description at Econpapers || Download paper |
2023 | Monitoring 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. Full description at Econpapers || Download paper |
2023 | CO2 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. Full description at Econpapers || Download paper |
2023 | Penalized 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. Full description at Econpapers || Download paper |
2023 | Sectoral 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. Full description at Econpapers || Download paper |
2023 | Assessing 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. Full description at Econpapers || Download paper |
2023 | Which 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. Full description at Econpapers || Download paper |
2023 | Efficiency 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. Full description at Econpapers || Download paper |
2023 | Uncovered 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. Full description at Econpapers || Download paper |
2023 | International 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. Full description at Econpapers || Download paper |
2023 | Does 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. Full description at Econpapers || Download paper |
2023 | Banks 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2021 | EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET). [Full Text][Citation analysis] | paper | 0 |
2022 | Experiments 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). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | Portfolio Selection in Quantile Decision Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Portfolio selection in quantile decision models.(2022) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2021 | Prediction intervals for Deep Neural Networks In: Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 57 |
2008 | Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2014 | Tests 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] | paper | 1 |
2020 | Optimal portfolio choices using financial leverage In: Bulletin of Economic Research. [Full Text][Citation analysis] | article | 0 |
2018 | On solving endogeneity with invalid instruments: an application to investment equations In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 1 |
2022 | Environmental Engel curves: A neural network approach In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 0 |
2011 | Threshold quantile autoregressive models In: Journal of Time Series Analysis. [Citation analysis] | article | 19 |
2019 | Differences Between Short? and Long?Term Risk Aversion: An Optimal Asset Allocation Perspective In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | Modeling the spread of COVID?19 in New York City In: Papers in Regional Science. [Full Text][Citation analysis] | article | 0 |
2021 | Analysis of Bitcoin prices using market and sentiment variables In: The World Economy. [Full Text][Citation analysis] | article | 10 |
2011 | Early Detection Techniques for Market Risk Failure In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2012 | A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2008 | A nonlinear threshold model for the dependence of extremes of stationary sequences.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2015 | Bank characteristics and the interbank money market: a distributional approach In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 9 |
2016 | Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2005 | Testing the existence of clustering in the extreme values In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
2005 | Contagion versus flight to quality in financial markets In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 19 |
2008 | Testing downside risk efficiency under market distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2009 | Downside Risk Efficiency Under Market Distress In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2010 | Conditional stochastic dominance tests in dynamic settings In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
2013 | Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2014 | CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2007 | The impact of heavy tails and comovements in downside-risk diversification In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
2004 | Which Extreme Values are Really Extremes? In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 17 |
2015 | Changes 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] | article | 6 |
2019 | An analysis of price discovery between Bitcoin futures and spot markets In: Economics Letters. [Full Text][Citation analysis] | article | 45 |
2020 | Optimal asset allocation using a combination of implied and historical information In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2020 | Financial integration in the United Arab Emirates Stock Markets In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
2014 | Investor sentiment and bond risk premia In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 38 |
2013 | Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 23 |
2014 | Forecasting daily return densities from intraday data: A multifractal approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
2017 | Optimal asset allocation for strategic investors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2021 | Granger causality detection in high-dimensional systems using feedforward neural networks In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
2011 | Detecting the presence of insider trading via structural break tests In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
2012 | Forecasting the performance of hedge fund styles In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2009 | Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate In: The Journal of Economic Asymmetries. [Full Text][Citation analysis] | article | 0 |
2014 | Optimal currency carry trade strategies In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 6 |
2021 | Volatility 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] | article | 22 |
2015 | A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index In: Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | Modelling the Dynamics of Fuel and EU Allowance Prices during Phase 3 of the EU ETS In: Energies. [Full Text][Citation analysis] | article | 6 |
2020 | Neural Network Models for Empirical Finance In: JRFM. [Full Text][Citation analysis] | article | 0 |
2022 | Machine Learning the Carbon Footprint of Bitcoin Mining In: JRFM. [Full Text][Citation analysis] | article | 2 |
2016 | On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open? In: JRFM. [Full Text][Citation analysis] | article | 2 |
2018 | Unconventional monetary policies and the credit market In: International Journal of Monetary Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2011 | Growth in a cross-section of cities: location, increasing returns or random growth? In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Growth in a Cross-section of Cities: Location, Increasing Returns or Random Growth?.(2015) In: Spatial Economic Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2011 | Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2009 | The profitability of carry trades In: Annals of Finance. [Full Text][Citation analysis] | article | 2 |
2011 | The forward discount puzzle and market efficiency In: Annals of Finance. [Full Text][Citation analysis] | article | 5 |
2014 | Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
2016 | Overnight News and Daily Equity Trading Risk Limits In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
2018 | Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
2022 | Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2011 | Robust Backtesting Tests for Value-at-risk Models In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 30 |
2010 | A Statistical Test of City Growth: Location, Increasing Returns and Random Growth In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
2009 | Uncovered Interest Parity: Are Empirical Rejections of It Valid? In: Journal of Economic Integration. [Citation analysis] | article | 1 |
2014 | Testing linearity against threshold effects: uniform inference in quantile regression In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] | article | 10 |
2013 | A panel data test for poverty traps In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
2021 | An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain In: Defence and Peace Economics. [Full Text][Citation analysis] | article | 1 |
2021 | The size premium as a lottery In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Investing in the size factor In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2018 | Statistical tests of distributional scaling properties for financial return series In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2021 | Optimal portfolio allocation and asset centrality revisited In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
2022 | Optimal characteristic portfolios In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
2011 | Uncovered interest parity and the efficiency of the foreign exchange market: a re?examination of the evidence In: International Journal of Finance & Economics. [Citation analysis] | article | 16 |
2018 | Does the PPP condition hold for oil†exporting countries? A quantile cointegration regression approach In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 1 |
2019 | Tests of asset pricing with time?varying factor loads In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
2013 | Quantile Double AR Time Series Models for Financial Returns In: Journal of Forecasting. [Citation analysis] | article | 4 |
2021 | Optimal portfolio allocation using option?implied information In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
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