Jose Olmo : Citation Profile

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

12

H index

14

i10 index

555

Citations

RESEARCH PRODUCTION:

67

Articles

35

Papers

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 26
   Journals where Jose Olmo has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 13 (2.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pol72
   Updated: 2026-01-17    RAS profile: 2025-05-15    
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Relations with other researchers

Works with:

Calvo Pardo, Hector (6)

Montes-Rojas, Gabriel (6)

Galvao, Antonio (5)

Kim, Jeong Yeol (3)

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 (14)

Hurlin, Christophe (11)

Escanciano, Juan Carlos (9)

Zakoian, Jean-Michel (8)

Francq, Christian (8)

Wohar, Mark (7)

Kole, Erik (6)

Guidolin, Massimo (6)

Cepni, Oguzhan (6)

Moreno Gutiérrez, José (5)

Liu, Xiaochun (5)

Cites to:

Campbell, John (49)

Hansen, Bruce (25)

Bollerslev, Tim (22)

Andrews, Donald (21)

Viceira, Luis (21)

Ait-Sahalia, Yacine (20)

Engle, Robert (19)

Diebold, Francis (18)

Ploberger, Werner (17)

Gonzalo, Jesus (14)

Davidson, Russell (14)

Main data

Where Jose Olmo has published?

Journals with more than one article published# docs
Journal of Financial Econometrics6
International Journal of Forecasting4
Quantitative Finance4
Annals of Finance3
JRFM3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Banking & Finance2
Journal of Time Series Analysis2
Economic Modelling2
International Review of Economics & Finance2
International Journal of Finance & Economics2
International Journal of Monetary Economics and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, City St George's, University of London14
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía9

Recent works citing Jose Olmo (2025 and 2024)

YearTitle of citing document
2025Portfolio Optimization Based on MPT-LSTM Neural Networks: A case study of Cryptocurrency Markets. (2025). Zouaoui, Habib ; Naas, Meryem-Nadjat. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:7:y:2025:i:1:p:82-98.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Market Misconduct in Decentralized Finance (DeFi): Analysis, Regulatory Challenges and Policy Implications. (2024). Wang, Zhipeng ; Xiong, Xihan ; Knottenbelt, William ; Cui, Tianxiang ; Huth, Michael. In: Papers. RePEc:arx:papers:2311.17715.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2025Statistical Validation of Contagion Centrality in Financial Networks. (2025). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Modelling shock propagation and resilience in financial temporal networks. (2024). Rizzini, Giorgio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.09340.

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2025Testing Conditional Stochastic Dominance at Target Points. (2025). Kim, Deborah ; Canay, Ivan A ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2503.14747.

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2025Tailoring Portfolio Choice via Quantile-Targeted Policies. (2025). Baruník, Jozef ; Sarkany, Attila ; Janasek, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2510.19271.

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2025Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

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2024Non‐crossing quantile double‐autoregression for the analysis of streaming time series data. (2024). Yu, Keming ; Choy, Siu Kai ; Jiang, Rong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:513-532.

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2024Global COVID-19 under-reporting: A Tobit model. (2024). Wang, Yulu ; Kumbhakar, Subal C. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002748.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2024Who has mastered exchange rate ups and downs: China or the United States?. (2024). Lin, YE ; Liu, Tie-Ying. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000068.

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2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Network-Based prediction of financial cross-sector risk spillover in China: A deep learning approach. (2024). Xu, Wei ; Tang, Pan ; Wang, Haosen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000767.

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2024A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Kao, Yu-Sheng ; Day, Min-Yuh ; Chou, Ke-Hsin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846.

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2024How does node centrality in a financial network affect asset price prediction?. (2024). Xu, Yuhong ; Zhao, Xinyao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000883.

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2025Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic. (2025). Kappagantula, Akhil Venkatasai ; Anand, Kamesh ; Mishra, Aswini Kumar. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002225.

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2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

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2025A note on the relationship between Bitcoin price and sentiment: New evidence obtained from a cryptocurrency heist. (2025). Ashton, John ; Manahov, Viktor ; Li, Mingnan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000725.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2024Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk. (2024). Fosten, Jack ; Corradi, Valentina ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000927.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. (2025). Chen, Jing ; Zhao, Chengzhi ; Han, Qian ; Guo, Qian. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561.

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2024ynamic time-domain and frequency-domain spillovers and portfolio strategies between climate change attention and energy-relevant markets. (2024). Dai, Zhifeng ; Liu, Xinheng ; Yang, MI ; Hu, Juan. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324003359.

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2025Assessment of banking risk in the context of the oil and gas bubbles. (2025). Dell'Atti, Stefano ; Onorato, Grazia ; di Tommaso, Caterina ; Paltrinieri, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325004177.

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2024COVID-19, the Russian-Ukrainian conflict and the extreme spillovers between fossil energy, electricity, and carbon markets. (2024). Lin, Boqiang ; Ye, Yingjin ; Wang, Chonghao ; Cai, Sijie ; Que, Dingfei. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s036054422403175x.

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2024The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard J. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300529x.

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2024Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Wang, Yifu ; Hardle, Wolfgang Karl ; Lu, Wanbo ; Ren, Rui ; Lin, Min-Bin. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Spillover between investor sentiment and volatility: The role of social media. (2024). Indriawan, Ivan ; Fernandez-Perez, Adrian ; Yang, NI. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005751.

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2024International interest rate arbitrage: Study on a novel strategy. (2024). Feng, Xuan ; Li, Zhuoran ; Wu, Wei. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006379.

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2025Market impact of the bitcoin ETF introduction on bitcoin futures. (2025). Xu, KE ; Chen, Yu-Lun ; Yang, Jimmy J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007427.

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2025Exploring the impact of economic recession indicators on global financial markets: A QVAR analysis. (2025). Marangoz, Cumali ; Bulut, Emre. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000535.

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2025Reevaluating intermarket connectedness: The impact of Monday return calculations on cryptocurrencies and traditional assets. (2025). Ali, Fahad ; Du, Anna Min ; Majeed, Muhammad Ansar. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325002806.

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2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

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2025Floating exchange rate efficiency: Grouping patterns and pandemic impacts. (2025). Portela, Jose ; Rodriguez-Gallego, Alejandro ; Corzo, Teresa ; Martin-Bujack, Karin. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000149.

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2025Ex ante bond returns and time-varying monotonicity. (2025). Yahyaei, Hamid ; Singh, Abhay ; Smith, Tom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000046.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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2024Comparative risk aversion vs. threshold choice in the Omega ratio. (2024). Schweizer, Nikolaus ; Chau, Ki Wai ; Balter, Anne G. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001561.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2025Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers. (2025). Yuan, Xianghui ; Zhao, Chencheng ; Long, Jun ; Li, Xiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003378.

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2024A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling. (2024). David, S A ; Kristoufek, L ; Queiroz, R. G. S., . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:652:y:2024:i:c:s0378437124005557.

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2024Ethereum futures and the efficiency of cryptocurrency spot markets. (2024). NEKHILI, Ramzi ; Bouri, Elie ; Kristjanpoller, Werner. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:654:y:2024:i:c:s0378437124006708.

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2025Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?. (2025). GUPTA, RANGAN ; Bouri, Elie ; Babalos, Vassilios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:102:y:2025:i:c:s106297692500047x.

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2024Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability. (2024). Chaâbane, Najeh ; Bouzouita, Nesrine ; Chaabane, Najeh ; Gaies, Brahim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:43-70.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Tzavalis, Elias ; Smyrnakis, Dimitris ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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2024Green cryptocurrencies and portfolio diversification in the era of greener paths. (2024). Sensoy, Ahmet ; khurram, Muhammad usman ; Vo, Xuan Vinh ; Ali, Fahad. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:191:y:2024:i:c:s1364032123009954.

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2024An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices. (2024). Billah, Syed ; Balli, Faruk ; Rana, Faisal ; Kapar, Burcu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1442-1467.

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2024Determinants of the price of bitcoin: An analysis with machine learning and interpretability techniques. (2024). Gorjon, Sergio ; Carbo, Jose Manuel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:123-140.

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2024Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach. (2024). Gabauer, David ; Balli, Hatice ; Nhat, Tam Hoang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:121-139.

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2024Comparative analysis of responses of risky and safe haven assets to stock market risk before and after the yield curve inversions in the U.S.. (2024). Hammoudeh, Shawkat ; Sokhanvar, Amin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s105905602400368x.

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2024Context-dependent responses to geopolitical risk in Middle Eastern and African stock markets: An asymmetric volatility spillover study. (2024). Eissa, Mohamed Abdelaziz ; al Refai, Hisham. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003940.

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2024Is the Evergrande crisis spilling beyond China?. (2024). James, Wendy ; Ahmed, Shamima ; Moussa, Faten ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002064.

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2024New roles for energy and financial markets in spillover connections: context under COVID-19 and the Russia–Ukraine conflict. (2024). Lu, Xinjie ; Guo, Xiaozhu ; Mu, Shaobo ; Zhang, Min. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s027553192400196x.

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2024Impact of firm characteristics and country-level governance on global energy stocks during crises. (2024). Pandey, Dharen ; Nor, Safwan Mohd ; Ali, Azwadi ; Rusere, Warren ; Al-Ahdal, Waleed M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002939.

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2025Multi-media textual information, COVID-19 sentiment and bond spread. (2025). Liu, Funing ; Zhang, Xiaolin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004501.

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2025The role of Guru investor in Bitcoin: Evidence from Kolmogorov-Arnold Networks. (2025). Shen, Dehua ; Wu, Yize. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000455.

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2024A Self-Adaptive Centrality Measure for Asset Correlation Networks. (2024). Grassi, Rosanna ; Bartesaghi, Paolo ; Clemente, Gian Paolo. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:7:p:164-:d:1423703.

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2024Testing of Portfolio Optimization by Timor-Leste Portfolio Investment Strategy on the Stock Market. (2024). Madaleno, Mara ; Anuno, Fernando ; Vieira, Elisabete. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:78-:d:1340646.

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2025Sustainable vs. Non-Sustainable Assets: A Deep Learning-Based Dynamic Portfolio Allocation Strategy. (2025). ben Hamadou, Fatma ; Abbes, Mouna Boujelbne. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:10:p:563-:d:1764661.

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2025ESG Performance Empowers Financial Flexibility in Manufacturing Firms—Empirical Evidence from China. (2025). Wu, Yawei ; He, Xuesong ; Wei, Jianzhi. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:3:p:1171-:d:1581455.

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2024GARCHNet: Value-at-Risk Forecasting with GARCH Models Based on Neural Networks. (2024). Buczyński, Mateusz ; Buczynski, Mateusz ; Chlebus, Marcin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:5:d:10.1007_s10614-023-10390-7.

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2025Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market?. (2025). Mohamad, Azhar. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-025-10998-x.

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2024Machine learning in accounting and finance research: a literature review. (2024). Alexandridis, Antonios ; Nerantzidis, Michail ; Liaras, Evangelos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01306-z.

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2025Volatility spillovers in the Russian stock market: Responses to exogenous shocks. (2025). Balash, V ; Faizliev, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2025:i:67:p:65-84.

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2025Nonlinear connectedness of conventional crypto-assets and sustainable crypto-assets with climate change: A complex systems modelling approach. (2025). Anupam, Angesh ; Macherla, Shreya ; Khan, Mushtaq Hussain. In: PLOS ONE. RePEc:plo:pone00:0318647.

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2024Enduring relief or fleeting respite? Bitcoin as a hedge and safe haven for the US dollar. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05884-y.

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2024The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models. (2024). Rounaghi, Mohammad Mahdi ; Terraza, Virginie ; Pek, Asli Boru. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00520-3.

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2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y.

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2025Von Thunen Revisited? An Econometric Analysis of Metropolitan Expansion and Land-Use Change in Greece. (2025). Cudlin, Pavel ; Rontos, Kostas ; Muolo, Alessandro ; Salvati, Luca. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:2:d:10.1007_s13253-025-00675-9.

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2024A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1.

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2024Long-run inequality persistence in the U.S., 1870–2019. (2024). Sanso-Navarro, Marcos ; Gayn-Navarro, Carlos. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:172:y:2024:i:1:d:10.1007_s11205-024-03309-8.

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2024Change point detection in high dimensional data with U-statistics. (2024). Horvath, Lajos ; Boniece, Cooper B ; Jacobs, Peter M ; Horvth, Lajos. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:2:d:10.1007_s11749-023-00900-y.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2024The role of long‐ and short‐run correlation networks in international portfolio selection. (2024). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:3:p:3147-3176.

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2024Performance and reporting predictability of hedge funds. (2024). Beckerfoss, Elisa. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2257-2278.

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2025A Multifrequency Data Fusion Deep Learning Model for Carbon Price Prediction. (2025). Liu, Yongmei ; Xiao, Canran. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:436-458.

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2025Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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

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2024Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market. (2024). Chen, Yulun ; Xu, KE ; Liu, BO. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:605-618.

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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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This paper has nother version. Agregated cites: 0		paper
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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2020Portfolio Selection in Quantile Decision Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2022Portfolio selection in quantile decision models.(2022) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
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]		article66
2008Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		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]		article1
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
2009Threshold quantile autoregressive models.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
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.
[Full Text][Citation analysis]		article2
2021Analysis of Bitcoin prices using market and sentiment variables In: The World Economy.
[Full Text][Citation analysis]		article17
2011Early Detection Techniques for Market Risk Failure In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2008Early Detection Techniques for Market Risk Failure.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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 nother 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 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]		article10
2016Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper3
2024Testing extreme warming and geographical heterogeneity 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]		paper21
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 nother 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]		paper7
2013Conditional stochastic dominance tests in dynamic settings.(2013) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS.(2014) In: International Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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 nother 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]		paper2
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
2025A causal analysis of environmental and financial performance: Differences between brown and green firms In: Economic Modelling.
[Full Text][Citation analysis]		article1
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]		article7
2024Dynamic robust portfolio selection under market distress In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article0
2019An analysis of price discovery between Bitcoin futures and spot markets In: Economics Letters.
[Full Text][Citation analysis]		article70
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]		article4
2014Investor sentiment and bond risk premia In: Journal of Financial Markets.
[Full Text][Citation analysis]		article44
2024Deep reinforcement learning for portfolio selection In: Global Finance Journal.
[Full Text][Citation analysis]		article2
2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction In: International Journal of Forecasting.
[Full Text][Citation analysis]		article26
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]		article4
2021Granger causality detection in high-dimensional systems using feedforward neural networks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2011Detecting the presence of insider trading via structural break tests In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2012Forecasting the performance of hedge fund styles In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
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]		article7
2025High-dimensional multi-period portfolio allocation using deep reinforcement learning In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
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]		article38
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]		article8
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]		paper6
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 nother version. Agregated cites: 6		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 nother version. Agregated cites: 6		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]		article6
2022Portfolio Selection Under Systemic Risk In: Research Papers.
[Full Text][Citation analysis]		paper0
2025Portfolio Selection under Systemic Risk.(2025) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2014Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article9
2016Overnight News and Daily Equity Trading Risk Limits In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article7
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
2024Measuring and Testing Systemic Risk from 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]		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
Downside risk asset pricing revisited: a new non-linear threshold model In: Journal of Risk.
[Full Text][Citation analysis]		article0
2014Testing linearity against threshold effects: uniform inference in quantile regression In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]		article10
2025A novel test of economic convergence in time series In: Empirical Economics.
[Full Text][Citation analysis]		article0
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]		article2
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]		article8
2022Optimal characteristic portfolios In: Quantitative Finance.
[Full Text][Citation analysis]		article2
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]		article17
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]		article5
2021Optimal portfolio allocation using option‐implied information In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team