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On the role of volatility for modelling risk exposure
Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234
We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...
Persistent link: https://www.econbiz.de/10005753752
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On the role of volatility for modelling risk exposure
Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234
We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...
Persistent link: https://www.econbiz.de/10008538671
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Changes in the transmission of monetary policy during crisis episodes : evidence from the euro area and the U.S.
Olmo, Jose; Sanso-Navarro, Marcos - In: Economic modelling 48 (2015), pp. 155-166
Persistent link: https://www.econbiz.de/10011452513
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Conditional stochastic dominance tests in dynamic settings
Gonzalo, Jesús; Olmo, Jose - In: International economic review 55 (2014) 3, pp. 819-838
Persistent link: https://www.econbiz.de/10010423939
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Testing downside risk efficiency under market distress
Gonzalo, Jesús (contributor); Olmo, Jose (contributor) - 2008
Persistent link: https://www.econbiz.de/10003774249
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The forward discount puzzle and market efficiency
Pilbeam, Keith; Olmo, Jose - In: Annals of finance 7 (2011) 1, pp. 119-135
Persistent link: https://www.econbiz.de/10008840217
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Downside risk efficiency under market distress
Gonzalo, Jesus; Olmo, Jose - 2009
Persistent link: https://www.econbiz.de/10003972376
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New panel unit root tests of PPP
Coakley, Jerry - In: Economics letters 57 (1997) 1, pp. 17-22
Persistent link: https://www.econbiz.de/10001229597
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On cross-border bank credit and the U.S. financial crisis transmission to equity markets
Yan, Cheng; Phylaktis, Kate; Fuertes, Ana María - In: Journal of international money and finance 69 (2016), pp. 108-134
Persistent link: https://www.econbiz.de/10011711903
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Evaluating the persistence and structuralist theories of unemployment from a nonlinear perspective
Coakley, Jerry (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10001769749