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Strategic asset allocation revisited
Laborda, Ricardo; Olmo, Jose - 2015
Persistent link: https://www.econbiz.de/10011412825
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Exchange rates, macroeconomic fundamentals and risk aversion
Laborda, Ricardo; Olmo, Jose - In: Theoretical economics letters 4 (2014) 6, pp. 363-370
Persistent link: https://www.econbiz.de/10010530821
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Optimal currency carry trade strategies
Laborda, Juan; Laborda, Ricardo; Olmo, Jose - In: International review of economics & finance : IREF 33 (2014), pp. 52-66
Persistent link: https://www.econbiz.de/10010531286
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Optimal asset allocation for strategic investors
Laborda, Ricardo; Olmo, Jose - In: International journal of forecasting 33 (2017) 4, pp. 970-987
Persistent link: https://www.econbiz.de/10011746933
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Long-run risk dynamics, instabilities, and breaks on European credit markets over a crisis period
Kapar, Burcu; Laborda, Ricardo; Olmo, Jose - In: The journal of fixed income 22 (2012) 2, pp. 31-43
Persistent link: https://www.econbiz.de/10009670718
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An empirical analysis of terrorism and stock market spillovers : the case of Spain
Laborda, Ricardo; Olmo, Jose - In: Defence and peace economics 32 (2021) 1, pp. 68-86
Persistent link: https://www.econbiz.de/10012392086
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Hedging demand in long-term asset allocation with an application to carry trade strategies
Laborda, Ricardo; Olmo, Jose - In: Journal of financial econometrics 20 (2022) 3, pp. 472-504
Persistent link: https://www.econbiz.de/10013349135
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Volatility spillover between economic sectors in financial crisis prediction : evidence spanning the great financial crisis and Covid-19 pandemic
Laborda, Ricardo; Olmo, Jose - In: Research in international business and finance 57 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013332964
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A new family of consistent and asymptotically-normal estimators for the extremal index
Olmo, Jose - In: Econometrics : open access journal 3 (2015) 3, pp. 633-653
The extremal index (O) is the key parameter for extending extreme value theory results from i.i.d. to stationary sequences. One important property of this parameter is that its inverse determines the degree of clustering in the extremes. This article introduces a novel interpretation of the...
Persistent link: https://www.econbiz.de/10011410643
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Downside risk asset pricing revisited : a new non-linear threshold model
Olmo, Jose - In: Journal of risk 13 (2010/11) 1, pp. 129-159
Persistent link: https://www.econbiz.de/10008699146