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Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Fuertes, Ana María; Olmo, Jose - In: International journal of forecasting 29 (2013) 1, pp. 28-42
Persistent link: https://www.econbiz.de/10009706180
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Bank characteristics and the interbank money market : a distributional approach
Olmo, Jose; Iori, Giulia; Kapar, Burcu - 2014
Persistent link: https://www.econbiz.de/10010362465
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Semiparametric density forecasts of daily financial returns from intraday data
Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432
Persistent link: https://www.econbiz.de/10010351542
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Conditional stochastic dominance tests in dynamic settings
Gonzalo, Jesús; Olmo, Jose - 2013
Persistent link: https://www.econbiz.de/10010238623
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Backtesting parametric value-at-risk with estimation risk
Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003992793
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Early detection techniques for market risk failure
Olmo, Jose; Pouliot, William - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-53
Persistent link: https://www.econbiz.de/10009521859
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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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Testing the existence of clustering in the extreme values
Olmo, Jose (contributor) - 2005
Persistent link: https://www.econbiz.de/10003423044
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The measurement and application of risk in economics and finance
Olmo, Jose (contributor); Pilbeam, Keith (contributor) - 2008
Persistent link: https://www.econbiz.de/10003822475