pictureolmo

Education:

- Ph.D. Economics (2005). Universidad Carlos III de Madrid.
- BSc. Mathematics (1998). Universidad de Zaragoza

Academic Positions:
-
Associate Professor, Centro Universitario de la Defensa de Zaragoza
- Senior Lecturer in Economics, City University London

  CV


         

       


       
      

        

Publications:

- J. Olmo and W. Pouliot (2011). Early Detection Techniques for Market Risk Failure. Forthcoming  in Studies in Nonlinear Dynamics  & Econometrics.

-  J. Olmo and K. Pilbeam (2010).  Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the EvidenceForthcoming in International Journal of Finance and Economics.

 

- J.C. Escanciano and J. Olmo (2010). Robust Backtesting Tests for Value-at-Risk. Forthcoming in Journal of Financial Econometrics.

 

- J. Olmo and K. Pilbeam (2010). The Forward Discount Puzzle and Market Efficiency. Forthcoming in Annals of Finance.

 

- J. Olmo (2010). Downside Risk Asset Pricing Revisited: A New Nonlinear Threshold Model. Journal of Risk, Fall, Vol 13, 1, 62-83.

 

- J.C. Escanciano and J. Olmo (2010). Backtesting Parametric Value-at-Risk with Estimation Risk.  Journal of Business and Economic Statistics, Vol 28, 1, 36-51.

 

- J.C. Escanciano and J. Olmo (2009). Specification Tests in Parametric Value-at-Risk Models.  Economica. Proceedings of the 1st International Financial Research Forum, Chapter 5, 29-46.


- A. Galvao, G. Montes-Rojas and J. Olmo (2009). Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate. Journal of Economic Asymmetries, Vol 6, 2, 69-82.

 

- J. Olmo and K. Pilbeam (2009). Are empirical rejections of UIP valid? Journal of Economic Integration 24 (2), 370-385.

 

- J. Olmo and K. Pilbeam (2008). The profitability of Carry Trades. Annals of Finance, Vol 5, 2, 231-241.


- J. Olmo (2008). On the Role of Volatility for Modelling Risk Exposure. International Journal of Monetary Economics and Finance, Vol 1, 2, 219-234.

 

- J. Gonzalo and J. Olmo  (2004). Which Extreme Values are Really Extreme? Journal of Financial Econometrics, 2 (3), 349-369.


Working Papers:

- Nonlinear Threshold Models for the Dependence of Extremes of Stationary Sequences (with O. Martinez)
 

-  Threshold Quantile Autoregressive Models. (with A. Galvao and G. Montes-Rojas)

- A Uniform Test for Linearity in Quantile Regression (with A. Galvao, K. Kato and G. Montes-Rojas)

- Panel Data Tests for Poverty Traps (with A. Galvao and G. Montes-Rojas)

- On Volatility Forecasting: What Improves Daily VaR? (with Ana Maria Fuertes)

- Quantile AR-ARCH Time Series Models (with Yuzhi Cai and Gabriel Montes-Rojas)

- A Note On Endogeneity In Threshold Nonlinearity Tests (with A. Dentler and G. Montes-Rojas)

- Conditional Stochastic Dominance Tests in Dynamic Settings (with Jesus Gonzalo)

- A U-statistic Type Test to Disentangle Breaks in Intercept from Slope in Linear Regression Models (with  William Pouliot)

- Detecting the Presence of Insider Trading via Structural Break Tests (with Keith Pilbeam and William Pouliot)

- A Statistical Test of City Growth: Location, Increasing Returns and Random Growth (with Rafael Gonzalez-Val)

 

Unpublished Manuscripts:

Extreme Value Theory Filtering Techniques for Outlier Detection. Available at http://www.city.ac.uk/economics/discussionpapers/index.html

A New Family of Consistent and Asymptotically Normal Estimators for the Extremal Index.  Available at SSRN:http://ssrn.com/abstract=1552837
 

Work in Progress:

- "A new Uncovered Interest Parity Condition based on Foreign Exchange Market Expectations" (with Yuzhi Cai)

- "Dynamic Stochastic Dominance Tests For Hedge Fund Performance Persistence and Market Neutrality" (with Marcos Sanso-Navarro)