Economics (2005). Universidad Carlos III de Madrid.
- J. Olmo and K. Pilbeam (2010). Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the Evidence. Forthcoming 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 (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.
- 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. Gonzalo and J. Olmo (2004). Which Extreme Values are Really Extreme? Journal of Financial Econometrics, 2 (3), 349-369.
- Nonlinear Threshold Models for the
Dependence of Extremes of Stationary Sequences (with O. Martinez)
- 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
- 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
- "A new Uncovered Interest
Parity Condition based on Foreign Exchange Market Expectations" (with
- "Dynamic Stochastic Dominance
Tests For Hedge Fund Performance Persistence and Market Neutrality"
(with Marcos Sanso-Navarro)