Jose Olmo

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
On solving endogeneity with invalid instruments: an application to investment equations Journal of the Royal Statistical Society. Series A. Statistics in Society	2025-01-13	Paper
Environmental Engel curves: a neural network approach Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-27	Paper
Extremely randomized neural networks for constructing prediction intervals Neural Networks	2023-09-28	Paper
A nonparametric predictive regression model using partitioning estimators based on Taylor expansions Journal of Time Series Analysis	2023-08-24	Paper
Optimal deep neural networks by maximization of the approximation power Computers & Operations Research	2023-07-04	Paper
Early Detection Techniques for Market Risk Failure Studies in Nonlinear Dynamics & Econometrics	2023-03-13	Paper
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences Studies in Nonlinear Dynamics & Econometrics	2023-03-13	Paper
Bank characteristics and the interbank money market: a distributional approach Studies in Nonlinear Dynamics & Econometrics	2023-03-07	Paper
Optimal characteristic portfolios Quantitative Finance	2022-10-14	Paper
Portfolio selection in quantile decision models Annals of Finance	2022-06-13	Paper
Investing in the size factor Quantitative Finance	2021-07-16	Paper
Optimal portfolio choices using financial leverage Bulletin of Economic Research	2021-07-08	Paper
An analysis of price discovery between Bitcoin futures and spot markets Economics Letters	2019-10-10	Paper
Statistical tests of distributional scaling properties for financial return series Quantitative Finance	2018-11-14	Paper
Quantile double AR time series models for financial returns Journal of Forecasting	2018-10-11	Paper
Endogeneity in threshold nonlinearity tests Communications in Statistics. Theory and Methods	2016-06-28	Paper
Conditional stochastic dominance tests in dynamic settings International Economic Review	2014-10-07	Paper
Testing linearity against threshold effects: uniform inference in quantile regression Annals of the Institute of Statistical Mathematics	2014-10-02	Paper
Threshold quantile autoregressive models Journal of Time Series Analysis	2014-06-16	Paper
The forward discount puzzle and market efficiency Annals of Finance	2012-12-03	Paper
Backtesting Parametric Value-at-Risk With Estimation Risk Journal of Business and Economic Statistics	2010-10-11	Paper

Research outcomes over time

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