Dr José Olmo

 

Phone:020    7040   4129
Fax:   020     7040   8580
Email: j.olmo@city.ac.uk

 

BSc in Mathematics in 1998 (Universidad de Zaragoza)

PhD in Economics in 2005 (Universidad Carlos III de Madrid)

 

Discussion papers:

"A New Family of Estimators for the Extremal Index'' Discussion Paper Series, Department of Economics, City University, London.

 

"Contagion vs Flight to Quality in Financial Markets" (with Jesús Gonzalo) Working paper 05-18, Economic Series 10, Universidad Carlos III de Madrid

 

"Estimation Risk Effects on Backtesting for Parametric Value- at- Risk Models" (with Juan Carlos Escanciano) Center for Applied Economics and Policy Research Working Paper No. 2007-005,  Indiana University.

 

Working papers:

 

"A New Method for Measuring and Testing the Existence of Clustering in the Extreme Values of Stationary Sequences" 

 

"An Asset Pricing Model for Mean-Variance-Downside-Risk Averse Investors"

 

"Are empirical rejections of UIP valid?" (with Keith Pilbeam)

 

"Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-Examination of the Evidence" (with Keith Pilbeam)

 

"The Impact of Heavy Tails and Comovements in Downside-Risk Diversification" (with Jesus Gonzalo)

 

"A Resolution of Forward Rate Discount Puzzle" (with Keith Pilbeam)

 

"A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences" (with Oscar Martinez)

 

"The Profitability of Carry Trades" (with Keith Pilbeam) 

 

"Backtesting VaR with Estimation Risk" (with Juan Carlos Escanciano)

 

 

Publications in peer reviewed journals:

 

Which Extreme Values are Really Extreme?," (with Jesus Gonzalo), Journal of Financial Econometrics 2004, 2 (3): 349-369.

 

 

Academic Activities:

 

Editorial Board of International Journal of Monetary Economics and Finance.

 

Referee of Journal of Econometrics, Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Business and Economic  Statistics, Journal of Empirical Finance, Journal of International Money and Finance, Applied Financial Economics, Journal of Economics Behavior and Organization, Journal of Computational Methods in Science and Engineering.

 

 

Teaching:

 

Msc level:

  • Financial Econometrics
  • Economics of Financial Markets

 

Undergraduate level:

  • Econometrics I
  • Introductory Econometrics

 

Links:


To my personal webpage:    http://www.staff.city.ac.uk/j.olmo/