| Backtesting parametric value-at-risk with estimation risk JC Escanciano, J Olmo Journal of Business & Economic Statistics 28 (1), 36-51, 2010 | 175 | 2010 |
| An analysis of price discovery between Bitcoin futures and spot markets B Kapar, J Olmo Economics Letters 174, 62-64, 2019 | 132 | 2019 |
| Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic R Laborda, J Olmo Research in International Business and Finance 57, 101402, 2021 | 100 | 2021 |
| Robust backtesting tests for value-at-risk models JC Escanciano, J Olmo Journal of Financial Econometrics 9 (1), 132-161, 2011 | 82 | 2011 |
| Investor sentiment and bond risk premia R Laborda, J Olmo Journal of Financial Markets 18, 206-233, 2014 | 75 | 2014 |
| Contagion versus flight to quality in financial markets J Gonzalo, J Olmo Nº.: UC3M Working Paper. Economics 2005-10, 2005 | 66 | 2005 |
| Threshold quantile autoregressive models AF Galvao Jr, G Montes‐Rojas, J Olmo Journal of Time Series Analysis 32 (3), 253-267, 2011 | 65 | 2011 |
| Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction AM Fuertes, J Olmo International Journal of Forecasting 29 (1), 28-42, 2013 | 61 | 2013 |
| Which extreme values are really extreme? J Gonzalo, J Olmo Journal of Financial Econometrics 2 (3), 349-369, 2004 | 59 | 2004 |
| Analysis of Bitcoin prices using market and sentiment variables B Kapar, J Olmo The World Economy 44 (1), 45-63, 2021 | 45 | 2021 |
| Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence J Olmo, K Pilbeam International Journal of Finance & Economics 16 (2), 189-204, 2011 | 44 | 2011 |
| Detecting the presence of insider trading via structural break tests J Olmo, K Pilbeam, W Pouliot Journal of banking & finance 35 (11), 2820-2828, 2011 | 42 | 2011 |
| Testing linearity against threshold effects: uniform inference in quantile regression AF Galvao, K Kato, G Montes-Rojas, J Olmo Annals of the Institute of Statistical Mathematics 66, 413-439, 2014 | 34 | 2014 |
| Overnight news and daily equity trading risk limits K Ahoniemi, AM Fuertes, J Olmo Journal of Financial Econometrics 14 (3), 525-551, 2016 | 28 | 2016 |
| Optimal currency carry trade strategies J Laborda, R Laborda, J Olmo International Review of Economics & Finance 33, 52-66, 2014 | 27 | 2014 |
| The profitability of carry trades J Olmo, K Pilbeam Annals of Finance 5, 231-241, 2009 | 23 | 2009 |
| Modeling the spread of COVID‐19 in New York City J Olmo, M Sanso‐Navarro Papers in Regional Science 100 (5), 1209-1230, 2021 | 19 | 2021 |
| The forward discount puzzle and market efficiency K Pilbeam, J Olmo Annals of Finance 7, 119-135, 2011 | 19 | 2011 |
| Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns AF Galvao, T Juhl, G Montes-Rojas, J Olmo Journal of Financial Econometrics 16 (2), 211-243, 2018 | 18 | 2018 |
| Bank characteristics and the interbank money market: a distributional approach G Iori, B Kapar, J Olmo Studies in Nonlinear Dynamics & Econometrics 19 (3), 249-283, 2015 | 18 | 2015 |
