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Early detection techniques for market risk failure

Olmo, Jose; Pouliot, William - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-53

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009521859

Detecting the presence of insider trading via structural break tests

Olmo, Jose; Pilbeam, Keith; Pouliot, William - In: Journal of Banking & Finance 35 (2011) 11, pp. 2820-2828

The occurrence of abnormal returns before the unscheduled announcement of price sensitive information is a potential indicator of insider trading. We identify insider trading with a structural change in the intercept of an extended capital asset pricing model. To detect such a change we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009292499

Early detection techniques for market risk failure

Olmo, Jose; Pouliot, William - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-53

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010008354

Optimal deep neural networks by maximization of the approximation power

Calvo Pardo, Héctor F.; Mancini, Tullio; Olmo, Jose - In: Computers & operations research : and their … 156 (2023), pp. 1-15

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014373690

A nonlinear threshold model for the dependence of extremes of stationary sequences

Martinez, Oscar; Olmo, Jose - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-37

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009656085

Changes in the transmission of monetary policy during crisis episodes : evidence from the euro area and the U.S.

Olmo, Jose; Sanso-Navarro, Marcos - In: Economic modelling 48 (2015), pp. 155-166

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011452513

Bank characteristics and the interbank money market : a distributional approach

Iori, Giulia; Kapar, Burcu; Olmo, Jose - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 249-283

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011317162

Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns

Galvao, Antonio Fialho <Jr.>; Juhl, Ted; Montes-Rojas, … - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 211-243

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011987759

Unconventional monetary policies and the credit market

Olmo, Jose; Sanso-Navarro, Marcos - In: International journal of monetary economics and finance 11 (2018) 5, pp. 480-498

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011998329

Optimal asset allocation for strategic investors

Laborda, Ricardo; Olmo, Jose - In: International journal of forecasting 33 (2017) 4, pp. 970-987

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011746933