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Downside risk efficiency under market distress

Gonzalo, Jesus; Olmo, Jose - 2009

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003972376

Conditional stochastic dominance tests in dynamic settings

Gonzalo, Jesús; Olmo, Jose - In: International economic review 55 (2014) 3, pp. 819-838

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010423939

The forward discount puzzle and market efficiency

Pilbeam, Keith; Olmo, Jose - In: Annals of finance 7 (2011) 1, pp. 119-135

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008840217

Testing downside risk efficiency under market distress

Gonzalo, Jesús (contributor); Olmo, Jose (contributor) - 2008

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003774249

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

Do actively managed US mutual funds produce positive alpha?

Huang, Rong; Pilbeam, Keith; Pouliot, William - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 472-492

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012598403

On the role of volatility for modelling risk exposure

Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234

We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005753752

On the role of volatility for modelling risk exposure

Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008538671