| Backtesting parametric value-at-risk with estimation risk JC Escanciano, J Olmo Journal of Business & Economic Statistics 28 (1), 36-51, 2010 | 190 | 2010 |
| An analysis of price discovery between Bitcoin futures and spot markets B Kapar, J Olmo Economics Letters 174, 62-64, 2019 | 164 | 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 | 151 | 2021 |
| Robust backtesting tests for value-at-risk models JC Escanciano, J Olmo Journal of Financial Econometrics 9 (1), 132-161, 2011 | 87 | 2011 |
| Investor sentiment and bond risk premia R Laborda, J Olmo Journal of Financial Markets 18, 206-233, 2014 | 85 | 2014 |
| Threshold quantile autoregressive models AF Galvao Jr, G Montes‐Rojas, J Olmo Journal of Time Series Analysis 32 (3), 253-267, 2011 | 77 | 2011 |
| Analysis of Bitcoin prices using market and sentiment variables B Kapar, J Olmo The World Economy 44 (1), 45-63, 2021 | 68 | 2021 |
| Contagion versus flight to quality in financial markets J Gonzalo, J Olmo | 67 | 2005 |
| Which extreme values are really extreme? J Gonzalo, J Olmo Journal of Financial Econometrics 2 (3), 349-369, 2004 | 67 | 2004 |
| 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 | 64 | 2013 |
| 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 | 46 | 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 | 44 | 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 (2), 413-439, 2014 | 39 | 2014 |
| Deep reinforcement learning for portfolio selection Y Jiang, J Olmo, M Atwi Global Finance Journal 62, 101016, 2024 | 32 | 2024 |
| Overnight news and daily equity trading risk limits K Ahoniemi, AM Fuertes, J Olmo Journal of Financial Econometrics 14 (3), 525-551, 2016 | 30 | 2016 |
| Optimal currency carry trade strategies J Laborda, R Laborda, J Olmo International Review of Economics & Finance 33, 52-66, 2014 | 28 | 2014 |
| Portfolio selection under systemic risk W Lin, J Olmo, A Taamouti Journal of Money, Credit and Banking 57 (4), 905-949, 2025 | 25 | 2025 |
| Machine learning the carbon footprint of bitcoin mining HF Calvo-Pardo, T Mancini, J Olmo Journal of Risk and Financial Management 15 (2), 71, 2022 | 24 | 2022 |
| 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 | 23 | 2018 |
| The profitability of carry trades J Olmo, K Pilbeam Annals of Finance 5 (2), 231-241, 2009 | 22 | 2009 |
