About
Jose has published in international journals such as International Economic Review, Journal of Business and Economic Statistics, Journal of Applied Econometrics and Journal of Financial Econometrics, among many other international academic journals. He also served as Associate Editor for Journal of Royal Statistical Society - Series A and Bulleting of Economic Research. Currently, he is in the editorial board of International Journal of Finance and Economics.
Research
Research groups
Research interests
- Financial econometrics
- Time series analysis
- Financial economics
- Empirical Finance
- Econometric theory
Current research
Jose´s research interests are currently focused on developing alternative tests of cointegration robust to the ordering of the regressors and that accommodate serial and mutual correlation between the innovations. Jose is also working on developing risk management models to detect the presence of systemic risk in financial markets based on the occurrence of aggregate tail events. He is also studying the dynamics of extreme events in annual temperatures and in particular developing methods to detect the presence of trends in both tails of the distribution. Jose also collaborates with PhD students at University of Southampton on developing models to account for the effect of firms´carbon footprint on profitability and cost of debt, and pricing uncertainty on empirical asset pricing models.
Publications
Teaching
Jose has taught a variety of courses in applied econometrics, time series, financial econometrics, empirical finance and financial derivatives at undergraduate and master level. Jose has also developed teaching interest and delivered short courses on data science and machine learning at graduate level.
Biography
Jose Olmo is part-time professor at University of Southampton. Jose received a BSc in Mathematics from Universidad de Zaragoza and a PhD in Economics from Universidad Carlos III de Madrid. Before joining University of Southampton as Reader in Economics, Jose was Senior Lecturer at City University London. Jose has also taught as visiting professor at IE Business School, Universitat Pompeu Fabra and Imperial College London. He is currently Senior Research Fellow at Fundación Agencia Aragonesa para la Investigación y el Desarrollo in Spain.