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Details about Valentina Corradi

Homepage:http://www.surrey.ac.uk/economics/people/valentina_corradi/
Phone:44 1493 386914
Postal address:University of Surrey School of Economics Guildford, GU2 7XH UK
Workplace:School of Economics, University of Surrey, (more information at EDIRC)

Access statistics for papers by Valentina Corradi.

Last updated 2017-03-05. Update your information in the RePEc Author Service.

Short-id: pco129


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Working Papers

2016

  1. Possibly Nonstationary Cross-Validation
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)

2013

  1. Testing for optimal monetary policy via moment inequalities
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)

2011

  1. Information in the Revision Process of Real-Time Datasets
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads View citations (9)

    See also Journal Article in Journal of Business & Economic Statistics (2009)

2010

  1. Strategic manipulations and collusions in Knaster procedure: a comment
    MPRA Paper, University Library of Munich, Germany Downloads

2008

  1. Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads

2006

  1. Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (15)
    See also Journal Article in International Economic Review (2007)
  2. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2009)
  3. Predictive Density Evaluation. Revised
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (56)
  4. Predictive Inference for Integrated Volatility
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (5)

2004

  1. Predective Density and Conditional Confidence Interval Accuracy Tests
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2006)
  2. Predictive Density Accuracy Tests
    Working Papers, Warwick Business School, Finance Group Downloads View citations (8)
  3. Predictive Density Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (8)
    See also Chapter (2006)

2003

  1. A Test for Comparing Multiple Misspecified Conditional Distributions
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (29)
  2. Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (33)
  3. Bootstrap Specification Tests for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (10)
  4. Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (26)
  5. Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (15)
  6. The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
  7. The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)

2000

  1. Strong Rules for Detecting the Number of Breaks in a Time Series
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (28)

1996

  1. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (20)

Undated

  1. Consensus and Co-Existence in an Interactive Process of Opinion Formation
    Penn CARESS Working Papers, Penn Economics Department Downloads View citations (2)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads
  2. Continuous Approximations of Stochastic Evolutionary Game Dynamics
    ELSE working papers, ESRC Centre on Economics Learning and Social Evolution Downloads View citations (6)
  3. Ergodicity and Clustering in Opinion Formation
    Penn CARESS Working Papers, Penn Economics Department Downloads View citations (1)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads View citations (1)
  4. Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

Journal Articles

2014

  1. NONPARAMETRIC NONSTATIONARITY TESTS
    Econometric Theory, 2014, 30, (01), 127-149 Downloads View citations (2)

2013

  1. Macroeconomic determinants of stock volatility and volatility premiums
    Journal of Monetary Economics, 2013, 60, (2), 203-220 Downloads View citations (16)

2012

  1. International market links and volatility transmission
    Journal of Econometrics, 2012, 170, (1), 117-141 Downloads View citations (11)

2009

  1. Information in the Revision Process of Real-Time Datasets
    Journal of Business & Economic Statistics, 2009, 27, (4), 455-467 Downloads View citations (30)
    See also Working Paper (2011)
  2. Predictive density estimators for daily volatility based on the use of realized measures
    Journal of Econometrics, 2009, 150, (2), 119-138 Downloads View citations (17)
    See also Working Paper (2006)

2007

  1. NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES
    International Economic Review, 2007, 48, (1), 67-109 Downloads View citations (35)
    See also Working Paper (2006)

2006

  1. Predictive density and conditional confidence interval accuracy tests
    Journal of Econometrics, 2006, 135, (1-2), 187-228 Downloads View citations (62)
    See also Working Paper (2004)

2005

  1. Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries
    International Journal of Forecasting, 2005, 21, (1), 167-183 Downloads View citations (34)

2002

  1. Bounds for inference with nuisance parameters present only under the alternative
    Econometrics Journal, 2002, 5, (2), 494-519 Downloads View citations (22)

2001

  1. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (04), 598-620 Downloads View citations (66)
  2. Predictive ability with cointegrated variables
    Journal of Econometrics, 2001, 104, (2), 315-358 Downloads View citations (52)

Chapters

2006

  1. Predictive Density Evaluation
    Elsevier Downloads View citations (94)
    See also Working Paper (2004)
 
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