Details about Valentina Corradi

Access statistics for papers by Valentina Corradi.

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

Short-id: pco129

Working Papers

2016

1. Possibly Nonstationary Cross-Validation
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)

2013

2. Testing for optimal monetary policy via moment inequalities
   Discussion Papers, Department of Economics, University of York View citations (6)

2012

3. Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)

2011

4. Information in the Revision Process of Real-Time Datasets
   Departmental Working Papers, Rutgers University, Department of Economics View citations (5)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (10)
   See also Journal Article Information in the Revision Process of Real-Time Datasets, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (39) (2009)

2010

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

2009

6. Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
   Working Papers, Federal Reserve Bank of Philadelphia

2008

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

2006

8. Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes
   Departmental Working Papers, Rutgers University, Department of Economics View citations (17)
   See also Journal Article NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2007) View citations (64) (2007)
9. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
   Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
   See also Journal Article Predictive density estimators for daily volatility based on the use of realized measures, Journal of Econometrics, Elsevier (2009) View citations (25) (2009)
10. Predictive Density Evaluation. Revised
    Departmental Working Papers, Rutgers University, Department of Economics View citations (75)
11. Predictive Inference for Integrated Volatility
    Departmental Working Papers, Rutgers University, Department of Economics View citations (10)

2004

12. Predective Density and Conditional Confidence Interval Accuracy Tests
    Departmental Working Papers, Rutgers University, Department of Economics View citations (1)
    See also Journal Article Predictive density and conditional confidence interval accuracy tests, Journal of Econometrics, Elsevier (2006) View citations (75) (2006)
13. Predictive Density Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics View citations (9)
    See also Chapter Predictive Density Evaluation, Handbook of Economic Forecasting, Elsevier (2006) View citations (153) (2006)

2003

14. A Test for Comparing Multiple Misspecified Conditional Distributions
    Departmental Working Papers, Rutgers University, Department of Economics View citations (30)
15. Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification
    Departmental Working Papers, Rutgers University, Department of Economics View citations (33)
16. Bootstrap Specification Tests for Diffusion Processes
    Departmental Working Papers, Rutgers University, Department of Economics View citations (14)
17. Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data
    Departmental Working Papers, Rutgers University, Department of Economics View citations (26)
18. Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
    Departmental Working Papers, Rutgers University, Department of Economics View citations (15)
19. The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation
    Departmental Working Papers, Rutgers University, Department of Economics View citations (2)
20. 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 View citations (2)

2000

21. Strong Rules for Detecting the Number of Breaks in a Time Series
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (29)

1996

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

Undated

23. Consensus and Co-Existence in an Interactive Process of Opinion Formation
    Penn CARESS Working Papers, Penn Economics Department View citations (2)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (2)
24. Continuous Approximations of Stochastic Evolutionary Game Dynamics
    ELSE working papers, ESRC Centre on Economics Learning and Social Evolution View citations (14)
25. Ergodicity and Clustering in Opinion Formation
    Penn CARESS Working Papers, Penn Economics Department View citations (1)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (1)

Journal Articles

2020

1. heap: A command for fitting discrete outcome variable models in the presence of heaping at known points
   Stata Journal, 2020, 20, (2), 435-467

2014

2. NONPARAMETRIC NONSTATIONARITY TESTS
   Econometric Theory, 2014, 30, (1), 127-149 View citations (14)

2013

3. Macroeconomic determinants of stock volatility and volatility premiums
   Journal of Monetary Economics, 2013, 60, (2), 203-220 View citations (73)

2012

4. International market links and volatility transmission
   Journal of Econometrics, 2012, 170, (1), 117-141 View citations (23)

2009

5. Information in the Revision Process of Real-Time Datasets
   Journal of Business & Economic Statistics, 2009, 27, (4), 455-467 View citations (39)
   See also Working Paper Information in the Revision Process of Real-Time Datasets, Departmental Working Papers (2011) View citations (5) (2011)
6. Predictive density estimators for daily volatility based on the use of realized measures
   Journal of Econometrics, 2009, 150, (2), 119-138 View citations (25)
   See also Working Paper Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures, Departmental Working Papers (2006) View citations (1) (2006)

2007

7. NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES
   International Economic Review, 2007, 48, (1), 67-109 View citations (64)
   See also Working Paper Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes, Departmental Working Papers (2006) View citations (17) (2006)

2006

8. Predictive density and conditional confidence interval accuracy tests
   Journal of Econometrics, 2006, 135, (1-2), 187-228 View citations (75)
   See also Working Paper Predective Density and Conditional Confidence Interval Accuracy Tests, Departmental Working Papers (2004) View citations (1) (2004)

2005

9. 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 View citations (102)

2002

10. Bounds for inference with nuisance parameters present only under the alternative
    Econometrics Journal, 2002, 5, (2), 494-519 View citations (27)

2001

11. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (4), 598-620 View citations (82)
12. Predictive ability with cointegrated variables
    Journal of Econometrics, 2001, 104, (2), 315-358 View citations (59)

Chapters

2006

1. Predictive Density Evaluation
   Elsevier View citations (153)
   See also Working Paper Predictive Density Evaluation, Rutgers University, Department of Economics (2004) View citations (9) (2004)