Details about Laura Coroneo

Access statistics for papers by Laura Coroneo.

Last updated 2022-04-08. Update your information in the RePEc Author Service.

Short-id: pco461

Working Papers

2021

1. Predicting the COVID-19 epidemic: is a regional approach preferable?
   Discussion Papers, Department of Economics, University of York
2. Testing for equal predictive accuracy with strong dependence
   Discussion Papers, Department of Economics, University of York
3. Testing the predictive accuracy of COVID-19 forecasts
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Discussion Papers, Department of Economics, University of York (2020) View citations (1)

2020

4. International Stock Comovements with Endogenous Clusters
   Working Papers, Federal Reserve Bank of St. Louis
   See also Journal Article in Journal of Economic Dynamics and Control (2020)

2019

5. A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters
   Discussion Papers, Department of Economics, University of York View citations (1)
6. Predicting interest rates in real-time
   Discussion Papers, Department of Economics, University of York

2017

7. European spreads at the interest rate lower bound
   Discussion Papers, Department of Economics, University of York View citations (4)
   See also Journal Article in Journal of Economic Dynamics and Control (2020)

2015

8. Comparing predictive accuracy in small samples
   Discussion Papers, Department of Economics, University of York View citations (12)
9. TIPS Liquidity Premium and Quantitative Easing
   Discussion Papers, Department of Economics, University of York

2014

10. Unspanned macroeconomic factors in the yield curve
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2013) View citations (12)
    See also Journal Article in Journal of Business & Economic Statistics (2016)

2013

11. Testing for optimal monetary policy via moment inequalities
    Discussion Papers, Department of Economics, University of York View citations (6)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2012) View citations (1)
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2012) View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2018)

2012

12. A simple two-component model for the distribution of intraday returns
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
    See also Journal Article in The European Journal of Finance (2012)

2008

13. How arbitrage-free is the Nelson-Siegel Model?
    Working Paper Series, European Central Bank View citations (13)
    See also Journal Article in Journal of Empirical Finance (2011)

2006

14. Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)

Journal Articles

2020

1. Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics
   Journal of Applied Econometrics, 2020, 35, (4), 391-409 View citations (7)
2. European spreads at the interest rate lower bound
   Journal of Economic Dynamics and Control, 2020, 119, (C)
   See also Working Paper (2017)
3. International Stock Comovements with Endogenous Clusters
   Journal of Economic Dynamics and Control, 2020, 116, (C)
   See also Working Paper (2020)

2018

4. Testing for optimal monetary policy via moment inequalities
   Journal of Applied Econometrics, 2018, 33, (6), 780-796 View citations (4)
   See also Working Paper (2013)

2016

5. Unspanned Macroeconomic Factors in the Yield Curve
   Journal of Business & Economic Statistics, 2016, 34, (3), 472-485 View citations (24)
   See also Working Paper (2014)

2012

6. A simple two-component model for the distribution of intraday returns
   The European Journal of Finance, 2012, 18, (9), 775-797 View citations (3)
   See also Working Paper (2012)

2011

7. How arbitrage-free is the Nelson-Siegel model?
   Journal of Empirical Finance, 2011, 18, (3), 393-407 View citations (52)
   See also Working Paper (2008)