Valentina Corradi

University of Surrey - School of Economics

Guildford

Guildford, Surrey GU2 5XH

United Kingdom

SCHOLARLY PAPERS

14

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1,798

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19

Scholarly Papers (14)

1.

Out-of-Sample Tests for Conditional Quantile Coverage - An Application to Growth-at-Risk

Journal of Econometrics, Forthcoming
Number of pages: 42 Posted: 31 Aug 2020 Last Revised: 12 Jul 2023
Valentina Corradi, Jack Fosten and Daniel Gutknecht
University of Surrey - School of Economics, King’s College London - King's Business School and Goethe University Frankfurt
Downloads 415 (150,168)
Citation 4

Abstract:

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Interval Prediction, Quantile Regression, Multiple Hypothesis Testing, Weak Moment Inequalities, Wild Bootstrap, Growth-at-Risk.

2.

The Determinants of Operational Risk Losses

Number of pages: 42 Posted: 25 Jun 2019 Last Revised: 25 Aug 2019
Daniela Alifano, Valentina Corradi and Walter Distaso
Imperial College Business School, University of Surrey - School of Economics and Imperial College Business School
Downloads 318 (201,279)

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operational risk, panel data, incidental parameters, jackknife, censoring

3.

Predictive Ability Tests with Possibly Overlapping Models

Number of pages: 42 Posted: 06 Mar 2023 Last Revised: 20 Feb 2024
Valentina Corradi, Jack Fosten and Daniel Gutknecht
University of Surrey - School of Economics, King’s College London - King's Business School and Goethe University Frankfurt
Downloads 205 (312,973)
Citation 1

Abstract:

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degeneracy, uniform inference, block bootstrap, out-of-sample evaluation, excess bond returns

4.

Intercept Estimation in Nonlinear Sample Selection Models

Number of pages: 47 Posted: 25 Oct 2018 Last Revised: 15 Jun 2022
Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht
University of Warwick - Department of Economics, University of Surrey - School of Economics and Goethe University Frankfurt
Downloads 177 (357,939)

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Irregular Identification, Selection Bias, Local Polynomial, Trimming, Count Data.

5.

Robust Forecast Comparison

Number of pages: 57 Posted: 14 May 2015 Last Revised: 15 Mar 2016
Singapore Management University, University of Surrey - School of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 134 (451,270)
Citation 3

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Convex loss function, Empirical processes, Forecast superiority, General loss function

6.

Monitoring Joint Tail Risks: An Application to Growth and Inflation

Number of pages: 34 Posted: 14 Nov 2024
Valentina Corradi and Jordi Llorens-Terrazas
University of Surrey - School of Economics and University of Surrey
Downloads 123 (482,969)

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GIaR, Iso-Curve, Joint Exceedence, Location-Scale, Stagflation, Worst-case scenario

7.

Possibly Nonstationary Cross-Validation

Johns Hopkins Carey Business School Research Paper No. 17-01
Number of pages: 61 Posted: 16 Mar 2016 Last Revised: 24 Apr 2017
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Surrey - School of Economics and University College London
Downloads 109 (529,032)

Abstract:

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8.

Machine Learning in International Trade Research - Evaluating the Impact of Trade Agreements

CEPR Discussion Paper No. DP17325
Number of pages: 48 Posted: 27 May 2022
University of Surrey - School of Economics, University of Surrey - School of Economics, The Graduate Institute, Geneva, Economic Research Division, WTO, University of Surrey and University of Richmond
Downloads 73 (684,865)
Citation 1
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Deep Trade Agreements, Lasso, Machine Learning, preferential trade agreements

9.

Testing for Jumps and Jump Intensity Path Dependence

Number of pages: 37 Posted: 14 Jul 2017
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 59 (758,975)
Citation 8

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diffusion model, jump intensity, jump size density, tricity

10.

Consistent Pretesting for Jumps

Number of pages: 33 Posted: 12 Jun 2014
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 59 (758,975)
Citation 2

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11.

Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters

Number of pages: 42 Posted: 10 Mar 2020 Last Revised: 24 Aug 2020
University of Surrey - School of Economics, Peking University - Guanghua School of Management and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 56 (778,336)

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12.

Modelling Heaped Duration Data: An Application to Neonatal Mortality

IZA Discussion Paper No. 8493
Number of pages: 38 Posted: 04 Oct 2014
Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht
University of Warwick - Department of Economics, University of Surrey - School of Economics and Goethe University Frankfurt
Downloads 45 (860,264)

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discrete time duration model, heaping, measurement error, neonatal mortality, parameters on the boundary

13.

Intercept Estimation in Nonlinear Selection Models

IZA Discussion Paper No. 14364
Number of pages: 41 Posted: 22 May 2021
Wiji Arulampalam, Valentina Corradi and Daniel Gutknecht
University of Warwick - Department of Economics, University of Surrey - School of Economics and Goethe University Frankfurt
Downloads 25 (1,058,671)

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14.

Heap: A Command for Estimating Discrete Outcome Variable Models in the Presence of Heaping at Known Points

Posted: 31 Aug 2018
University of Warwick - Department of Economics, University of Surrey - School of Economics, Goethe University Frankfurt and Jinan University - Institute for Economic and Social Research

Abstract:

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st0001, heap, heapmph, heapop, Discrete Time Duration Model, Heaping, Measurement Error, Ordered Probability Model