Laura Coroneo

University of York - Department of Economics and Related Studies

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

8

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CITATIONS
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11

Scholarly Papers (8)

1.

A Simple Two-Component Model for the Distribution of Intra-Day Returns

CORE Discussion Paper No. 2006/77
Number of pages: 41 Posted: 19 Nov 2006 Last Revised: 10 Jun 2011
Laura Coroneo and David Veredas
University of York - Department of Economics and Related Studies and Vlerick Business School
Downloads 473 (58,336)
Citation 4

Abstract:

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Intraday returns, Quantile Regression, intraday VaR

2.

How Arbitrage-Free is the Nelson-Siegel Model?

ECB Working Paper No. 874
Number of pages: 60 Posted: 27 Feb 2008
Laura Coroneo, Ken Nyholm and Rositsa Vidova-Koleva
University of York - Department of Economics and Related Studies, European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 294 (101,238)
Citation 18

Abstract:

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Nelson-Siegel model, No-arbitrage restrictions, affine term structure models, non-parametric test

3.

Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics

Number of pages: 63 Posted: 05 Jan 2017 Last Revised: 17 Feb 2018
Laura Coroneo and Fabrizio Iacone
University of York - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Downloads 90 (279,113)
Citation 2

Abstract:

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Diebold and Mariano Test, Long Run Variance Estimation, Fixed-Smoothing Asymptotics, Heteroskedasticity Autocorrelation Robust (HAR) Inference, SPF

4.

TIPS Liquidity Premium and Quantitative Easing

Number of pages: 37 Posted: 05 Jan 2017 Last Revised: 30 Apr 2018
Laura Coroneo
University of York - Department of Economics and Related Studies
Downloads 87 (285,097)
Citation 3

Abstract:

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TIPS, Liquidity Premium, Factor Models, Quantitative Easing

5.

Testing for Optimal Monetary Policy via Moment Inequalities

Number of pages: 38 Posted: 09 Jun 2011 Last Revised: 09 Feb 2018
University of York - Department of Economics and Related Studies, University of Warwick - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 79 (302,237)

Abstract:

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Bootstrap, GMM, Moment Inequalities, Optimal Monetary Policy

6.

Unspanned Macroeconomic Factors in the Yield Curve

FEDS Working Paper No. 2014-57
Number of pages: 49 Posted: 23 Aug 2014
Laura Coroneo, Domenico Giannone and Michele Modugno
University of York - Department of Economics and Related Studies, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 76 (309,187)
Citation 5

Abstract:

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Yield curve, government bonds, factor models, forecasting

7.

European Spreads at the Interest Rate Lower Bound

Number of pages: 41 Posted: 24 May 2017 Last Revised: 19 Sep 2017
Laura Coroneo and Sergio Pastorello
University of York - Department of Economics and Related Studies and University of Bologna - Department of Economics
Downloads 64 (339,490)

Abstract:

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lower bound, sovereign risk, shadow rate term structure model

8.

International Stock Comovements with Endogenous Clusters

FRB St. Louis Working Paper No. 2018-38
Number of pages: 39 Posted: 14 Jan 2019 Last Revised: 21 Feb 2019
University of York - Department of Economics and Related Studies, Bentley University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 12 (559,130)

Abstract:

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diversification, risk, international financial markets, clustered factor model