Laura Coroneo

University of York - Department of Economics and Related Studies

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

10

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in Total Papers Downloads

1,416

SSRN CITATIONS
Rank 20,048

SSRN RANKINGS

Top 20,048

in Total Papers Citations

29

CROSSREF CITATIONS

23

Scholarly Papers (10)

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 490 (73,332)
Citation 5

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 310 (123,854)
Citation 4

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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 120 (290,755)
Citation 4

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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 111 (307,129)
Citation 5

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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 86 (362,397)
Citation 3

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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, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 85 (365,074)
Citation 21

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 78 (384,009)
Citation 2

Abstract:

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lower bound, sovereign risk, shadow rate term structure model

8.

Does Real-Time Macroeconomic Information Help to Predict Interest Rates?

Number of pages: 31 Posted: 08 May 2020
Laura Coroneo, Alberto Caruso and Alberto Caruso
University of York - Department of Economics and Related Studies and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)Confindustria, Centro Studi
Downloads 62 (434,471)

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Government Bonds; Dynamic Factor Models; Real-Time Macroeconomics; Survey Data.

Testing the Predictive Accuracy of COVID-19 Forecasts

Number of pages: 33 Posted: 21 Jul 2021
University of York - Department of Economics and Related Studies, Università degli Studi di Milano, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University of York - Department of Economics and Related Studies
Downloads 39 (545,507)

Abstract:

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Forecast evaluation, Forecasting tests, Epidemic

Testing the Predictive Accuracy of COVID-19 Forecasts

CAMA Working Paper No. 52/2021
Number of pages: 35 Posted: 10 Aug 2021
University of York - Department of Economics and Related Studies, Università degli Studi di Milano, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University of York - Department of Economics and Related Studies
Downloads 12 (729,090)

Abstract:

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Forecast evaluation, Forecasting tests, Epidemic

10.

International Stock Comovements with Endogenous Clusters

Number of pages: 43 Posted: 14 Jan 2019 Last Revised: 28 Mar 2020
Laura Coroneo, Laura Jackson Young and Michael Owyang
University of York - Department of Economics and Related Studies, Bentley University - Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 23 (621,594)

Abstract:

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diversification, risk, international financial markets, clustered factor model