Laura Coroneo

University of York - Department of Economics and Related Studies

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 37,956

SSRN RANKINGS

Top 37,956

in Total Papers Downloads

1,276

SSRN CITATIONS
Rank 19,413

SSRN RANKINGS

Top 19,413

in Total Papers Citations

24

CROSSREF CITATIONS

23

Scholarly Papers (9)

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 485 (62,956)
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 299 (110,249)
Citation 3

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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 114 (261,692)
Citation 3

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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 101 (284,731)
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 85 (317,804)
Citation 4

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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 81 (327,145)
Citation 19

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 73 (347,313)
Citation 1

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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: 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 22 (550,048)

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diversification, risk, international financial markets, clustered factor model

9.

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

Number of pages: 31 Posted: 08 May 2020
Laura Coroneo and Alberto Caruso
University of York - Department of Economics and Related Studies and Confindustria, Centro Studi
Downloads 16 (587,991)

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