Valentina Corradi

University of Warwick - Department of Economics

Coventry CV4 7AL

United Kingdom

  • University of Warwick - Department of Economics

SCHOLARLY PAPERS

8

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1,615

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in Total Papers Citations

24

CROSSREF CITATIONS

48

Scholarly Papers (8)

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1.

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

Swiss Finance Institute Research Paper No. 12-18
Number of pages: 70 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Antonio Mele
University of Warwick - Department of Economics, Imperial College Business School and University of Lugano
Downloads 1,027 (43,223)
Citation 21

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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference

2.

International Market Links and Volatility Transmission

Number of pages: 47 Posted: 14 Feb 2012
Valentina Corradi, Walter Distaso and Marcelo Fernandes
University of Warwick - Department of Economics, Imperial College Business School and Queen Mary University of London - Economics Department
Downloads 124 (435,838)
Citation 1

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conditional independence, jump-diffusion, noncausality, quadratic variation, realized variance, stochastic

3.

Testing for Optimal Monetary Policy via Moment Inequalities

Number of pages: 38 Posted: 09 Jun 2011 Last Revised: 09 Feb 2018
Laura Coroneo, Valentina Corradi and Paulo Santos Monteiro
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 107 (486,216)
Citation 3

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Bootstrap, GMM, Moment Inequalities, Optimal Monetary Policy

4.

Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions

Number of pages: 47 Posted: 29 Jun 2011 Last Revised: 04 Jul 2011
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Downloads 106 (489,581)
Citation 5

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data-driven bandwidth selection, non-stationary autoregression, nonparametric cointegration, recurrence

5.

A Survey of Recent Advances in Forecast Accuracy Comparison Testing, With an Extension to Stochastic Dominance

Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 2012
Number of pages: 26 Posted: 15 Jul 2013
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 71 (626,316)

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block bootstrap, recursive estimation scheme, reality check, parameter estimation error

6.

Testing for Structural Stability of Factor Augmented Forecasting Models

Journal of Econometrics, Forthcoming
Number of pages: 53 Posted: 16 Jul 2013
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 70 (631,024)
Citation 4

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diffusion index, factor loading stability, forecast failure, forecast stability, regression coefficients stability

7.

Information in the Revision Process of Real-Time Datasets

FRB of Philadelphia Working Paper No. 08-27
Number of pages: 28 Posted: 30 Oct 2008
Valentina Corradi, Andrés Fernández Martin, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics, Universidad de los Andes, Colombia and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 66 (650,662)
Citation 12

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bias, efficiency, generically comprehensive tests, rationality

8.

Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models

FRB of Philadelphia Working Paper No. 09-29
Number of pages: 40 Posted: 26 Oct 2009
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 44 (779,637)
Citation 1

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Block bootstrap, diffusion processes, jumps, nonparametric simulated quasi maximum likelihood, parameter estimation error, recursive estimation, stochastic volatility