Valentina Corradi

University of Warwick - Department of Economics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

9

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CITATIONS
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44

Scholarly Papers (9)

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 Swiss Finance Institute & University of Lugano
Downloads 518 (30,531)
Citation 9

Abstract:

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 80 (232,629)
Citation 1

Abstract:

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

3.

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 54 (274,445)

Abstract:

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

4.

Testing for Optimal Monetary Policy via Moment Inequalities

Number of pages: 50 Posted: 09 Jun 2011 Last Revised: 04 Jan 2017
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 34 (321,679)

Abstract:

Bootstrap, GMM, Moment Inequalities, Optimal Monetary Policy

5.

Testing for Structural Stability of Factor Augmented Forecasting Models

Journal of Econometrics, Forthcoming
Number of pages: 53 Posted: 16 Jul 2013
Valentina Corradi and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 24 (373,108)

Abstract:

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

6.

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
University of Warwick - Department of Economics, Universidad de los Andes, Colombia and Rutgers University - Department of Economics
Downloads 24 (401,520)
Citation 12

Abstract:

bias, efficiency, generically comprehensive tests, rationality

7.

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

International Economic Review, Vol. 48, No. 1, pp. 67-109, February 2007
Number of pages: 43 Posted: 08 Feb 2007
Valentina Corradi and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 22 (430,691)
Citation 20

Abstract:

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 and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 17 (435,837)
Citation 2

Abstract:

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

9.

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 and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 16 (388,657)

Abstract:

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