Valentina Corradi

University of Warwick - Department of Economics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

9

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1,223

SSRN CITATIONS
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Top 14,357

in Total Papers Citations

17

CROSSREF CITATIONS

47

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 University of Lugano
Downloads 779 (32,193)
Citation 20

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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 98 (279,039)
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 85 (305,412)
Citation 2

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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 82 (312,217)
Citation 4

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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 and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 48 (409,930)

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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 and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 46 (417,246)
Citation 1

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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
University of Warwick - Department of Economics, Universidad de los Andes, Colombia and Rutgers University - Department of Economics
Downloads 39 (444,859)
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 and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Downloads 24 (517,877)
Citation 1

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

9.

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 (529,647)
Citation 1
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