Valentina Corradi

Queen Mary, University of London

Mile End Road

London, London E1 4NS

United Kingdom

SCHOLARLY PAPERS

14

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1,355

SSRN CITATIONS
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in Total Papers Citations

44

CROSSREF CITATIONS

102

Scholarly Papers (14)

1.
Downloads 327 (136,540)
Citation 39

Predictive Density Evaluation

Number of pages: 82 Posted: 04 Oct 2005
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 173 (251,622)
Citation 9

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Block bootstrap, density and conditional distribution, forecast accuracy testing, mean square error, parameter estimation error, parametric and nonparametric methods, prediction, rolling and recursive estimation scheme

Predictive Density Evaluation

HANDBOOK OF ECONOMIC FORECASTING, Clive W.J. Granger, Graham Elliot and Allan Timmerman, eds., Elsevier, September 2005
Number of pages: 82 Posted: 07 Mar 2007
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 154 (277,583)
Citation 5

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block bootstrap, density and conditional distribution, forecast accuracy testing, mean square error, parameter estimation error, parametric and nonparametric methods, prediction, rolling and recursive estimation scheme

2.

Bootstrap Procedures for Recursive Estimation Schemes with Applications to Forecast Model Selection

Rutgers University Economics Working Paper No: 2004-18
Number of pages: 37 Posted: 20 Sep 2004
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 139 (300,676)
Citation 3

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

3.

Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data

Number of pages: 45 Posted: 06 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 129 (318,308)
Citation 4

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4.

Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

Number of pages: 48 Posted: 04 Oct 2005
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 112 (352,119)
Citation 10

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

5.

A Simulation Based Specification Test for Diffusion Processes

Journal of Business and Economic Statistics, Vol. 26, No. 2, pp. 176-193
Number of pages: 32 Posted: 04 Oct 2005 Last Revised: 11 Sep 2008
SummerHaven Investment Management, Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 110 (356,573)

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Block bootstrap, diffusion processes, parameter estimation error, simulated GMM, stochastic volatility

6.

Predictive Inference for Integrated Volatility

Number of pages: 54 Posted: 06 Mar 2007
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 107 (363,435)
Citation 8

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise, conditional confidence intervals, jumps, prediction

7.

Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures

Number of pages: 40 Posted: 04 Oct 2005
Queen Mary, University of London, Imperial College Business School and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 90 (406,339)
Citation 1

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Diffusions, integrated volatility, realized volatility measures, kernels, microstructure noise

8.

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests: Monte Carlo Results and a Simple Test

Number of pages: 38 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 85 (420,905)
Citation 5

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9.

Predictive Density and Conditional Confidence Interval Accuracy Tests

Rutgers University Economics Working Paper No. 2004-23
Number of pages: 42 Posted: 20 Sep 2004
Valentina Corradi, Norman R. Swanson and Norman R. Swanson
Queen Mary, University of London and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 73 (459,029)
Citation 16

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Block bootstrap, recursive estimation scheme, reality check, nonlinear causality, parameter estimation error

10.

Bootstrap Specification Tests for Diffusion Processes

Number of pages: 37 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 72 (462,479)
Citation 11

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11.

A Test for Comparing Multiple Misspecified Conditional Distributions

Number of pages: 32 Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 56 (524,178)
Citation 5

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12.

Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification

Number of pages: 28 Posted: 06 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London
Downloads 55 (528,472)
Citation 14

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13.

A Cointegration Analysis of the Relatonship between Bank Reserves, Deposits and Loans: The Case of Italy, 1965-1987

Posted: 10 Jan 2005
Marzio Galeotti, Valentina Corradi and Riccardo Rovelli
University of Milan - Department of Environmental Science and Policy (ESP), Queen Mary, University of London and Alma Mater Studiorum - Università di Bologna

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14.

Some Recent Developments in Predictive Accuracy Testing with Nested Models and (Generic) Nonlinear Alternatives

Posted: 07 Sep 2003
Norman R. Swanson, Norman R. Swanson and Valentina Corradi
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Queen Mary, University of London

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