Valentina Corradi : Citation Profile

Are you Valentina Corradi?

University of Surrey

17

H index

21

i10 index

937

Citations

RESEARCH PRODUCTION:

11

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1996 - 2016). See details.
   Cites by year: 46
   Journals where Valentina Corradi has often published
   Relations with other researchers
   Recent citing documents: 104.    Total self citations: 16 (1.68 %)

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   Permalink: http://citec.repec.org/pco129
   Updated: 2020-03-21    RAS profile: 2017-03-05    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Valentina Corradi.

Is cited by:

Swanson, Norman (143)

Clark, Todd (35)

Vahey, Shaun (35)

McCracken, Michael (33)

Mitchell, James (33)

Korenok, Oleg (25)

Rossi, Barbara (23)

van Dijk, Dick (22)

Panchenko, Valentyn (18)

Clements, Michael (16)

Diks, Cees (16)

Cites to:

Diebold, Francis (42)

Swanson, Norman (40)

Andrews, Donald (30)

Christoffersen, Peter (25)

White, Halbert (24)

McCracken, Michael (19)

Goncalves, Silvia (19)

Bollerslev, Tim (18)

Meddahi, Nour (16)

West, Kenneth (15)

Inoue, Atsushi (14)

Main data

Where Valentina Corradi has published?

Journals with more than one article published# docs
Journal of Econometrics4

Recent works citing Valentina Corradi (2018 and 2017)

YearTitle of citing document
2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2019Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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2019Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2018Set Identified Dynamic Economies and Robustness to Misspecification. (2018). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1712.03675.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.01450.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2019Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2017Quantile Aggregation of Density Forecasts. (2017). Busetti, Fabio. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:495-512.

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2018Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area. (2018). Mammi, Irene ; Golinelli, Roberto ; Musolesi, A. In: Working Papers. RePEc:bol:bodewp:wp1120.

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2017A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

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2019Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles. (2019). Yeromonahos, Mallory ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7959.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Correlation Risk, Strings and Asset Prices. (2019). Vilkov, Grigory ; Mele, Antonio ; Distaso, Walter . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13873.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924r.

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2017Forecasting the distributions of hourly electricity spot prices. (2017). Weber, Christoph ; Woll, Oliver ; Vogler, Arne ; Pape, Christian. In: EWL Working Papers. RePEc:dui:wpaper:1705.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2018Modeling Sectoral Stock Indexes Volatility: Empirical Evidence from Pakistan Stock Exchange. (2018). Chimrani, Charan Raj ; Panjwani, Vinesh Kumar ; Ahmed, Farhan. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-02-38.

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2018Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models. (2018). Barrientos Marin, Jorge ; Orozco, Elkin Tabares ; Velilla, Esteban. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-15.

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2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2017Liquidity traps and large-scale financial crises. (2017). Pellegrino, Giovanni ; Damette, Olivier ; Castelnuovo, Efrem ; Caggiano, Giovanni ; Parent, Antoine. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:99-114.

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2018Optimal discretionary monetary and fiscal policies in a country-size heterogeneous monetary union. (2018). Vieira, Paulo ; Ribeiro, Ana Paula ; Machado, Celsa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:154-174.

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2018Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. (2018). Sikhosana, Ayanda ; Aye, Goodness C. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:60:y:2018:i:c:p:1-8.

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2018Forecasting with DSGE models: What frictions are important?. (2018). Nalban, Valeriu. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:190-204.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Improving the predictability of stock returns with Bitcoin prices. (2019). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:857-867.

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2017New goodness-of-fit diagnostics for conditional discrete response models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:135-149.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Yin, Libo ; Feng, Jiabao ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018Dynamic trading volume and stock return relation: Does it hold out of sample?. (2018). Wang, Zijun ; Qian, Yan . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:195-210.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2017Monte Carlo forecast evaluation with persistent data. (2017). Saunders, Charles J ; Khalaf, Lynda. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:1-10.

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2017Density forecast evaluation in unstable environments. (2017). Gonzalez-Rivera, Gloria ; Sun, Yingying. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:416-432.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2017Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

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2019Nowcasting and forecasting GDP in emerging markets using global financial and macroeconomic diffusion indexes. (2019). Swanson, Norman R ; Guney, Ethem I ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:555-572.

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2019Do forecasters target first or later releases of national accounts data?. (2019). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1240-1249.

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2019Ordinal-response GARCH models for transaction data: A forecasting exercise. (2019). Tsionas, Mike ; Dimitrakopoulos, Stefanos . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1273-1287.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2019Exploring the time and frequency domain connectedness of oil prices and metal prices. (2019). Tiwari, Aviral ; solarin, sakiru ; Nasreen, Samia ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420718304458.

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2018Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2018Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, Rafał ; Nowotarski, Jakub. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568.

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2019The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121.

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2017Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis. (2017). Agudelo, Diego ; Gutierrez, Marcela ; Cardona, Laura . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:115-127.

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2019Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States. (2019). Larkin, Charles ; Dunne, John James ; Corbet, Shaen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:321-334.

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2017Should the ECB coordinate EMU fiscal policies?. (2017). Kirsanova, Tatiana ; Ribeiro, Ana Paula ; Machado, Celsa. In: Working Papers. RePEc:gla:glaewp:2018-02.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: Graz Economics Papers. RePEc:grz:wpaper:2018-09.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2018Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models. (2018). Xiao, Bing ; Dury, Marie-Eliette. In: Working Papers. RePEc:hal:wpaper:hal-01709321.

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2018Forecasting and risk management in the Vietnam Stock Exchange. (2018). Darné, Olivier ; Ha, Manh. In: Working Papers. RePEc:hal:wpaper:halshs-01679456.

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2018Leverage Effect and Switching of Market Efficiency Post Goods and Services Tax (GST) Imposition. (2018). Lee, Yok-Yong ; Aslam, S ; Bany-Ariffin, A M ; Yahya, M H. In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:3:p:162-178.

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2019Türkiye Konut Piyasasında Etkinlik Analizi. (2019). Seven, Ünal ; alp, esra. In: Istanbul Business Research. RePEc:ist:ibsibr:v:48:y:2019:i:1:p:84-112.

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2017Predictive models for disaggregate stock market volatility. (2017). CHONG, Terence Tai Leung ; Lin, Shiyu . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0291-2.

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2017Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2018Does financial market volatility influence the real economy?. (2018). de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2018:m:december:i:iv:p:107-124.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Barigozzi, Matteo ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/01.

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2018Testing for strict stationarity in a random coefficient autoregressive model. (2018). Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/02.

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2018Testing for randomness in a random coefficient autoregression model. (2018). Horvath, Lajos ; Trapani, Lorenzo. In: Discussion Papers. RePEc:not:notgts:18/03.

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2017Recovery with Unbounded Diffusion Processes. (2017). Walden, Johan. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:4:p:1403-1444..

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

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2017Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika . In: MPRA Paper. RePEc:pra:mprapa:80266.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2017Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. (2017). Iorember, Paul ; Usar, Terzungwe ; Sokpo, Joseph. In: MPRA Paper. RePEc:pra:mprapa:85656.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:90437.

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2017Do forecasters target first or later releases of national accounts data?. (2017). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-03.

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2019QUALITATIVE SURVEYS AND MARGINS OF ADJUSTMENT IN HETEROGENEOUS AGENT ECONOMIES. (2019). Tryphonides, Andreas. In: 2019 Meeting Papers. RePEc:red:sed019:1415.

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2018Cointegration and price discovery in US corn cash and futures markets. (2018). Xu, Xiaojie. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1322-6.

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2018Testing for Stationarity at High Frequency. (2018). Park, Joon Y ; Lu, YE ; Jiang, Bibo . In: Working Papers. RePEc:syd:wpaper:2018-09.

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2018Volatility forecasting: combinations of realized volatility measures and forecasting models. (2018). Makushina, Victoria ; Shishlenin, Sergey ; Boasson, Vigdis ; Xiao, Linlan . In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:13:p:1428-1441.

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2017Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes. (2017). Bierens, Herman J ; Wang, LI. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:103-135.

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2017The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments. (2017). Ellersgaard, Simon ; Poulsen, Rolf ; Jonsson, Martin. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:515-529.

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2017Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704.

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2017Alternative tests for correct specification of conditional predictive densities. (2017). Sekhposyan, Tatevik ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1416.

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More than 100 citations found, this list is not complete...

Works by Valentina Corradi:

YearTitleTypeCited
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article53
2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
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2011Information in the Revision Process of Real-Time Datasets.(2011) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 53		paper
2012Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
0000Ergodicity and Clustering in Opinion Formation In: Penn CARESS Working Papers.
[Full Text][Citation analysis]		paper1
1998Ergodicity and Clustering in Opinion Formation.(1998) In: CARESS Working Papres.
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This paper has another version. Agregated cites: 1		paper
Consensus and Co-Existence in an Interactive Process of Opinion Formation In: Penn CARESS Working Papers.
[Full Text][Citation analysis]		paper2
1998Consensus and Co-Existence in an Interactive Process of Opinion Formation.(1998) In: CARESS Working Papres.
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This paper has another version. Agregated cites: 2		paper
2014NONPARAMETRIC NONSTATIONARITY TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article7
2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article77
2000Strong Rules for Detecting the Number of Breaks in a Time Series In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper32
2002Bounds for inference with nuisance parameters present only under the alternative In: Econometrics Journal.
[Full Text][Citation analysis]		article23
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter108
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 108		paper
2001Predictive ability with cointegrated variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article53
2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
[Full Text][Citation analysis]		article64
2004Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 64		paper
2009Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2006Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures.(2006) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 19		paper
2012International market links and volatility transmission In: Journal of Econometrics.
[Full Text][Citation analysis]		article16
2005Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries In: International Journal of Forecasting.
[Full Text][Citation analysis]		article54
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article34
2008Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2008Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia.(2008) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 2		paper
Continuous Approximations of Stochastic Evolutionary Game Dynamics In: ELSE working papers.
[Full Text][Citation analysis]		paper7
1996Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes. In: Pennsylvania State - Department of Economics.
[Citation analysis]		paper34
2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
[Full Text][Citation analysis]		article54
2006Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 54		paper
2016Possibly Nonstationary Cross-Validation In: CeMMAP working papers.
[Full Text][Citation analysis]		paper1
2010Strategic manipulations and collusions in Knaster procedure: a comment In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2003Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification In: Departmental Working Papers.
[Full Text][Citation analysis]		paper72
2003The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers.
[Full Text][Citation analysis]		paper2
2003A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers.
[Full Text][Citation analysis]		paper30
2003Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives In: Departmental Working Papers.
[Full Text][Citation analysis]		paper17
2003Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data In: Departmental Working Papers.
[Full Text][Citation analysis]		paper36
2003Bootstrap Specification Tests for Diffusion Processes In: Departmental Working Papers.
[Full Text][Citation analysis]		paper28
2003The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test In: Departmental Working Papers.
[Full Text][Citation analysis]		paper13
2006Predictive Inference for Integrated Volatility In: Departmental Working Papers.
[Full Text][Citation analysis]		paper13
2006Predictive Density Evaluation. Revised. In: Departmental Working Papers.
[Full Text][Citation analysis]		paper65
2004Predictive Density Accuracy Tests In: Working Papers.
[Full Text][Citation analysis]		paper8
2013Testing for optimal monetary policy via moment inequalities In: Discussion Papers.
[Full Text][Citation analysis]		paper6

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