Valentina Corradi : Citation Profile


Are you Valentina Corradi?

University of Surrey

17

H index

20

i10 index

798

Citations

RESEARCH PRODUCTION:

11

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1996 - 2016). See details.
   Cites by year: 39
   Journals where Valentina Corradi has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 16 (1.97 %)

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   Permalink: http://citec.repec.org/pco129
   Updated: 2017-09-16    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)

Vahey, Shaun (34)

Clark, Todd (34)

Mitchell, James (33)

McCracken, Michael (32)

Korenok, Oleg (25)

van Dijk, Dick (22)

Rossi, Barbara (20)

Panchenko, Valentyn (18)

Diks, Cees (16)

Bhardwaj, Geetesh (13)

Cites to:

Diebold, Francis (42)

Swanson, Norman (40)

Andrews, Donald (30)

Christoffersen, Peter (25)

White, Halbert (24)

Goncalves, Silvia (19)

McCracken, Michael (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 (2017 and 2016)


YearTitle of citing document
2016How Credible Is the Federal Reserve? A Structural Estimation of Policy Re-optimizations. (2016). Lakdawala, Aeimit ; Debortoli, Davide. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:3:p:42-76.

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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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2017Sequential testing for structural stability in approximate factor models. (2017). Barigozzi, Matteo ; Trapani, Lorenzo . In: Papers. RePEc:arx:papers:1708.02786.

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2016Order Invariant Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Working Papers. RePEc:awi:wpaper:0608.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP.. (2016). Mogliani, Matteo ; Ferriere, T. In: Working papers. RePEc:bfr:banfra:600.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016Forecasting in Economics and Finance. (2016). Elliott, Graham ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11354.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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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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2016DATA REVISIONS IN THE ESTIMATION OF DSGE MODELS. (2016). Vázquez, Jesús ; Casares, Miguel ; Vazquez, Jesus . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:20:y:2016:i:07:p:1683-1716_00.

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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). Pape, Christian ; Weber, Christoph ; Woll, Oliver ; Vogler, Arne . 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). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Working Paper Series. RePEc:ecb:ecbwps:20161954.

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2016Variation-based tests for volatility misspecification. (2016). Papanicolaou, Alex ; Giesecke, Kay . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:217-230.

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2016Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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

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2016Nonparametric long term prediction of stock returns with generated bond yields. (2016). Sperlich, Stefan ; Scholz, Michael ; Nielsen, Jens Perch . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:82-96.

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2016Outlier detection in structural time series models: The indicator saturation approach. (2016). Proietti, Tommaso ; Marczak, Martyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:180-202.

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2016A note on the estimation of optimal weights for density forecast combinations. (2016). Vasnev, Andrey ; Pauwels, Laurent L. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:391-397.

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2016Evaluating predictive count data distributions in retail sales forecasting. (2016). Kolassa, Stephan . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:788-803.

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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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2016How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:62-75.

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2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

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2016Ethanol and field crops: Is there a price connection?. (2016). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: Food Policy. RePEc:eee:jfpoli:v:63:y:2016:i:c:p:53-61.

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2016Anticipating business-cycle turning points in real time using density forecasts from a VAR. (2016). Schreiber, Sven ; Soldatenkova, Natalia . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pb:p:166-187.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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2016Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek ; Vipul, . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

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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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2016Learning from history: volatility and financial crises. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66046.

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2016Asymptotic Inference for Performance Fees and the Predictability of Asset Returns. (2016). Valente, Giorgio ; McCracken, Michael. In: Working Papers. RePEc:fip:fedlwp:2012-049.

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2016Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Ravazzolo, Francesco ; Casarin, Roberto ; Mantoan, Giulia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17-:d:65855.

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2016Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Casarin, Roberto ; Ravazzolo, Francesco ; Mantoan, Giulia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17:d:65855.

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

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2016TESTING FOR LINEARITY IN REGRESSIONS WITH I(1) PROCESSES. (2016). Arai, Yoichi. In: Hitotsubashi Journal of Economics. RePEc:hit:hitjec:v:57:y:2016:i:1:p:111-138.

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2016Liquidity Traps and Large-Scale Financial Crises. (2016). PARENT, Antoine ; Damette, Olivier ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n32.

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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). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; Guegan, Dominique . 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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2016Generalizing smooth transition autoregressions. (2016). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0114.

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2016Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim. In: MPRA Paper. RePEc:pra:mprapa:71220.

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2016Semiparametric Efficient Adaptive Estimation of the PTTGARCH model. (2016). Ciccarelli, Nicola . In: MPRA Paper. RePEc:pra:mprapa:72021.

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2016International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?. (2016). Trecroci, Carmine ; Bua, Giovanna. In: MPRA Paper. RePEc:pra:mprapa:74771.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

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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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2016Self-exciting threshold binomial autoregressive processes. (2016). Weiss, Christian H ; Moller, Tobias A ; Silva, Maria Eduarda ; Pereira, Isabel ; Scotto, Manuel G. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0264-6.

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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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2016Forecast evaluation with factor-augmented models. (2016). Fosten, Jack. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2016_05.

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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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2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: EMF Research Papers. RePEc:wrk:wrkemf:13.

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2016Robust Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145547.

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Works by Valentina Corradi:


YearTitleTypeCited
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
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article45
2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 45
paper
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: 45
paper
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series.
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paper1
0Ergodicity and Clustering in Opinion Formation In: Penn CARESS Working Papers.
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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.
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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.
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article2
2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
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article66
2000Strong Rules for Detecting the Number of Breaks in a Time Series In: Econometric Society World Congress 2000 Contributed Papers.
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paper32
2002Bounds for inference with nuisance parameters present only under the alternative In: Econometrics Journal.
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article21
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
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chapter99
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 99
paper
2001Predictive ability with cointegrated variables In: Journal of Econometrics.
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article49
2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
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article61
2004Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 61
paper
2009Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics.
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article17
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: 17
paper
2012International market links and volatility transmission In: Journal of Econometrics.
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article12
2005Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries In: International Journal of Forecasting.
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article34
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
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article16
2008Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics.
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paper2
2008Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia.(2008) In: FMG Discussion Papers.
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paper
Continuous Approximations of Stochastic Evolutionary Game Dynamics In: ELSE working papers.
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paper7
1996Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes. In: Pennsylvania State - Department of Economics.
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paper34
2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
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article49
2006Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers.
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2016Possibly Nonstationary Cross-Validation In: CeMMAP working papers.
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2010Strategic manipulations and collusions in Knaster procedure: a comment In: MPRA Paper.
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paper0
2003Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification In: Departmental Working Papers.
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paper54
2003The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers.
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paper2
2003A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers.
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paper30
2003Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives In: Departmental Working Papers.
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paper17
2003Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data In: Departmental Working Papers.
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paper34
2003Bootstrap Specification Tests for Diffusion Processes In: Departmental Working Papers.
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paper27
2003The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test In: Departmental Working Papers.
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paper7
2006Predictive Inference for Integrated Volatility In: Departmental Working Papers.
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paper10
2006Predictive Density Evaluation. Revised. In: Departmental Working Papers.
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paper56
2004Predictive Density Accuracy Tests In: Working Papers.
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paper8
2013Testing for optimal monetary policy via moment inequalities In: Discussion Papers.
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paper2

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