17
H index
23
i10 index
994
Citations
University of Surrey | 17 H index 23 i10 index 994 Citations RESEARCH PRODUCTION: 12 Articles 29 Papers 1 Chapters RESEARCH ACTIVITY:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of Philadelphia | 2 |
Year | Title of citing document |
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2020 | On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03. Full description at Econpapers || Download paper |
2020 | Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786. Full description at Econpapers || Download paper |
2020 | Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442. Full description at Econpapers || Download paper |
2020 | Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097. Full description at Econpapers || Download paper |
2020 | Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182. Full description at Econpapers || Download paper |
2020 | Predicting tail events in a RIA-EVT-Copula framework. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Papers. RePEc:arx:papers:2004.03190. Full description at Econpapers || Download paper |
2021 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper |
2020 | Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592. Full description at Econpapers || Download paper |
2020 | Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898. Full description at Econpapers || Download paper |
2020 | Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435. Full description at Econpapers || Download paper |
2020 | Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16. Full description at Econpapers || Download paper |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper |
2020 | Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65. Full description at Econpapers || Download paper |
2020 | Commitment or discretion? An empirical investigation of monetary policy preferences in China. (2020). Liu, Ding ; Sun, Weihong ; Zhang, Yue. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:409-419. Full description at Econpapers || Download paper |
2020 | Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280. Full description at Econpapers || Download paper |
2020 | Testing for Stationarity at High Frequency. (2020). Park, Joon Y ; Lu, YE ; Jiang, Bibo. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:341-374. Full description at Econpapers || Download paper |
2020 | Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449. Full description at Econpapers || Download paper |
2020 | The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230. Full description at Econpapers || Download paper |
2020 | Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594. Full description at Econpapers || Download paper |
2021 | Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067. Full description at Econpapers || Download paper |
2020 | Global investigation on the country-level idiosyncratic volatility and its determinants. (2020). Caglayan, Mustafa Onur ; Zhang, Liwen ; Xue, Wenjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:143-160. Full description at Econpapers || Download paper |
2020 | Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. (2020). Demir, Ender ; Zaremba, Adam ; Aharon, David Y ; Kizys, Renatas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320306310. Full description at Econpapers || Download paper |
2020 | Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29. Full description at Econpapers || Download paper |
2020 | Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694. Full description at Econpapers || Download paper |
2021 | Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124. Full description at Econpapers || Download paper |
2021 | Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94. Full description at Econpapers || Download paper |
2020 | Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844. Full description at Econpapers || Download paper |
2021 | Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad. In: Journal of Business Research. RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793. Full description at Econpapers || Download paper |
2020 | Identifying the sources of model misspecification. (2020). Rossi, Barbara ; Kuo, Chun-Hung ; Inoue, Atsushi. In: Journal of Monetary Economics. RePEc:eee:moneco:v:110:y:2020:i:c:p:1-18. Full description at Econpapers || Download paper |
2020 | The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639. Full description at Econpapers || Download paper |
2020 | Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187. Full description at Econpapers || Download paper |
2020 | Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450. Full description at Econpapers || Download paper |
2020 | Optimal probabilistic forecasts: When do they work?. (2020). Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Hassan, Andres Ramirez. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-33. Full description at Econpapers || Download paper |
2020 | Forecasting S&P 500 spikes: an SVM approach. (2020). Gogas, Periklis ; Athanasiou, Athanasios Fotios ; Papadimitriou, Theophilos. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:3:d:10.1007_s42521-020-00024-0. Full description at Econpapers || Download paper |
2020 | On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:20-06. Full description at Econpapers || Download paper |
2020 | Orderâ€invariant tests for proper calibration of multivariate density forecasts. (2020). Dovern, Jonas ; Manner, Hans. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:440-456. Full description at Econpapers || Download paper |
2020 | Predicting interest rates using shrinkage methods, realâ€time diffusion indexes, and model combinations. (2020). Swanson, Norman ; Yang, Xiye ; Xiong, Weiqi. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:5:p:587-613. Full description at Econpapers || Download paper |
2020 | The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles. (2020). GUPTA, RANGAN ; Demirer, Riza ; Sun, Xiaojin ; Bouri, Elie. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:957-965. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 54 |
2008 | Information in the revision process of real-time datasets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2011 | Information in the Revision Process of Real-Time Datasets.(2011) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2012 | Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
0000 | Ergodicity and Clustering in Opinion Formation In: Penn CARESS Working Papers. [Full Text][Citation analysis] | paper | 1 |
1998 | Ergodicity and Clustering in Opinion Formation.(1998) In: CARESS Working Papres. [Full Text][Citation analysis] 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] | paper | 2 | |
1998 | Consensus and Co-Existence in an Interactive Process of Opinion Formation.(1998) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2014 | NONPARAMETRIC NONSTATIONARITY TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 10 |
2001 | OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 79 |
2000 | Strong Rules for Detecting the Number of Breaks in a Time Series In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 32 |
2002 | Bounds for inference with nuisance parameters present only under the alternative In: Econometrics Journal. [Full Text][Citation analysis] | article | 24 |
2006 | Predictive Density Evaluation In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 113 |
2004 | Predictive Density Evaluation.(2004) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 113 | paper | |
2001 | Predictive ability with cointegrated variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 54 |
2006 | Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics. [Full Text][Citation analysis] | article | 71 |
2004 | Predective Density and Conditional Confidence Interval Accuracy Tests.(2004) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2009 | Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2006 | Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures.(2006) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2012 | International market links and volatility transmission In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
2005 | Predicting 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] | article | 62 |
2013 | Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 41 |
2008 | Macroeconomic determinants of stock market returns, volatility and volatility risk-premia In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2008 | Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia.(2008) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
Continuous Approximations of Stochastic Evolutionary Game Dynamics In: ELSE working papers. [Full Text][Citation analysis] | paper | 7 | |
2009 | Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
1996 | Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes. In: Pennsylvania State - Department of Economics. [Citation analysis] | paper | 34 |
2007 | NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review. [Full Text][Citation analysis] | article | 61 |
2006 | Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes.(2006) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2016 | Possibly Nonstationary Cross-Validation In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Strategic manipulations and collusions in Knaster procedure: a comment In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2003 | Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 75 |
2003 | The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | A Test for Comparing Multiple Misspecified Conditional Distributions In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 30 |
2003 | Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 17 |
2003 | Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 37 |
2003 | Bootstrap Specification Tests for Diffusion Processes In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 28 |
2003 | The 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] | paper | 15 |
2006 | Predictive Inference for Integrated Volatility In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 13 |
2006 | Predictive Density Evaluation. Revised. In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 69 |
2020 | heap: A command for fitting discrete outcome variable models in the presence of heaping at known points In: Stata Journal. [Full Text][Citation analysis] | article | 0 |
2013 | Testing for optimal monetary policy via moment inequalities In: Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
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