Valentina Corradi : Citation Profile

Are you Valentina Corradi?

University of Surrey

17

H index

23

i10 index

994

Citations

RESEARCH PRODUCTION:

12

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 41
   Journals where Valentina Corradi has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 16 (1.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco129
   Updated: 2021-02-20    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 (156)

Clark, Todd (35)

Vahey, Shaun (35)

Mitchell, James (33)

McCracken, Michael (33)

Korenok, Oleg (25)

Rossi, Barbara (24)

van Dijk, Dick (22)

Clements, Michael (16)

Diks, Cees (16)

Sekhposyan, Tatevik (15)

Cites to:

Swanson, Norman (40)

Diebold, Francis (39)

Andrews, Donald (30)

Christoffersen, Peter (23)

White, Halbert (23)

Bollerslev, Tim (18)

Goncalves, Silvia (18)

McCracken, Michael (17)

Meddahi, Nour (16)

Shephard, Neil (13)

Ait-Sahalia, Yacine (13)

Main data

Where Valentina Corradi has published?

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

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of Philadelphia2

Recent works citing Valentina Corradi (2021 and 2020)

YearTitle of citing document
2020On 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.

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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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2020Quantitative 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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2020Sector 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.

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2020Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182.

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2020Predicting 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.

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2021Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2020Optimal 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.

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2020Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020The 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.

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2020Forecasting 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.

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2020Commitment 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.

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2020Site 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.

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2020Testing 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.

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2020Option 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.

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2020The 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.

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2020Economic 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.

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2021Quantitative 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.

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2020Global 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.

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2020Infected 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.

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2020Regime 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.

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2020Forecasting 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.

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2021Analytic 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.

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2021Data 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.

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2020Spectral 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.

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2021Uncertainty 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.

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2020Identifying 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.

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2020The 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.

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2020Sequential 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.

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2020Predictability 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.

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2020Optimal 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.

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2020Forecasting 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.

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2020On 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.

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2020Order‐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.

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2020Predicting interest rates using shrinkage methods, real‐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.

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2020The 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.

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Works by Valentina Corradi:

YearTitleTypeCited
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article54
2008Information 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
2011Information 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
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.
[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]		paper2
1998Consensus 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
2014NONPARAMETRIC NONSTATIONARITY TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article10
2001OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article79
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]		article24
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter113
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		paper
2001Predictive ability with cointegrated variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article54
2006Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics.
[Full Text][Citation analysis]		article71
2004Predective 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
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
2012International market links and volatility transmission In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
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]		article62
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article41
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
2009Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models In: Working Papers.
[Full Text][Citation analysis]		paper8
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]		article61
2006Nonparametric 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
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]		paper75
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]		paper37
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]		paper15
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]		paper69
2020heap: A command for fitting discrete outcome variable models in the presence of heaping at known points In: Stata Journal.
[Full Text][Citation analysis]		article0
2013Testing for optimal monetary policy via moment inequalities In: Discussion Papers.
[Full Text][Citation analysis]		paper10

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