17
H index
20
i10 index
832
Citations
University of Surrey | 17 H index 20 i10 index 832 Citations RESEARCH PRODUCTION: 11 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 |
Year | Title of citing document |
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2017 | A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990. Full description at Econpapers || Download paper |
2017 | Sequential testing for structural stability in approximate factor models. (2017). Barigozzi, Matteo ; Trapani, Lorenzo . In: Papers. RePEc:arx:papers:1708.02786. Full description at Econpapers || Download paper |
2018 | Set Identified Dynamic Economies and Robustness to Misspecification. (2018). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1712.03675. Full description at Econpapers || Download paper |
2017 | Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751. Full description at Econpapers || Download paper |
2017 | Quantile 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. Full description at Econpapers || Download paper |
2017 | Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023. Full description at Econpapers || Download paper |
2017 | New Goodness-of-fit Diagnostics for Conditional Discrete Response Models. (2017). Velasco, Carlos ; Kheifets, Igor . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1924r. Full description at Econpapers || Download paper |
2017 | Forecasting the distributions of hourly electricity spot prices. (2017). Pape, Christian ; Weber, Christoph ; Woll, Oliver ; Vogler, Arne . In: EWL Working Papers. RePEc:dui:wpaper:1705. Full description at Econpapers || Download paper |
2017 | Identification 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. Full description at Econpapers || Download paper |
2017 | Liquidity traps and large-scale financial crises. (2017). Damette, Olivier ; Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni ; Parent, Antoine. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:99-114. Full description at Econpapers || Download paper |
2018 | Forecasting 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. Full description at Econpapers || Download paper |
2018 | Directional 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. Full description at Econpapers || Download paper |
2017 | Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). RodrÃguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420. Full description at Econpapers || Download paper |
2017 | Moments 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. Full description at Econpapers || Download paper |
2017 | New 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. Full description at Econpapers || Download paper |
2018 | Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Matei, Marius ; Dungey, Mardi. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44. Full description at Econpapers || Download paper |
2017 | Consistent 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. Full description at Econpapers || Download paper |
2017 | Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Feng, Jiabao ; Yin, Libo ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254. Full description at Econpapers || Download paper |
2017 | Monte 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. Full description at Econpapers || Download paper |
2017 | Density 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. Full description at Econpapers || Download paper |
2017 | Adaptive 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. Full description at Econpapers || Download paper |
2017 | Improving 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. Full description at Econpapers || Download paper |
2017 | Evaluation 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. Full description at Econpapers || Download paper |
2018 | Information demand and stock return predictability. (2018). Chronopoulos, Dimitris K ; Vlastakis, Nikolaos ; Papadimitriou, Fotios I. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74. Full description at Econpapers || Download paper |
2018 | Recent 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. Full description at Econpapers || Download paper |
2017 | Volatility 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. Full description at Econpapers || Download paper |
2017 | Should the ECB coordinate EMU fiscal policies?. (2017). Kirsanova, Tatiana ; Ribeiro, Ana Paula ; Machado, Celsa . In: Working Papers. RePEc:gla:glaewp:2018-02. Full description at Econpapers || Download paper |
2017 | Testing 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. Full description at Econpapers || Download paper |
2018 | Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models. (2018). Dury, Marie-Eliette ; Xiao, Bing . In: Working Papers. RePEc:hal:wpaper:hal-01709321. Full description at Econpapers || Download paper |
2018 | Forecasting and risk management in the Vietnam Stock Exchange. (2018). Darné, Olivier ; Ha, Manh. In: Working Papers. RePEc:hal:wpaper:halshs-01679456. Full description at Econpapers || Download paper |
2018 | Leverage 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. Full description at Econpapers || Download paper |
2017 | Predictive 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. Full description at Econpapers || Download paper |
2017 | Mixed-Frequency Macro-Financial Spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1704. Full description at Econpapers || Download paper |
2017 | Testing 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. Full description at Econpapers || Download paper |
2017 | Construction 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. Full description at Econpapers || Download paper |
2018 | Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156. Full description at Econpapers || Download paper |
2017 | Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika . In: MPRA Paper. RePEc:pra:mprapa:80266. Full description at Econpapers || Download paper |
2017 | Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914. Full description at Econpapers || Download paper |
2017 | Do 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. Full description at Econpapers || Download paper |
2017 | Mixed-frequency macro-financial spillovers. (2017). Yilmaz, Kamil ; Hallam, Mark ; cotter, john. In: Working Papers. RePEc:ucd:wpaper:201704. Full description at Econpapers || Download paper |
2017 | Alternative tests for correct specification of conditional predictive densities. (2017). Sekhposyan, Tatevik ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1416. 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 | 48 |
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: 48 | 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: 48 | paper | |
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 | |
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 | 2 |
2001 | OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 69 |
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 | 22 |
2006 | Predictive Density Evaluation In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 102 |
2004 | Predictive Density Evaluation.(2004) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
2001 | Predictive ability with cointegrated variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 49 |
2006 | Predictive density and conditional confidence interval accuracy tests In: Journal of Econometrics. [Full Text][Citation analysis] | article | 61 |
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: 61 | paper | |
2009 | Predictive density estimators for daily volatility based on the use of realized measures In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
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: 17 | paper | |
2012 | International market links and volatility transmission In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
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 | 39 |
2013 | Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 20 |
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 | |
1996 | Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes. In: Pennsylvania State - Department of Economics. [Citation analysis] | paper | 33 |
2007 | NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review. [Full Text][Citation analysis] | article | 51 |
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: 51 | 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 | 58 |
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 | 35 |
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 | 7 |
2006 | Predictive Inference for Integrated Volatility In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 12 |
2006 | Predictive Density Evaluation. Revised. In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 59 |
2004 | Predictive Density Accuracy Tests In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2013 | Testing for optimal monetary policy via moment inequalities In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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