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Valentina Corradi : Citation Profile


Are you Valentina Corradi?

University of Surrey

17

H index

20

i10 index

814

Citations

RESEARCH PRODUCTION:

11

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   20 years (1996 - 2016). See details.
   Cites by year: 40
   Journals where Valentina Corradi has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 16 (1.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco129
   Updated: 2018-02-17    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 (34)

Vahey, Shaun (34)

Mitchell, James (33)

McCracken, Michael (32)

Korenok, Oleg (25)

van Dijk, Dick (22)

Rossi, Barbara (20)

Panchenko, Valentyn (18)

Diks, Cees (16)

Clements, Michael (14)

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
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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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). 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). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Liquidity 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.

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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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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). Dungey, Mardi ; Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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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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2017Oil 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.

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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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2018Information 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.

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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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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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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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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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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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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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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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Works by Valentina Corradi:


YearTitleTypeCited
2009Information in the Revision Process of Real-Time Datasets In: Journal of Business & Economic Statistics.
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article47
2008Information in the revision process of real-time datasets.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 47
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: 47
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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article67
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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article22
2006Predictive Density Evaluation In: Handbook of Economic Forecasting.
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chapter101
2004Predictive Density Evaluation.(2004) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 101
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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article13
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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article36
2013Macroeconomic determinants of stock volatility and volatility premiums In: Journal of Monetary Economics.
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article18
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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This paper has another version. Agregated cites: 2
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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paper33
2007NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES In: International Economic Review.
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article50
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: 50
paper
2016Possibly Nonstationary Cross-Validation In: CeMMAP working papers.
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paper1
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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paper56
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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paper35
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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paper58
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team