Laura Coroneo : Citation Profile


Are you Laura Coroneo?

University of York

5

H index

4

i10 index

148

Citations

RESEARCH PRODUCTION:

7

Articles

19

Papers

RESEARCH ACTIVITY:

   16 years (2006 - 2022). See details.
   Cites by year: 9
   Journals where Laura Coroneo has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 2 (1.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco461
   Updated: 2022-11-19    RAS profile: 2022-10-13    
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Relations with other researchers


Works with:

Iacone, Fabrizio (7)

Santos Monteiro, Paulo (3)

Paccagnini, Alessia (2)

Owyang, Michael (2)

Jackson Young, Laura (2)

Profumo, Fabio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Laura Coroneo.

Is cited by:

Byrne, Joseph (8)

Korobilis, Dimitris (8)

Cao, Shuo (7)

Giannone, Domenico (6)

Rudebusch, Glenn (6)

Pedio, Manuela (6)

Guidolin, Massimo (6)

Altavilla, Carlo (5)

Swanson, Norman (4)

Barigozzi, Matteo (4)

Christensen, Jens (3)

Cites to:

Giannone, Domenico (9)

Galí, Jordi (7)

Gertler, Mark (7)

Iacone, Fabrizio (6)

Modugno, Michele (6)

Giacomini, Raffaella (5)

Vogelsang, Timothy (5)

Reichlin, Lucrezia (5)

Owyang, Michael (5)

Diebold, Francis (5)

Woodford, Michael (5)

Main data


Where Laura Coroneo has published?


Journals with more than one article published# docs
Journal of Applied Econometrics2
Journal of Economic Dynamics and Control2

Recent works citing Laura Coroneo (2022 and 2021)


YearTitle of citing document
2022Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2021Short-Term Covid-19 Forecast for Latecomers. (2021). Zilberman, Eduardo ; Vasconcelos, Gabriel ; Valladao, Davi ; Street, Alexandre ; Medeiros, Marcelo. In: Papers. RePEc:arx:papers:2004.07977.

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

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm. (2021). Zhang, Amber ; Pintar, Andrej ; Lakhany, Asif. In: Papers. RePEc:arx:papers:2108.01760.

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2021The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916.

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2021What Moves Treasury Yields?. (2021). Moench, Emanuel ; Siavash, Soroosh Soofi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15978.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2021Interest rate trends in a global context. (2021). Tesar, Linda L ; Stolyarov, Dmitriy. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001218.

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2021The predictive power of Nelson–Siegel factor loadings for the real economy. (2021). Ma, Jun ; Jiao, Anqi ; Han, Yang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:95-127.

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2022International stock market risk contagion during the COVID-19 pandemic. (2022). Liu, YI ; Wang, Qian ; Wei, YU. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002269.

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2021Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425.

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2022Short-term Covid-19 forecast for latecomers. (2022). Zilberman, Eduardo ; Vasconcelos, Gabriel ; Vallado, Davi ; Street, Alexandre ; Medeiros, Marcelo C. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:2:p:467-488.

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2022How arbitrage-free is the Nelson–Siegel model under stochastic volatility?. (2022). Takamizawa, Hideyuki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:205-223.

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2022Macroeconomic Forecasting in a Multi-country Context. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea ; Bai, Yu. In: Working Papers. RePEc:fip:fedcwq:93660.

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2021Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data. (2021). Portelli, Lorenzo ; Min, Aleksey ; Defend, Monica ; Zagst, Rudi ; Sandrini, Francesco ; Ramsauer, Franz. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:1:p:5-90:d:495900.

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2021Forecasting Commodity Prices: Looking for a Benchmark. (2021). Rubaszek, Michał ; Kwas, Marek. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:27-459:d:577877.

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2022Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods. (2022). Makatjane, Katleho. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:1:p:10-:d:735281.

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2022The Use of Principal Component Analysis (PCA) in Building Yield Curve Scenarios and Identifying Relative-Value Trading Opportunities on the Romanian Government Bond Market. (2022). Oprea, Andreea. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:6:p:247-:d:829362.

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2021The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability. (2021). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Campigli, Francesco. In: Working Papers. RePEc:jau:wpaper:2021/03.

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2021What Moves Treasury Yields?. (2021). Moench, Emanuel ; Soofi-Siavash, Soroosh. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:88.

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2021Financial Conditions and Downside Risk to Economic Activity in Australia. (2021). Hartigan, Luke ; Wright, Michelle . In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2021-03.

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2021Measuring monetary policy: rules versus discretion. (2021). Ohanyan, Narek ; Grigoryan, Aleksandr. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01867-7.

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2021Horizon confidence sets. (2021). Fosten, Jack ; Gutknecht, Daniel. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01891-7.

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2022Macroeconometric forecasting using a cluster of dynamic factor models. (2022). Glocker, Christian ; Kaniovski, Serguei. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02129-w.

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2021Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels. (2021). Schaumburg, Julia ; Koopman, Siem Jan ; Wiersma, Quint. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210008.

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2022Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions. (2022). Miranda-Agrippino, Silvia ; Mirandaagrippino, Silvia ; Galvo, Ana Beatriz ; Anesti, Nikoleta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:1:p:42-62.

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2022Common factors of commodity prices. (2022). Giannone, Domenico ; Ferrara, Laurent ; delle Chiaie, Simona. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:3:p:461-476.

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2022Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030.

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2021Economic Policy Uncertainty and Bond Risk Premia. (2021). Ka, Kook ; Ioannidis, Christos. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:53:y:2021:i:6:p:1479-1522.

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2022Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure. (2022). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: Working Papers. RePEc:wyi:wpaper:002606.

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Works by Laura Coroneo:


YearTitleTypeCited
2012Testing for optimal monetary policy via moment inequalities In: Economic Research Papers.
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paper10
2018Testing for optimal monetary policy via moment inequalities.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 10
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2012Testing for optimal monetary policy via moment inequalities.(2012) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2013Testing for optimal monetary policy via moment inequalities.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 10
paper
2006Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation In: LIDAM Discussion Papers CORE.
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paper5
2013Unspanned Macroeconomic Factors in the Yields Curve In: Working Papers ECARES.
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paper45
2014Unspanned macroeconomic factors in the yield curve.(2014) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 45
paper
2016Unspanned Macroeconomic Factors in the Yield Curve.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 45
article
2008How arbitrage-free is the Nelson-Siegel Model? In: Working Paper Series.
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paper57
2011How arbitrage-free is the Nelson-Siegel model?.(2011) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 57
article
2020International Stock Comovements with Endogenous Clusters In: Journal of Economic Dynamics and Control.
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2020International Stock Comovements with Endogenous Clusters.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 1
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2020European spreads at the interest rate lower bound In: Journal of Economic Dynamics and Control.
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article4
2017European spreads at the interest rate lower bound.(2017) In: Discussion Papers.
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This paper has another version. Agregated cites: 4
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2021Testing the predictive accuracy of COVID-19 forecasts In: CAMA Working Papers.
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2020Testing the predictive accuracy of COVID-19 forecasts.(2020) In: Discussion Papers.
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This paper has another version. Agregated cites: 2
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2012A simple two-component model for the distribution of intraday returns In: The European Journal of Finance.
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2012A simple two-component model for the distribution of intraday returns.(2012) In: ULB Institutional Repository.
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2020Comparing predictive accuracy in small samples using fixed?smoothing asymptotics In: Journal of Applied Econometrics.
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2015Comparing predictive accuracy in small samples In: Discussion Papers.
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2015TIPS Liquidity Premium and Quantitative Easing In: Discussion Papers.
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2019A Real-time Density Forecast Evaluation of the ECB Survey of Professional Forecasters In: Discussion Papers.
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2019Predicting interest rates in real-time In: Discussion Papers.
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2021Testing for equal predictive accuracy with strong dependence In: Discussion Papers.
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2021Predicting the COVID-19 epidemic: is a regional approach preferable? In: Discussion Papers.
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2022Density forecast comparison in small samples In: Discussion Papers.
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