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Information in the revision process of real-time datasets

Corradi, Valentina; Fernández, Andrés; Swanson, Norman R. - 2008

Persistent link: https://www.econbiz.de/10003767421

Bootstrap refinements for QML estimators of the GARCH(1,1) parameters

Corradi, Valentina; Iglesias, Emma M. - In: Journal of econometrics 144 (2008) 2, pp. 500-510

Persistent link: https://www.econbiz.de/10003774696

The effect of data transformation on common cycle, cointegration and unit root tests : Monte Carlo results and a simple test

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 132 (2006) 1, pp. 195-229

Persistent link: https://www.econbiz.de/10003320260

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 133 (2006) 2, pp. 779-806

Persistent link: https://www.econbiz.de/10003359634

Semi-parametric comparison of stochastic volatility models using realized measures

Corradi, Valentina; Distaso, Walter - In: The review of economic studies 73 (2006) 3, pp. 635-667

Persistent link: https://www.econbiz.de/10003342934

Predictive density evaluation

Corradi, Valentina; Swanson, Norman R. - 2006

Persistent link: https://www.econbiz.de/10003338397

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10003848514

Assessing market microstructure effects via realized volatility measures with an application to the Dow Jones Industrial Average stocks

Awartani, Basel; Corradi, Valentina; Distaso, Walter - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 251-265

Persistent link: https://www.econbiz.de/10003885789

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman R. - 2009

Persistent link: https://www.econbiz.de/10003893393

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 136 (2007) 2, pp. 699-723

Persistent link: https://www.econbiz.de/10003412696

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