Professor Valentina Corradi

Research Interests

  • Econometric Theory
  • Financial Econometrics
  • Time Series: Predictive evaluation
  • Realized measures and Jumps
  • Data driven procedure for bandwidth selection
  • Moment inequalities
  • Factor Models
  • Conditional CAPM.

Teaching

  • Econometrics for PhDs.

Departmental Duties

  • PhD Programme Director.

Contact Me

E-mail:
Phone: 01483 68 3914

Find me on campus
Room: 35 AD 00


My office hours

Tuesday 10:30 am - 12:30 pm

Publications

Journal articles

  • Bandi FM, Corradi V. (2014) 'Nonparametric nonstationarity tests'. Econometric Theory, 30 (1), pp. 127-149.
  • Corradi V, Swanson NR. (2014) 'Testing for structural stability of factor augmented forecasting models'. Journal of Econometrics,
  • Corradi V, Distaso W, Mele A. (2013) 'Macroeconomic determinants of stock volatility and volatility premiums'. Journal of Monetary Economics, 60 (2), pp. 203-220.
  • Corradi V, Distaso W, Fernandes M. (2012) 'International market links and volatility transmission'. Journal of Econometrics, 170 (1), pp. 117-141.
  • Corradi V, Distaso W, Swanson NR. (2011) 'Predictive inference for integrated volatility'. Journal of the American Statistical Association, 106 (496), pp. 1496-1512.
  • Corradi V, Swanson NR. (2011) 'Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models'. Journal of Econometrics, 161 (2), pp. 304-324.
  • Corradi V, Distaso W, Swanson NR. (2009) 'Predictive density estimators for daily volatility based on the use of realized measures'. Journal of Econometrics, 150 (2), pp. 119-138.
  • Corradi V, Fernandez A, Swanson NR. (2009) 'Information in the revision process of real-time datasets'. Journal of Business and Economic Statistics, 27 (4), pp. 455-467.
  • Awartani B, Corradi V, Distaso W. (2009) 'Assessing market microstructure effects via realized volatility measures with an application to the dow Jones industrial average stocks'. Journal of Business and Economic Statistics, 27 (2), pp. 251-265.
  • Corradi V, Iglesias EM. (2008) 'Bootstrap refinements for QML estimators of the GARCH(1,1) parameters'. Journal of Econometrics, 144 (2), pp. 500-510.
  • Bhardwaj G, Corradi V, Swanson NR. (2008) 'A simulation-based specification test for diffusion processes'. Journal of Business and Economic Statistics, 26 (2), pp. 176-193.
  • Corradi V, Sarin R. (2008) 'Corrigendum to "Continuous approximations of stochastic evolutionary game dynamics" [J. Econ. Theory 94 (2000) 163-191].'. J. Economic Theory, 140 Article number 1 , pp. e2-e4.
  • Corradi V, Swanson NR. (2007) 'Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes'. International Economic Review, 48 (1), pp. 67-109.
  • Corradi V, Swanson NR. (2007) 'Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data'. Journal of Econometrics, 136 (2), pp. 699-723.
  • Corradi V, Swanson NR. (2006) 'Predictive density and conditional confidence interval accuracy tests'. Journal of Econometrics, 135 (1-2), pp. 187-228.
  • Corradi V, Swanson NR. (2006) 'Bootstrap conditional distribution tests in the presence of dynamic misspecification'. Journal of Econometrics, 133 (2), pp. 779-806.
  • Corradi V, Distaso W. (2006) 'Semi-parametric comparison of stochastic volatility models using realized measures'. Review of Economic Studies, 73 (3), pp. 635-667.
  • Corradi V, Swanson NR. (2006) 'The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test'. Journal of Econometrics, 132 (1), pp. 195-229.
  • Corradi V, Swanson NR. (2006) 'Chapter 5 Predictive Density Evaluation'. Handbook of Economic Forecasting, 1, pp. 197-284.

Conference papers

  • Corradi V, Swanson NR. (2014) 'Testing for structural stability of factor augmented forecasting models'. Journal of Econometrics, 182 (1), pp. 100-118.

Book chapters

Working Papers

  • Corradi V, Silvapulle MJ, Swanson NR. (2014) Consistent Pretesting for Jumps. Working Paper,
    [ Status: Submitted ]

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