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Department of Economics

Papers

WORKING PAPERS

V. Corradi and N.R. Swanson, Testing for Structural Stability of Factor Augmented Forecasting Models. November 2011 Paper

L. Coroneo, V. Corradi and P. Santos-Monteiro, Testing the Degree of Commitment via Set-Identification. June 2011. Paper

F.M. Bandi, V. Corradi and D. Wilhelm, Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions, June 2011 Paper Supplement

V. Corradi and W. Distaso, Diagnostic Tests for Volatility Models, December  2010, Paper

V. Corradi, W. Distaso and A. Mele, Macroeconomic Determinants of Stock Market Volatility and Volatility Risk Premiums, UPDATED, September 2011, Paper

F. Bandi, V. Corradi and G. Moloche, Bandwidth Selection for Continuous Time Markov Processes, October 2009, Paper Code

PUBLICATIONS

V. Corradi, W. Distaso and M. Fernandes, International Market Links and Volatility Transmission. Journal of Econometrics, forthcoming Paper

V. Corradi and N.R. Swanson, A Survey on Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance, in Causality, Prediction and Specification Analysis: Recent Advances and Future Directions. Essay in Honour of Halbert L. White Jr., edited by X. Chen and N.R. Swanson, Springer, forthcoming. Chapter

F.M. Bandi and V. Corradi, Nonparametric Nonstationarity Tests. Econometric Theory, forthcoming Paper

V. Corradi, W. Distaso and N.R. Swanson, Predictive Inference for Integrated Volatility, Journal of the American Statistical Association, 106, 1496-1512, 2011 Paper

V. Corradi and N.R. Swanson, Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Models, Journal of Econometrics, 161, 304-324, 2011 Paper

V. Corradi and W. Distaso, Multiple Forecast Model Evaluation, Oxford Handbook of Economic Forecasting, M.P. Clements and D.F. Hendry Editors, Oxford University Press, 2011, Chapter

V. Corradi, A. Fernandez and N.R. Swanson, Information in the Revision Process of Real-Time Datasets, Journal of Business Economics and Statistics, 27, 455-467, 2009  

B. Awartani, V. Corradi and W. Distaso, Assessing Market Microstructure Effects via Realized Volatility Measures, with an Application to the Dow Jones Industrial Average Index, Journal of Business Economics and Statistics, 27, 251-265, 2009  

V.Corradi, W. Distaso and N.R. Swanson, Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures, Journal of Econometrics, 150, 2009, 119-138.

G. Bhardwaj, V. Corradi and N.R. Swanson, "Simulation Based Specification Tests for Diffusion Processes", Journal of Business Economics and Statistics, 26, 176-193, 2008.

V.Corradi and E.M. Iglesias, Bootstrap Refinements fot QML Estimators of the GARCH(1,1) Parameters, Journal of Econometrics, 144, 500-510, 2008.

V. Corradi and N.R. Swanson, Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes, International Economic Review, 2007.

V. Corradi and N.R. Swanson, Evaluation of Dynamic Stochastic General Equilibrium Model Based on Distributional Comparison of Historical and Simulated Data, Journal of Econometrics, 136, 699-723, 2007.

V. Corradi and N.R. Swanson, Predictive Density and Conditional Confidence Intervals Accuracy Tests, Journal of Econometrics, 135, 187-228, 2006.

V. Corradi and W. Distaso, Semiparametric Comparison of Stochastic Volatility Models via Realized Measure, Review of Economic Studies, 73, 635-677, 2006.

V.Corradi and N.R. Swanson, Predictive Density Evaluation, in Handbook of Economic Forecasting, eds. G. Elliott, C.W.J. Granger and A. Timmermann, North-Holland Elsevier, 2006. Chapter

V. Corradi and N.R. Swanson, Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification, Journal of Econometrics, 133, 779-806, 2006.

V. Corradi and N.R. Swanson, "The Effects of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo and a Simple Test", Journal of Econometrics, 132, 195-229, 2006

V. Corradi and N.R. Swanson, "A Test for Comparing Multiple Misspecified Conditional Intervals", Econometric Theory, 21, 991-1016, 2005.

B.M.A. Awartani and V. Corradi, "Predicting the Volatility of the S&P-500 Stock Index: the Role of Asymmetries", International Journal of Forecasting, 21, 167-193, 2005.

V. Corradi and N.R. Swanson, "Bootstrap Tests for Diffusion Processes", Journal of Econometrics, 124, #1, 117-148, 2005.

V. Corradi and N.R. Swanson, "A Test for the Distributional Comparison of Simulated and Historical Data", Economics Letters, 85, 185-193, 2004.

V. Corradi and A. Ianni, "A Simple Locally Interactive Model of Ergodic and Nonergodic Growth", Topics in Macroeconomics, 4, #6, 2004.

V. Corradi and N.R. Swanson, "Some Recent Developments in Predictive Accuracy Testing with Nested Models and (Generic) Nonlinear Alternatives", International Journal of Forecasting, 20, 185-199, 2004.

F. Altissimo and V. Corradi, "Strong Rules for Detecting the Number of Breaks in a Time Series", Journal of Econometrics, 117, p.207-244, 2003.

A. Ianni and V. Corradi, "The Dynamics of Public Opinion under Majority Rules", Review of Economic Design, 7, 257-277, 2002.

F. Altissimo and V. Corradi, "Bounds for Inference with Nuisance Parameters Present only under the Alternative", Econometrics Journal, 5, 494-518, 2002.

V. Corradi and N.R. Swanson, "A Consistent Test for Out of Sample Nonlinear Predictive Ability", Journal of Econometrics, 110, 353-381, 2002.

V. Corradi, N.R. Swanson and C. Olivetti, "Predictive Ability with Cointegrated Variables", Journal of Econometrics, 104, 315-358, 2001.

J.C. Chao, V. Corradi and N.R. Swanson, "Data Transformation and Forecasting in Models with Unit Roots and Cointegration", Annals of Economics and Finance, v.2, 59-76, 2001.

J.C. Chao, V. Corradi and N.R. Swanson, "An Out of Sample Test for Granger Causality", Macroeconomic Dynamics, v.5, #4, 598-620, 2001.

V. Corradi and R. Sarin "Continuous Approximations of Stochastic Evolutionary Game Dynamics", Journal of Economic Theory, v.94, p.163-191, 2000. Corrigendum: http://www.nyu.edu/jet/suppl/2596.erratum.pdf

V. Corradi, "Reconsidering the Continuous Time Limit of the GARCH(1,1) Process", Journal of Econometrics, v.96, #1, p.145-153, 2000.

V. Corradi, N.R. Swanson and H. White, "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes", Journal of Econometrics, v.96, #1, p.39-73, 2000. Paper

V. Corradi, "Deciding Between I(0) and I(1) via FLIL-based bounds", Econometric Theory, v.15, 5, p.643-663, 1999.

V. Corradi and H. White, "Specification Tests for the Variance of a Diffusion", Journal of Time Series Analysis, v.20, p.253-270, 1999.

V. Corradi, "Comovements Between Diffusion Processes: Characterization, Estimation and Testing", Econometric Theory, 13, 646-666, 1997.

V. Corradi and H. White, "Regularized Neural Networks: Some Convergence Rate Results", v.7, 6, 1225-1244, Neural Computation, 1995.

V. Corradi, "Nonlinear Transformation of Integrated Time Series: a Reconsideration", Journal of Time Series Analysis, 1995.

L. Bottazzi and V. Corradi, "Analyzing the Risk Premium in the Italian Stock Market: ARCH-M Models versus Nonparametric Models", Applied Economics, 23, 535-542, 1991.

V. Corradi, M. Galeotti and R. Rovelli, "A Cointegration Analysis of the Relationship Between Bank Reserves, Deposits and Loans: the Case of Italy 1965-1987", Journal of Banking and Finance, 14, 199-214, 1990.