Department of Economics and Related Studies
- Department of Economics and Related Studies
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- Coroneo, Laura
Laura Coroneo
Professor
Visit Laura Coroneo's profile on the York Research Database to:
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Profile
Biography
Laura Coroneo (BA Bologna, MSc ULB Brussels, PhD ULB Brussels) is Professor of Economics at the Department of Economics and Related Studies of the University of York, coordinator of the Centre for Applied Macro-Finance and executive committee member of the Money, Macro and Finance (MMF) Society.
Her primary field of research is applied macro-finance, with a particular focus on time series econometrics and empirical finance. Her research investigates the yield curve of government bonds and its relation to macroeconomic fundamentals. She also works on forecast evaluation, monetary policy and financial econometrics.
Her work has been published in leading peer-reviewed international journals, including the Journal of Business and Economic Statistics, the Journal of Money, Credit and Banking, the Journal of Applied Econometrics and the Journal of Economic Dynamics and Control, and was awarded the ESRC - Future Research Leaders grant (2013-16).
Departmental roles
- REF 2029 Leader for the Department of Economics
- Coordinator of the Centre for Applied Macro-Finance
- Research Cluster Leader, Macroeconomics and Finance
- Performance Reviewer
Research
Overview
Prof. Laura Coroneo's primary field of research is applied macro-finance, focusing on econometrics and empirical finance. Her research concentrates on modelling the yield curve of government bonds and understanding its relation with macroeconomic fundamentals. She also works on issues about policy making and forecasting.
Projects
"Modelling government bonds: macroeconomic, financial and international linkages", ESRC Future Research Leaders, January 2013 - December 2016, £160,000.
Publications
Selected publications
Full details of publications can be found at Google Scholar
Does real-time macroeconomic information help to predict interest rates? (with Alberto Caruso), Journal of Money, Credit and Banking, forthcoming.
Testing the predictive accuracy of COVID-19 forecasts (with Fabrizio Iacone, Alessia Paccagnini and Paulo Santos Monteiro), International Journal of Forecasting, 2022.
European spreads at the interest rate lower bound (with Sergio Pastorello), Journal of Economic Dynamics and Control, 119, 2020.
International Stock Comovements with Endogenous Clusters (with Laura E. Jackson and Michael T. Owyang), Journal of Economic Dynamics and Control, 116, 2020.
Comparing predictive accuracy in small samples using fixed-smoothing asymptotics (with Fabrizio Iacone), Journal of Applied Econometrics, 35(4), 391–405, 2020.
Testing for optimal monetary policy via moment inequalities (with Valentina Corradi and Paulo Santos Monteiro), Journal of Applied Econometrics, 33(6), 780-796, 2018.
Unspanned macroeconomic factors in the yield curve (with Michele Modugno and Domenico Giannone), Journal of Business and Economic Statistics, 34 (3), 472-485, 2016.
A simple two-component model for the distribution of intraday returns (with David Veredas), The European Journal of Finance 18(9), 775-797, 2012.
How arbitrage-free is the Nelson and Siegel model? (with Ken Nyholm and Rositsa Vidova-Koleva), Journal of Empirical Finance 18(3), 393-407, 2011.
Survey density forecast comparison in small samples (with Fabrizio Iacone and Fabio Profumo), Forthcoming
Teaching
Undergraduate
- First Year: Introduction to Finance
Postgraduate
- PhD: Econometrics for Research
Laura Coroneo
Professor
Department of Economics
Room: A/EC/121Tel: 01904 323782
My office hours are on Tuesday 9.30-11.30. Book via Google calendar