Sílvia Gonçalves

Université de Montréal

Département de Sciences Économiques






Montréal Econometrics





1.      Bootstrapping regression models with estimated factors and serial correlation, with A. Djogbenou  and B. Perron, October 2014, forthcoming in Journal of Time Series Analysis.

2.      Bootstrapping linear dynamic panel models with individual fixed effects, with M. Kaffo, February 2014, forthcoming in Journal of Econometrics.

3.     Discussion of `Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions', by Li Pan and Dimitris Politis, 2014, joint with Benoit Perron, forthcoming in Journal of Statistical Planning and Inference.

4.      Bootstrapping factor-augmented regression models, with B. Perron, June 2014, Journal of Econometrics, 182, 156-173.

5.      Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns, with U. Hounyo and N. Meddahi, March 2014, Journal of Financial Econometrics, 12 (4), 679-707.

6.      Discussion: Bootstrap methods for dependent data: A review, with D. Politis, 2011, Jornal of the Korean Statistical Association, 40, 383-386.

7.      Bootstrapping realized multivariate volatility measures, with P. Dovonon and N. Meddahi, 2008 forthcoming in the Journal of Econometrics

8.      The moving blocks bootstrap for panel linear regression models with individual fixed effects, 2011, Econometric Theory, 27, 1048-1082.

9.      Block bootstrap puzzles in HAC robust testing: the sophistication of the naive bootstrap, with T. Vogelsang, 2011, Econometric Theory, 27, 745-791.

10.  Box-Cox transforms for realized volatility, with N. Meddahi, 2011, Journal of Econometrics, 160, 129-144.

11.  Bootstrapping realized volatility, with N. Meddahi, 2009, Econometrica, Vol. 77, 283-306.  Appendix

12.  Edgeworth corrections for realized volatility, with N. Meddahi, 2008, Econometric Reviews, 27 (1), 139-162.

13.  Asymptotic and bootstrap inference for AR(inf) processes with conditional heteroskedasticity, with L. Kilian, 2007, Econometric Reviews, 26 (6), 609-641.

14.  Predictable dynamics in the S&P 500 index options volatility surface, with M. Guidolin, 2006, Journal of Business, Vol. 79, No. 3, May 2006, 1591-1635.

15.  Estimation risk in financial risk management, with P. Christoffersen, 2005, Journal of Risk, 1-29.

16.  Bootstrap standard error estimates for linear regression, with H. White, 2005, Journal of the American Statistical Association, Vol. 100, No. 471, 970-979.

17.  Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, with L. Kilian, 2004, Journal of Econometrics, 123, 89-120.

18.  Maximum likelihood and the bootstrap for nonlinear dynamic models, with H. White, 2004, Journal of Econometrics, 119, 199-220.

19.  Consistency of the stationary bootstrap under weak moment conditions, with R. de Jong, 2003, Economics Letters, 81, 273-278. Long Version

20.  The bootstrap of the mean for dependent heterogeneous arrays, with H. White, 2002, Econometric Theory, 18, 1367-1384.

Working papers under revision


21.  Bootstrapping pre-averaged realized volatility under market microstructure noise, with U. Hounyo and N. Meddahi, August 2014, PDF, submitted.

22.  Bootstrap prediction intervals for factor models, with B. Perron and A. Djogbenou, December 2013, revise and resubmit at JBES.

23.  Bootstrapping GMM tests under first order underidentification, with P. Dovonon, PDF, submitted.

Work in progress

1.    Bootstrapping high frequency jump tests, with P.Dovonon, U. Hounyo and N. Meddahi.

2.     Tests of equal predictive ability in factor-augmented models, with Michael W. McCracken and Benoit Perron.








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