Publications
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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