models with estimated factors and serial correlation, with A. Djogbenou and B. Perron,
October 2014, forthcoming in Journal
of Time Series Analysis.
Bootstrapping linear dynamic panel models with
individual fixed effects, with M. Kaffo,
February 2014, forthcoming in Journal
`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.
Bootstrapping factor-augmented regression models, with B. Perron, June 2014, Journal of Econometrics, 182,
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.
Discussion: Bootstrap methods for dependent data: A
with D. Politis, 2011, Jornal of
the Korean Statistical Association, 40, 383-386.
Bootstrapping realized multivariate volatility
with P. Dovonon and N. Meddahi,
2008 forthcoming in the Journal of Econometrics.
The moving blocks bootstrap for panel linear
regression models with individual fixed effects, 2011, Econometric
Theory, 27, 1048-1082.
Block bootstrap puzzles in HAC robust testing: the
sophistication of the naive bootstrap, with T. Vogelsang,
Theory, 27, 745-791.
Box-Cox transforms for realized volatility, with N. Meddahi, 2011, Journal of Econometrics, 160, 129-144.
Bootstrapping realized volatility, with N. Meddahi, 2009, Econometrica,
Vol. 77, 283-306. Appendix
Edgeworth corrections for
realized volatility, with N. Meddahi, 2008, Econometric Reviews,
27 (1), 139-162.
Asymptotic and bootstrap inference for AR(inf) processes with
conditional heteroskedasticity, with L. Kilian,
Reviews, 26 (6), 609-641.
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.
Estimation risk in financial risk management, with P. Christoffersen, 2005, Journal of Risk, 1-29.
Bootstrap standard error estimates for linear
with H. White, 2005, Journal of the American Statistical Association,
Vol. 100, No. 471, 970-979.
with conditional heteroskedasticity of unknown
with L. Kilian, 2004, Journal of Econometrics, 123, 89-120.
Maximum likelihood and the bootstrap for nonlinear
with H. White, 2004, Journal of Econometrics, 119, 199-220.
Consistency of the stationary bootstrap under weak
with R. de Jong, 2003, Economics
Letters, 81, 273-278. Long
20. The bootstrap of
the mean for dependent heterogeneous arrays, with H. White,
2002, Econometric Theory, 18, 1367-1384.
papers under revision
pre-averaged realized volatility under market microstructure noise, with U. Hounyo and N. Meddahi, August
2014, PDF, submitted.
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,
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