Publications
- Discussion: Bootstrap methods for dependent
data: A review, with D. Politis, 2011, Jornal of the Korean Statistical
Association, 40, 383-386.
- Bootstrapping
realized multivariate volatility
measures, 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, 2011, Econometric
Theory, 27, 745-791.
- Box-Cox
transforms for realized volatility, with N. Meddahi, 2008,
forthcoming in Journal
of Econometrics.
- 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, 2007, Econometric
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 regression, with H. White,
2005, Journal
of the American Statistical
Association, Vol. 100, No. 471, 970-979.
- Bootstrapping
autoregressions with conditional heteroskedasticity of unknown form,
with L. Kilian, 2004, Journal of
Econometrics, 123, 89-120.
- Maximum
likelihood and the bootstrap for nonlinear dynamic models, with
H. White, 2004, Journal of
Econometrics, 119, 199-220.
- Consistency
of the stationary bootstrap under weak moment conditions, with
R. de Jong, 2003, Economics Letters,
81, 273-278. Long Version
- The
bootstrap of the mean for dependent heterogeneous arrays, with
H.
White, 2002, Econometric
Theory, 18, 1367-1384.
Work
in Progress
- Bootstrapping
factor-augmented regression models, with B.
Perron, November 2011, PDF
- Bootstrapping
pre-averaged realized volatility
under market microstructure noise, with U. Hounyo and N.
Meddahi.
- Bootstrap
inference for pre-averaged realized volatility based on non-overlapping
returns, with U. Hounyo
and N.
Meddahi.
- Bootstrapping
linear dynamic panel models, with M. Kaffo.
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