Sílvia Gonçalves

Université de Montréal

Département de Sciences Économiques






Montréal Econometrics



My Resumé


Sílvia Gonçalves

Département de Sciences Économiques
Université de Montréal
C.P. 6128 succ. Centre-ville
Montréal, H3C 3J7

Phone: (514) 343-6556
Fax: (514) 343-7221


Ph.D. in Economics, University of California, San Diego.
September 2000
Thesis: The Bootstrap for Dependent Heterogeneous Processes.
Supervisor: Halbert White.

Candidate in Philosophy, Economics, University of California, San Diego.
June 1999

B.A. in Economics, Universidade Nova de Lisboa.
June 1993

Academic Positions

June 2012- present
Université de Montréal.

Associate Professor
June 2006-May 2012
Université de Montréal.

Assistant Professor
June 2000-May 2006
Université de Montréal.

June 2000-present

December 2000-present

Research Fields

Econometrics, Time Series Analysis, Financial Econometrics.

Editorial Activities


Associate Editor of JBES since July 1, 2012.

Associate Editor of Econometrics Journal since January 1, 2012.

Associate Editor of Portuguese Economics Journal, since 2004.


  1. Discussion: Bootstrap methods for dependent data: A review, with D. Politis, 2011, Jornal of the Korean Statistical Association, 40, 383-386.
  2. Bootstrapping realized multivariate volatility measures, with P. Dovonon and N. Meddahi, 2008 forthcoming in the Journal of Econometrics
  3. The moving blocks bootstrap for panel linear regression models with individual fixed effects, 2011, Econometric Theory, 27, 1048-1082.
  4. Block bootstrap puzzles in HAC robust testing: the sophistication of the naive bootstrap, with T. Vogelsang, 2011, Econometric Theory, 27, 745-791.
  5. Box-Cox transforms for realized volatility, with N. Meddahi, 2008, forthcoming in Journal of Econometrics
  6. Bootstrapping realized volatility, with N. Meddahi, 2009, Econometrica, Vol. 77, 283-306.  Appendix
  7. Edgeworth corrections for realized volatility, with N. Meddahi, 2008, Econometric Reviews, 27 (1), 139-162.
  8. Asymptotic and bootstrap inference for AR(inf) processes with conditional heteroskedasticity, with L. Kilian, 2007, Econometric Reviews, 26 (6), 609-641.
  9. 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.
  10. Estimation risk in financial risk management, with P. Christoffersen, 2005, Journal of Risk, 1-29.
  11. Bootstrap standard error estimates for linear regression, with H. White, 2005, Journal of the American Statistical Association, Vol. 100, No. 471, 970-979.
  12. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, with L. Kilian, 2004, Journal of Econometrics, 123, 89-120.
  13. Maximum likelihood and the bootstrap for nonlinear dynamic models, with H. White, 2004, Journal of Econometrics, 119, 199-220.
  14. Consistency of the stationary bootstrap under weak moment conditions, with R. de Jong, 2003, Economics Letters, 81, 273-278. Long Version
  15. The bootstrap of the mean for dependent heterogeneous arrays, with H. White, 2002, Econometric Theory, 18, 1367-1384.

Work in Progress

  1. Bootstrapping factor-augmented regression models, with B. Perron, November 2011, PDF, revision requested by the Journal of Econometrics.
  2. Bootstrap tests of equal predictive ability in factor-augmented models, with M. W. McCracken and B. Perron.
  3. Bootstrapping pre-averaged realized volatility under market microstructure noise, with U. Hounyo and N. Meddahi.
  4. Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns, with U. Hounyo and N. Meddahi.
  5. Bootstrapping linear dynamic panel models, with M. Kaffo.


Teaching and Research Experience

Professor  (statistics and econometrics at the undergraduate level and at the masters and doctoral level)
Université de Montréal.

Teaching Assistant (macroeconomics, microeconomics, statistics, finance)

University of California, San Diego.

Research Assistant for Professor Granger
University of California, San Diego.

Teaching Assistant (calculus, statistics, econometrics)
Universidade Nova de Lisboa.

Conference Presentations

  • Canadian Econometrics Study Group, Queens University, October 2012.
  • Joint Statistical Meetings, San Diego, August 2012.
  • Nonlinear and financial econometrics conference: a tribute to Ron Gallant, Toulouse, May 2011.
  • Conference in honor of Halbert White Jr, San Diego, May 2011.
  • Fourth meeting of the Portuguese Economics Journal, Algarve, June 2010.
  • Canadian Economics Association, Quebec, June 2010.
  • Conference on resampling methods and high dimensional data, Texas A&M, March 2010.
  • European Econometric Society Meetings, Barcelona, August 2009.
  • Joint Statistical Meetings, Washington, August 2009.
  • Third meeting of the Portuguese Economics Journal, Funchal, June 2009.
  • Yale summer conference on “Handling dependence: temporal, cross sectional and spatial”, New Haven, June 2009.
  • Canadian Econometrics Study Group, Ottawa (September 2009).
  • Third CIREQ Time Series Conference, Montr´eal (May 2009)..
  • 2009 North American Summer Meetings of the Econometric Society, Boston, June 2009.
  • NBER-NSF time series conference, University of Aarhus (Poster Session), September 2008.
  • Bootstrap and numerical methods in time series analysis, keynote speaker, Nottingham, September 2008.
  • Econometric Analysis of High-Frequency Data and the Impact of Economic News, SITE Workshop, Stanford, June 2008.
  • Applied Econometrics and Forecasting in Macroeconomics and Finance Workshop, St. Louis Federal Reserve Bank, St. Louis, March 2008.
  • CEFAGE Workshops: Perspectivas da Investigação em Portugal: Econometria, Évora, Portugal, October 2007.
  • Multivariate Volatility Models Conference, Universidade do Algarve, October 2007.
  • ISI 2007, Lisbon, August 2007.
  • European Econometric Society Meeting, Budapest, August 2007.
  • First Meeting of the Portuguese Economics Journal, Ponta Delgada, Açores, Portugal, June 2007.
  • CIREQ Time Series Conference, Montréal, December 2006.
  • Canadian Econometrics Study Group Conference, Simon Fraser University, Vancouver, October 2005 (discussant)
  • 2005 Econometric Society World Congress, London, August 2005.
  • 20th Annual Congress of the European Economic Association, Amsterdam, August 2005.
  • NBER Summer Institute, NBER/NSF Forecasting Seminar, Boston, July 2005.
  • Canadian Economics Association, McMaster University, Hamilton, May 2005.
  • The First Symposium on Econometric Theory and Applications, Statistica Sinica, Taipei, May 2005.
  • Simulation Based and Finite Sample Inference in Finance II, Quebec, April 2005.
  • 2005 North American Winter Meeting of the Econometric Society, Philadelphia, January 2005.
  • Montréal Econometrics Seminar, Concordia University, November 2004.
  • 2004 Canadian Econometrics Study Group Conference, York University Toronto, September 2004 (Poster Session).
  • CIREQ-CIRANO Conference: Financial Econometrics, Montreal, May 2004 (Poster Session).
  • 2005 North American Winter Meeting of the Econometric Society, Philadelphia, January 2005.
  • Conference for Young Researchers on Forecasting in Time Series, Duke University, May 2004.
  • 2003 NBER/NSF Time Series Conference, In Honor of George Tiao's Retirement, September 2003 (Poster Session).
  • 2003 Australasian Meetings of the Econometric Society, Sydney, July 2003.
  • 2003 North American Summer Meetings of the Econometric Society, Evanston, June 2003.
  • 37th Annual Meeting of the CEA, Carleton University, Ottawa, June 2003.
  • 2002 Norh American Summer Meetings of the Econometric Society, Los Angeles, June 2002.
  • Colloque CIREQ-CIRANO-MITACS, Modèles univariés et multivariés pour l'évaluatio des actifs financiers, May 2002.
  • 2001 North American Winter Meetings of the Econometric Society, New Orleans, January 2001.
  • 2001 Canadian Economics Association, Montréal, May 2001.
  • 2001 European Meetings of the Econometric Society, Lausanne, August 2001.
  • 2001 Canadian Econometrics Study Group, Waterloo, September 2001.
  • Colloque C.R.D.E, Méthodes de Rééchantillonnage en Économétrie, October 2001.
  • 2001 North American Summer Meetings of the Econometric Society, Maryland, June 2001.

Seminar Presentations

CEMAPRE (Lisbon), UPenn, Texas A&M, Rice University.


Victoria University, UBC, Rochester, Tilburg, Georgetown.


Vanderbilt University, Toulouse School of Economics.


University of Southern California, Queen's University, Boston University and Boston College.

Duke University, Yale University and Columbia University.

ISCTE, Lisbon, Finance Department and Universidade Técnica de Lisboa, ISEG, Economics Department.

CEMAPRE and ISEG, Department of Mathematics and Statistics.


Federal Reserve Bank of St. Louis, Universidade Nova de Lisboa.

Montréal Econometrics Seminars, University of Pittsburgh, University of Michigan, Université Laval.

University of Pennsylvania.

Université de Montréal, Département de Statistique.

Michigan State University, Montréal Econometrics Seminars, Queen's University, University of Michigan, University of Toronto.

Arizona State University, Ohio State University, Purdue University, RutgersUniversity, Universidade Nova de Lisboa, Université de Montréal, University of Alicante, University of British Columbia, University of California, Santa Barbara, University of Pennsylvania, University of Texas, University of Virginia, University of Western Ontario, UQAM.

Referee Work

Canadian Journal of Economics, Econometrica, Econometrics Journal, Econometric Reviews, Econometric Theory, International Journal of Forecasting, Journal of Business and Economics Statistics, Journal of Econometrics, Journal of Financial Econometrics, Journal of Forecasting, Journal of Multivariate Analysis, Social Sciences and Humanities Research Council of Canada (CRSH), Studies in Nonlinear Dynamics and Econometrics, NSF.

Honors, Fellowships and Scholarships

2010 CWEN Young Researcher Award

Alfred P. Sloan Doctoral Dissertation Fellowship

Projects in Econometric Analysis Fellowship
University of California, San Diego
Fall 1998

Ph.D. Scholarship (Praxis XXI)
From the Portuguese National Science Foundation

Research Grants

1.    Natural Sciences and Engineering Research Council of Canada (NSERCC), 2009-2014, $80,000.

2.    Social Sciences and Humanities Research Council of Canada (SSHRCC), 2010-2014, $63,000.

3.    FQRSC-ANR, Appel a projets franco-quebecois FRQSC-ANR; Quebec team: Silvia Goncalves (PI),Benoit Perron, and Prosper Dovonon; French team: Nour Meddahi (PI), Rene Garcia and Christian Bontemps, 2011-2014, $150,000 for the Quebec team and Eur 150,000 for the French team.

4.    Social Sciences and Humanities Research Council of Canada (SSHRCC), 2003-2006. $45,936

5.    Fonds Québécois de la Recherche sur la Société et la Culture (FQRSC), Programme d'établissement de nouveaux-chercheurs, 2003-2006. $40,500.

6.    Fonds Québécois de la Recherche sur la Société et la Culture (FQRSC), Projet de recherche en equipe (PI: Roch Roy, Statistics Department, Université de Montréal), 2003-2006. $139,227.

7.    Institut de Finance Mathématique de Montréal (IFM2), Support à la recherche aux jeunes chercheurs, 2003-2004. $10,000.


1.    Hasina Rasata, Masters: "La prévisibilité des rendements financiers: analyse de bootstrap", August 2002.

2.    Jérôme Gagné, Masters: "Comparaison des performances relatives de différents modèles d'estimation de la valeur à risque", July 2003.

3.    David Lachapelle, Masters: "Choix du modèle économétrique dans l'estimation des mesures de risque d'inflation", March 2004.

4.    Louis Armand Paulin, Masters: "Prévisibilité de la prime de risque sur les bons : Inférence de Boostrap", March 2004.

5.    Jérémie Lefebvre, Masters: "Bootstrapping event studies", Summer 2007.

6.    Prosper Dovonon, Ph.D.: "Les modèles à facteurs hétéroscédastiques", (co-supervision with Éric Renault), November 2007 (Assistant Professor at Concordia University).

7.    Rong Luo, Masters: Bootstrapping Variance Ratio Tests, September 2006.

8.    Alexandre Briand, Masters: Application de la methode de bootstrap aux tests de racine unitaire sur le taux dinteret canadien, May 2006.

9.    Hamzaoui, Issam, Masters: Methodes de simulations en econometrie, June 2010.

10. Jerjir, Olfa, Masters: Consommation, richesse agregee et rendements des actifs: utilisation de la methode bootstrap par paires, February 2011.

11. Liu, Tao, Masters: Predictability of Excess Market Returns in the Long-run using the Bootstrap, August 2010.

12. Jarouche, Fadi, Masters: Previsibilite des rendements excedentaires des actifs financiers : Utilisation de la volatilite realisee comme variable de prevision, August 2010.

13. Thalman, Ben, Masters: Jackknifing Long-horizon, Overlapping Observations Regressions, August 2010.

14. Ulrich Koomla Hounyo, Ph.D. :Methodes de bootstrap robuste a la presence derreur de microstructure, in progress (co-supervision with Ilze Kalnina) (Post-doctoral fellow at Oxford-Creates).

15.  Treyens, Pierre, Post-doc: Bootstrapping quantile regressions, Conseil de Recherches en Sciences Humaines du Canada (CRSH).

16. Adrienne Gagnon, Masters: Le pouvoir de predictabilite de la volatilite retardee survit-t-il a des corrections du biais?, April 2011.

17. Selma Chaker, Ph.D. : Volatility and microstructure frictions, May 2012 (co-supervision with Nour Meddahi) (senior analyst at the Banque of Canada).

18. Ismael Yacoub Mourifie, Ph.D. : Empirical analysis of spatial utility, in progress (co-supervision with Marc Henry).

19. Maximilien Kaffo, Ph.D. :Bootstrapping panel data models, in progress.

20. Antoine Djogbenou, Ph.D. :Bootstrapping factor models, in progress.

Montréal, September 19, 2012.



  Designed by Scott Goode