My Resumé

pdf

Sílvia Gonçalves

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

Phone: (514) 343-6556
Fax: (514) 343-7221
silvia.goncalves@umontreal.ca

Education

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

Associate Professor
June 2006-present
Université de Montréal.

Assistant Professor
June 2000-May 2006
Université de Montréal.

Chercheur
June 2000-present
CIRANO.

Chercheur
December 2000-present
CIREQ.

Research Fields

Econometrics, Time Series Analysis, Financial Econometrics.

Publications<><>

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
2. Bootstrap tests of equal predictive ability in factor-augmented models, with 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

Assistant Professor  (statistics and econometrics at the undergraduate level and at the masters level)
2000-2006.
Université de Montréal.

Teaching Assistant (macroeconomics, microeconomics, statistics, finance)
1996-1999
University of California, San Diego.

Research Assistant for Professor Granger
1997-1999
University of California, San Diego.

Teaching Assistant (calculus, statistics, econometrics)
1993-1995
Universidade Nova de Lisboa.

Conference Presentations

• 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'évaluation 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

2001
Michigan State University, Montréal Econometrics Seminars, Queen's University, University of Michigan, University of Toronto.

2000
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

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

Ph.D. Scholarship (Praxis XXI)
From the Portuguese National Science Foundation
1995-1999