My Resumé
pdf
Sílvia Gonçalves
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
Professor
June 2012- present
Université de Montréal.
Associate Professor
June 2006-May 2012
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.
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.
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, revision requested by
the Journal of Econometrics.
- Bootstrap tests of equal
predictive ability in factor-augmented models, with M. W. McCracken
and B. Perron.
- 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.
Teaching and Research Experience
Professor (statistics and econometrics at the undergraduate
level and at the masters and doctoral level)
2000-present.
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
- 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
2012
CEMAPRE (Lisbon), UPenn, Texas A&M, Rice
University.
2011
Victoria University, UBC, Rochester, Tilburg, Georgetown.
2010
Vanderbilt University, Toulouse School of Economics.
2009
University of Southern California, Queen's University, Boston University
and Boston College.
2008
Duke University, Yale University and Columbia University.
2007
ISCTE, Lisbon, Finance Department and Universidade
Técnica de Lisboa,
ISEG, Economics Department.
2006
CEMAPRE and ISEG, Department of Mathematics and Statistics.
2005
Federal Reserve Bank of St. Louis, Universidade
Nova de Lisboa.
2004
Montréal Econometrics Seminars, University of Pittsburgh, University
of Michigan, Université Laval.
2003
University of Pennsylvania.
2002
Université de Montréal, Département de Statistique.
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
Alfred P. Sloan Doctoral
Dissertation Fellowship
1999-2000
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
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.
Students
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 d’interet 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 d’erreur 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.
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