Details about Silvia Goncalves

Access statistics for papers by Silvia Goncalves.

Last updated 2022-05-16. Update your information in the RePEc Author Service.

Short-id: pgo38

Working Papers

2022

1. Bootstrap Inference Under Cross Sectional Dependence
   Working papers, University of Connecticut, Department of Economics
2. When Do State-Dependent Local Projections Work?
   Working Papers, Federal Reserve Bank of Dallas View citations (13)

2020

3. Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
   Working Papers, Federal Reserve Bank of Dallas
   See also Journal Article Impulse response analysis for structural dynamic models with nonlinear regressors, Journal of Econometrics, Elsevier (2021) View citations (13) (2021)

2018

4. Bootstrapping Factor Models With Cross Sectional Dependence
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2018) View citations (1)
   See also Journal Article Bootstrapping factor models with cross sectional dependence, Journal of Econometrics, Elsevier (2020) View citations (14) (2020)

2017

5. Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (6)
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2017) View citations (7)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (2)
   CIRANO Working Papers, CIRANO (2016) View citations (3)
   See also Journal Article BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE, Econometric Theory, Cambridge University Press (2017) View citations (7) (2017)
6. Bootstrapping high-frequency jump tests
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (10)
   Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2017) View citations (1)
   CIRANO Working Papers, CIRANO (2016)
   See also Journal Article Bootstrapping High-Frequency Jump Tests, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (5) (2019)

2016

7. Bootstrap prediction intervals for factor models
   CIRANO Working Papers, CIRANO View citations (12)
   See also Journal Article Bootstrap Prediction Intervals for Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (16) (2017)

2015

8. Bootstrap inference in regressions with estimated factors and serial correlation
   CIRANO Working Papers, CIRANO View citations (19)
9. Tests of Equal Accuracy for Nested Models with Estimated Factors
   Working Papers, Federal Reserve Bank of St. Louis View citations (2)
   See also Journal Article Tests of equal accuracy for nested models with estimated factors, Journal of Econometrics, Elsevier (2017) View citations (19) (2017)

2014

10. Bootstrapping the GMM overidentification test Under first-order underidentification
    CIRANO Working Papers, CIRANO View citations (11)
    See also Journal Article Bootstrapping the GMM overidentification test under first-order underidentification, Journal of Econometrics, Elsevier (2017) View citations (12) (2017)

2013

11. Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns, Journal of Financial Econometrics, Oxford University Press (2014) View citations (5) (2014)

2012

12. Bootstrapping factor-augmented regression models
    CIRANO Working Papers, CIRANO View citations (7)
    See also Journal Article Bootstrapping factor-augmented regression models, Journal of Econometrics, Elsevier (2014) View citations (57) (2014)

2010

13. Bootstrapping realized multivariate volatility measures
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Bootstrapping realized multivariate volatility measures, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)

2005

14. Predictable dynamics in the S&P 500 index options implied volatility surface
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface, The Journal of Business, University of Chicago Press (2006) View citations (59) (2006)

2004

15. Estimation Risk in Financial Risk Management
    CIRANO Working Papers, CIRANO View citations (20)

2003

16. Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO View citations (7)
17. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
    CIRANO Working Papers, CIRANO View citations (23)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (10)
    Working Paper Series, European Central Bank (2002) View citations (5)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2002) View citations (5)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (17)
    See also Journal Article Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2004) View citations (412) (2004)

2002

18. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations (6)
    CIRANO Working Papers, CIRANO (2002) View citations (6)
    See also Journal Article Maximum likelihood and the bootstrap for nonlinear dynamic models, Journal of Econometrics, Elsevier (2004) View citations (76) (2004)

2001

19. The Bootstrap of Mean for Dependent Heterogeneous Arrays
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (10)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (5)
    See also Journal Article THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS, Econometric Theory, Cambridge University Press (2002) View citations (40) (2002)

Journal Articles

2021

1. Impulse response analysis for structural dynamic models with nonlinear regressors
   Journal of Econometrics, 2021, 225, (1), 107-130 View citations (13)
   See also Working Paper Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors, Working Papers (2020) (2020)

2020

2. Bootstrapping factor models with cross sectional dependence
   Journal of Econometrics, 2020, 218, (2), 476-495 View citations (14)
   See also Working Paper Bootstrapping Factor Models With Cross Sectional Dependence, Cahiers de recherche (2018) View citations (1) (2018)

2019

3. Bootstrapping High-Frequency Jump Tests
   Journal of the American Statistical Association, 2019, 114, (526), 793-803 View citations (5)
   See also Working Paper Bootstrapping high-frequency jump tests, TSE Working Papers (2017) View citations (10) (2017)

2018

4. Inference with Dependent Data in Accounting and Finance Applications
   Journal of Accounting Research, 2018, 56, (4), 1139-1203 View citations (36)

2017

5. BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE
   Econometric Theory, 2017, 33, (4), 791-838 View citations (7)
   See also Working Paper Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise, IDEI Working Papers (2017) View citations (6) (2017)
6. Bootstrap Prediction Intervals for Factor Models
   Journal of Business & Economic Statistics, 2017, 35, (1), 53-69 View citations (16)
   See also Working Paper Bootstrap prediction intervals for factor models, CIRANO Working Papers (2016) View citations (12) (2016)
7. Bootstrapping the GMM overidentification test under first-order underidentification
   Journal of Econometrics, 2017, 201, (1), 43-71 View citations (12)
   See also Working Paper Bootstrapping the GMM overidentification test Under first-order underidentification, CIRANO Working Papers (2014) View citations (11) (2014)
8. Tests of equal accuracy for nested models with estimated factors
   Journal of Econometrics, 2017, 198, (2), 231-252 View citations (19)
   See also Working Paper Tests of Equal Accuracy for Nested Models with Estimated Factors, Working Papers (2015) View citations (2) (2015)

2015

9. Bootstrap inference for linear dynamic panel data models with individual fixed effects
   Journal of Econometrics, 2015, 186, (2), 407-426 View citations (39)
10. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 481-502

2014

11. Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
    Journal of Financial Econometrics, 2014, 12, (4), 679-707 View citations (5)
    See also Working Paper Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns, CREATES Research Papers (2013) View citations (1) (2013)
12. Bootstrapping factor-augmented regression models
    Journal of Econometrics, 2014, 182, (1), 156-173 View citations (57)
    See also Working Paper Bootstrapping factor-augmented regression models, CIRANO Working Papers (2012) View citations (7) (2012)

2013

13. Bootstrapping realized multivariate volatility measures
    Journal of Econometrics, 2013, 172, (1), 49-65 View citations (23)
    See also Working Paper Bootstrapping realized multivariate volatility measures, MPRA Paper (2010) View citations (10) (2010)

2011

14. BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
    Econometric Theory, 2011, 27, (4), 745-791 View citations (28)
15. Box-Cox transforms for realized volatility
    Journal of Econometrics, 2011, 160, (1), 129-144 View citations (17)
16. THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS
    Econometric Theory, 2011, 27, (5), 1048-1082 View citations (10)

2009

17. Bootstrapping Realized Volatility
    Econometrica, 2009, 77, (1), 283-306 View citations (84)

2008

18. Edgeworth Corrections for Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 139-162 View citations (7)

2007

19. Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
    Econometric Reviews, 2007, 26, (6), 609-641 View citations (57)

2006

20. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
    The Journal of Business, 2006, 79, (3), 1591-1636 View citations (59)
    See also Working Paper Predictable dynamics in the S&P 500 index options implied volatility surface, Working Papers (2005) View citations (1) (2005)

2005

21. Bootstrap Standard Error Estimates for Linear Regression
    Journal of the American Statistical Association, 2005, 100, 970-979 View citations (53)

2004

22. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2004, 123, (1), 89-120 View citations (412)
    See also Working Paper Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form, CIRANO Working Papers (2003) View citations (23) (2003)
23. Maximum likelihood and the bootstrap for nonlinear dynamic models
    Journal of Econometrics, 2004, 119, (1), 199-219 View citations (76)
    See also Working Paper Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models, University of California at San Diego, Economics Working Paper Series (2002) View citations (6) (2002)

2003

24. Consistency of the stationary bootstrap under weak moment conditions
    Economics Letters, 2003, 81, (2), 273-278 View citations (14)

2002

25. THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
    Econometric Theory, 2002, 18, (6), 1367-1384 View citations (40)
    See also Working Paper The Bootstrap of Mean for Dependent Heterogeneous Arrays, Cahiers de recherche (2001) View citations (5) (2001)