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 Sílvia Gonçalves





   Publications

  • Boostrap inference under cross sectional dependence, with T. Conley, M. Kim and B. Perron, 2022, forthcoming in Quantitative Economics.

  • Impulse response analysis for structural dynamic models with nonlinear regressors, with A. Herrera, L. Kilian, and E. Pesavento, 2021, Journal of Econometrics, 225, 107-130.
  • Bootstrapping factor models with cross sectional dependence, with B. Perron, 2020,  Journal of Econometrics, 218, 476-495.
  • Inference with Dependent Data in Accounting and Finance Applications, with Christian Hansen and Timothy Conley, 2018, Journal of Accounting Research, Volume 56, Issue 4.
  • Bootstrapping GMM tests under first order underidentification, with P. Dovonon, 2017, Journal of Econometrics, 43-71.
  • Bootstrapping pre-averaged realized volatility under market microstructure noise, with U. Hounyo and N. Meddahi, 2017, Econometric Theory,
    33, 791-833.
  • Tests of equal predictive ability in factor-augmented models, with Michael W. McCracken and Benoit Perron, 2017, Journal of Econometrics, 198, 231-252.
  • Bootstrap prediction intervals for factor models, with B. Perron and A. Djogbenou, 2017, Journal of Business and Economic Statistics, 35, 53-69.

  • Bootstrapping regression models with estimated factors and serial correlation, with A. Djogbenou  and B. Perron, 2015, Journal of Time Series Analysis, Volume 36, Issue 3, 481–-502.

  • Bootstrapping linear dynamic panel models with individual fixed effects, with M. Kaffo, 2015, Journal of Econometrics, 186, 407-426.

  • Discussion of `Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions', by Li Pan and Dimitris Politis, 2016, joint with Benoit Perron, Journal of Statistical Planning and Inference, 177, 31-34.
  • Bootstrapping factor-augmented regression models, with B. Perron, 2014, Journal of Econometrics, 182, 156-173.

  •  Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns, with U. Hounyo and N. Meddahi, 2014, Journal of Financial Econometrics, 12 (4), 679-707.

  • Bootstrapping realized multivariate volatility measures, with P. Dovonon and N. Meddahi, 2013, Journal of Econometrics, 172, 49-65.

  • Discussion: Bootstrap methods for dependent data: A review, with D. Politis, 2011, Jornal of the Korean Statistical Association, 40, 383-386.

  • 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, 2011, Journal of Econometrics, 160, 129-144.

  • 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.
  •   Working papers

    • When do state-dependent local projections work? with A. Herrera, L. Kilian and E. Pesavento, 2022, manuscript.
    • Bootstrap inference in the presence of bias, with G. Cavaliere and M. Nielsen, 2022, manuscript.

    • Bootstrapping out-of-sample predictability tests with real-time data, with M. McCracken and Y. Yao, 2022, manuscript.