Silvia Goncalves : Citation Profile


Are you Silvia Goncalves?

McGill University

13

H index

19

i10 index

891

Citations

RESEARCH PRODUCTION:

19

Articles

28

Papers

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 44
   Journals where Silvia Goncalves has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 18 (1.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgo38
   Updated: 2022-01-23    RAS profile: 2017-07-31    
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Relations with other researchers


Works with:

Dovonon, Prosper (3)

Perron, Benoit (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Silvia Goncalves.

Is cited by:

Cavaliere, Giuseppe (33)

Swanson, Norman (30)

Kilian, Lutz (27)

Rahbek, Anders (26)

Taylor, Robert (22)

Lütkepohl, Helmut (16)

Corradi, Valentina (15)

Shephard, Neil (15)

Patton, Andrew (14)

Hansen, Peter (13)

MacKinnon, James (12)

Cites to:

Shephard, Neil (24)

Bollerslev, Tim (21)

Barndorff-Nielsen, Ole (19)

Diebold, Francis (15)

Andersen, Torben (13)

Ng, Serena (11)

Bai, Jushan (11)

Engle, Robert (10)

Lunde, Asger (10)

Andrews, Donald (9)

Hansen, Peter (8)

Main data


Where Silvia Goncalves has published?


Journals with more than one article published# docs
Journal of Econometrics7
Econometric Theory4
Econometric Reviews2

Working Papers Series with more than one paper published# docs
TSE Working Papers / Toulouse School of Economics (TSE)2
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2
Working Papers / Federal Reserve Bank of St. Louis2
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego2

Recent works citing Silvia Goncalves (2021 and 2020)


YearTitle of citing document
2020Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06.

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2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

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2020Uniform Inference after Pretesting for Exogeneity. (2020). Wang, Wenjie ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-05.

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2021Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562.

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2021The Bootstrap for Network Dependent Processes. (2021). Kojevnikov, Denis. In: Papers. RePEc:arx:papers:2101.12312.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2021A Two-Step Framework for Arbitrage-Free Prediction of the Implied Volatility Surface. (2021). Zhang, Gongqiu ; Li, Lingfei. In: Papers. RePEc:arx:papers:2106.07177.

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2021Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models. (2021). Djogbenou, Antoine ; Sufana, Razvan . In: Papers. RePEc:arx:papers:2109.09049.

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2021Bootstrap inference for panel data quantile regression. (2021). Xiao, Zhijie ; Parker, Thomas ; Galvao, Antonio F. In: Papers. RePEc:arx:papers:2111.03626.

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2020How Do Income and the Debt Position of Households Propagate Public into Private Spending?. (2020). Simon, Camilla ; Ruth, Sebastian K. In: Working Papers. RePEc:awi:wpaper:0676.

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2021The ECB and the Cost of Independence. Unearthing a New Doom-Loop in the European Monetary Union. (2021). Marozzi, Armando. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20152.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2020The long-run effects of monetary policy. (2020). Taylor, Alan M ; Singh, Sanjay R ; Jorda, Oscar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14338.

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2020Do oil-market shocks drive global liquidity?. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-33.

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2021Return spillovers between green energy indexes and financial markets: a first sectoral approach. (2021). Nobletz, Capucine. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-24.

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2021Capital flows-at-risk: push, pull and the role of policy. (2021). Sokol, Andrej ; Eguren Martin, Fernando ; Oneill, Cian ; von Dem, Lukas ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20212538.

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2021Changes in Demand and Supply of the Crude Oil Market During the COVID-19 Pandemic and its Effects on the Natural Gas Market. (2021). Jaya, Reza Fauzi ; Mulyono, Sri ; Sari, Mustika ; Ricardianto, Prasadja ; Suryawan, Ryan Firdiansyah ; Agusinta, Lira ; Setiawan, Edhie Budi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-1.

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2021Regulatory stringency and behavior in a common pool resource game: Lab and field experiments. (2021). Pongkijvorasin, Sittidaj ; Tambunlertchai, Kanittha. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000385.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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2021Economic uncertainty, oil prices, hedging and U.S. stock returns of the airline industry. (2021). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000255.

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2020On the inconsistency of nonparametric bootstraps for the subvector Anderson–Rubin test. (2020). Wang, Wenjie. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301245.

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2020Adaptive estimation of AR? models with time-varying variances. (2020). Wu, Jilin ; Zhang, Erhua. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304018.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020The uniform validity of impulse response inference in autoregressions. (2020). Kilian, Lutz ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:450-472.

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2020Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels. (2020). Saunders, Charles J ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:419-434.

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2020Bootstrapping factor models with cross sectional dependence. (2020). Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:476-495.

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2020Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. (2020). Motegi, Kaiji ; Hill, Jonathan B ; Ghysels, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:633-654.

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2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

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2021On the robustness of the pooled CCE estimator. (2021). Westerlund, Joakim ; Karabiyik, Hande ; Juodis, Artras. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:325-348.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538.

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2021Inference in time series models using smoothed-clustered standard errors. (2021). Vogelsang, Timothy J ; Rho, Seunghwa. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:113-133.

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2021Bootstrapping non-stationary stochastic volatility. (2021). Rahbek, Anders ; Cavaliere, Giuseppe ; Georgiev, Iliyan ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:161-180.

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2021Inference in Bayesian Proxy-SVARs. (2021). Waggoner, Daniel ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:88-106.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2021Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

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2021The effect of structural oil shocks on bank systemic risk in the GCC countries. (2021). Maghyereh, Aktham ; Abdoh, Hussein. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004400.

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2021Application of bagging in day-ahead electricity price forecasting and factor augmentation. (2021). Yildirim, Dilem ; Ozen, Kadir. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004448.

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2020What drives commodity price booms and busts?. (2020). Stuermer, Martin ; Jacks, David. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988318301907.

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2020Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

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2021The relation between petroleum product prices and crude oil prices. (2021). Linn, Scott ; Zhang, Huiming ; Lee, Thomas K ; Fernando, Chitru S ; Ederington, Louis H. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304199.

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2021Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium. (2021). Shen, Yifan ; Shi, Xunpeng. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304217.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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2021Intraday interactions between high-frequency trading and price efficiency. (2021). Hellara, Slaheddine ; ben Ammar, Imen. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316767.

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2020Do structural shocks in the crude oil market affect biofuel prices?. (2020). Sweidan, Osama D ; Maghyereh, Aktham I. In: International Economics. RePEc:eee:inteco:v:164:y:2020:i:c:p:183-193.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2021Minimizing post-shock forecasting error through aggregation of outside information. (2021). Eck, Daniel J ; Lin, Jilei. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1710-1727.

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2021Stock merger activity and industry performance. (2021). Vijh, Anand M ; Meng, BO. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001199.

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2020Time series momentum: Is it there?. (2020). Zhou, Guofu ; Wang, Liyao ; Li, Jiangyuan ; Huang, Dashan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:774-794.

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2020Capital-skill complementarity and biased technical change across US sectors. (2020). Perez-Laborda, Alejandro ; Perez-Sebastian, Fidel. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:66:y:2020:i:c:s0164070420301804.

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2021The macroeconomic effects of social security contributions and benefits. (2021). Gechert, Sebastian ; Villanueva, Paloma ; Paetz, Christoph. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:571-584.

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2021Jumps at ultra-high frequency: Evidence from the Chinese stock market. (2021). Liu, Qiang ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402.

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2021The implied volatility smirk in the Chinese equity options market. (2021). Pan, Zheyao ; Zhang, Jin E ; Gehricke, Sebastian A ; Yue, Tian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001311.

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2021The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Dul, Wiehan ; Cepni, Oguzhan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000544.

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2020Edgeworth corrections for spot volatility estimator. (2020). Liu, Zhi ; He, Lidan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301127.

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2020Climate hysteresis and monetary policy. (2020). Panton, Augustus. In: CAMA Working Papers. RePEc:een:camaaa:2020-76.

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2020FRED-QD: A Quarterly Database for Macroeconomic Research. (2020). Ng, Serena ; McCracken, Michael W. In: Working Papers. RePEc:fip:fedlwp:87608.

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2020Tests of Conditional Predictive Ability: Existence, Size, and Power. (2020). McCracken, Michael W. In: Working Papers. RePEc:fip:fedlwp:89216.

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2021The Persistence of Wages. (2021). Rodrigues, Paulo ; Raposo, Pedro ; Portugal, Pedro ; Carneiro, Anabela. In: IZA Discussion Papers. RePEc:iza:izadps:dp14798.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2021Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model. (2021). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202106.

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2021Time-Varying Dictionary and the Predictive Power of FED Minutes. (2021). Mohsin, Mohammed ; Godeiro, Lucas Lucio ; Lima, Luiz Renato. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10039-9.

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2021Performance and Market Maturity in Mutual Funds: Is Real Estate Different?. (2021). Schulz, Rainer ; MacGregor, Bryan D ; Zhao, Yuan. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:63:y:2021:i:3:d:10.1007_s11146-020-09787-0.

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2020THE WEALTH OF PARENTS: TRENDS OVER TIME IN ASSORTATIVE MATING BASED ON PARENTAL HEALTH. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2021Bootstrap inference for Hawkes and general point processes. (2021). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Discussion Papers. RePEc:kud:kuiedp:2105.

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2020Forecasting Stock Returns with Large Dimensional Factor Models. (2020). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Working Papers. RePEc:lan:wpaper:305661169.

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2021Application of Bagging in Day-Ahead Electricity Price Forecasting and Factor Augmentation. (2021). Yildirim, Dilem ; Ozen, Kadir. In: ERC Working Papers. RePEc:met:wpaper:2101.

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2020Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors. (2020). GAO, Jiti ; Silvapulle, Param ; Hannadige, Sium Bodha. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-19.

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2020The Long-Run Effects of Monetary Policy. (2020). Taylor, Alan ; Singh, Sanjay ; Jorda, Oscar. In: NBER Working Papers. RePEc:nbr:nberwo:26666.

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2020FRED-QD: A Quarterly Database for Macroeconomic Research. (2020). Ng, Serena ; McCracken, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:26872.

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2021Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data. (2021). Wang, Wenjie ; Tchatoka, Firmin Doko. In: MPRA Paper. RePEc:pra:mprapa:106408.

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2021Time Series Forecasting using a Mixture of Stationary and Nonstationary Predictors. (2021). Silvapulle, Param ; Gao, Jiti ; Hannadige, Sium Bodha. In: MPRA Paper. RePEc:pra:mprapa:108669.

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2021Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data. (2021). Doko Tchatoka, Firmin ; Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:110899.

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2020Uniform Inference after Pretesting for Exogeneity. (2020). Wang, Wenjie ; Doko Tchatoka, Firmin. In: MPRA Paper. RePEc:pra:mprapa:99243.

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2021The persistence of wages. (2021). Rodrigues, Paulo ; Raposo, Pedro ; Portugal, Pedro ; Carneiro, Anabela. In: Working Papers. RePEc:ptu:wpaper:w202112.

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2020What matters for consumer sentiment? World oil price or retail gasoline price?. (2020). Tsouknidis, Dimitris ; Lambertides, Neophytos ; Krokida, Styliani-Iris ; Clerides, Sofronis. In: Working Paper series. RePEc:rim:rimwps:20-22.

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2021Exploring the influence of economic policy uncertainty on the relationship between tourism and economic growth with an MF-VAR model. (2021). Wang, Yonglian ; Liu, Ying. In: Tourism Economics. RePEc:sae:toueco:v:27:y:2021:i:5:p:1081-1100.

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2021Monetary policy financial transmission and treasury liquidity premia. (2021). Reynard, Samuel ; Phillot, Maxime. In: Working Papers. RePEc:snb:snbwpa:2021-14.

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2020Long-term prediction intervals of economic time series. (2020). Wu, W B ; Karmakar, S ; Chud, M. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01689-2.

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2020State-dependent biases and the quality of China’s preliminary GDP announcements. (2020). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01751-z.

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2021A bias-corrected fixed effects estimator in the dynamic panel data model. (2021). Liu, Long ; Kao, Chihwa ; Sun, Rui. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01995-0.

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2021Horizon confidence sets. (2021). Gutknecht, Daniel ; Fosten, Jack. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01891-7.

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2021Does the source of oil supply shock matter in explaining the behavior of U.S. consumer spending and sentiment?. (2021). Alsalman, Zeina. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01900-9.

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2020The impacts of collective threshold requirements for rewards in a CPR experiment. (2020). Tambunlertchai, Kanittha ; Pongkijvorasin, Sittidaj. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:22:y:2020:i:4:d:10.1007_s10018-020-00268-5.

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2020Can there only be one? – an empirical comparison of four models on social entrepreneurial intention formation. (2020). Kruse, Philipp. In: International Entrepreneurship and Management Journal. RePEc:spr:intemj:v:16:y:2020:i:2:d:10.1007_s11365-019-00608-2.

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2020Dynamic structural impacts of oil shocks on exchange rates: lessons to learn. (2020). Bouri, Elie ; Suleman, Muhammad Tahir ; Hussain, Syed Jawad ; Ji, Qiang. In: Journal of Economic Structures. RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00194-5.

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2020Do the stock returns of clean energy corporations respond to oil price shocks and policy uncertainty?. (2020). Zhao, Xiaohui. In: Journal of Economic Structures. RePEc:spr:jecstr:v:9:y:2020:i:1:d:10.1186_s40008-020-00229-x.

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2021A self-normalization break test for correlation matrix. (2021). Shin, Dong Wan ; Choi, Ji-Eun. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:5:d:10.1007_s00362-020-01188-y.

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2021Tests for the explanatory power of latent factors. (2021). Chen, Mingjing. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:6:d:10.1007_s00362-020-01216-x.

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2020The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic. (2020). Kwok, Simon Sai Man ; Chan, Marc. In: Working Papers. RePEc:syd:wpaper:2020-03.

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2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, J ; Rahbek, Anders ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2021-05.

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2020The Time-Varying Effect of Monetary Policy on Asset Prices. (2020). Paul, Pascal. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:102:y:2020:i:4:p:690-704.

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2021Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04.

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2020What matters for consumer sentiment? World oil price or retail gasoline price?. (2020). Clerides, Sofronis ; Tsouknidis, Dimitris ; Lambertides, Neophytos ; Krokida, Styliani-Iris. In: University of Cyprus Working Papers in Economics. RePEc:ucy:cypeua:05-2020.

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2020Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors.. (2020). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202006.

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2021Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108.

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2020Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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2021Local Projection Inference Is Simpler and More Robust Than You Think. (2021). Plagborgmoller, Mikkel ; Montiel, Jose Luis. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:4:p:1789-1823.

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More than 100 citations found, this list is not complete...

Works by Silvia Goncalves:


YearTitleTypeCited
2013Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns In: CREATES Research Papers.
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2014Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns.(2014) In: Journal of Financial Econometrics.
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2013Bootstrapping pre-averaged realized volatility under market microstructure noise In: CREATES Research Papers.
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2016Bootstrapping pre-averaged realized volatility under market microstructure noise.(2016) In: CIRANO Working Papers.
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paper
2017BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE.(2017) In: Econometric Theory.
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2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise.(2017) In: IDEI Working Papers.
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2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise.(2017) In: TSE Working Papers.
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This paper has another version. Agregated cites: 9
paper
2005Bootstrap Standard Error Estimates for Linear Regression In: Journal of the American Statistical Association.
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article46
2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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article0
2000Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models In: University of California at San Diego, Economics Working Paper Series.
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paper73
2002Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models.(2002) In: University of California at San Diego, Economics Working Paper Series.
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paper
2002Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models.(2002) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 73
paper
2004Maximum likelihood and the bootstrap for nonlinear dynamic models.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 73
article
2001The Bootstrap of the Mean for Dependent Heterogeneous Arrays In: CIRANO Working Papers.
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paper37
2002THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS.(2002) In: Econometric Theory.
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This paper has another version. Agregated cites: 37
article
2001The Bootstrap of Mean for Dependent Heterogeneous Arrays..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 37
paper
2001The Bootstrap of Mean for Dependent Heterogeneous Arrays..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 37
paper
2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form In: CIRANO Working Papers.
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paper343
2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 343
article
2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2003) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 343
paper
2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2003) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 343
paper
2002Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2002) In: Discussion Paper Series 1: Economic Studies.
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This paper has another version. Agregated cites: 343
paper
2003Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity In: CIRANO Working Papers.
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paper5
2004Estimation Risk in Financial Risk Management In: CIRANO Working Papers.
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paper19
2012Bootstrapping factor-augmented regression models In: CIRANO Working Papers.
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paper44
2014Bootstrapping factor-augmented regression models.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 44
article
2014Bootstrapping the GMM overidentification test Under first-order underidentification In: CIRANO Working Papers.
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paper13
2015Bootstrap inference in regressions with estimated factors and serial correlation In: CIRANO Working Papers.
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paper11
2016Bootstrap prediction intervals for factor models In: CIRANO Working Papers.
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paper12
2016Bootstrapping high-frequency jump tests In: CIRANO Working Papers.
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paper11
2017Bootstrapping high-frequency jump tests.(2017) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 11
paper
2017Bootstrapping high-frequency jump tests.(2017) In: TSE Working Papers.
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This paper has another version. Agregated cites: 11
paper
2011BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP In: Econometric Theory.
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article25
2011THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS In: Econometric Theory.
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article6
2009Bootstrapping Realized Volatility In: Econometrica.
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article67
2003Consistency of the stationary bootstrap under weak moment conditions In: Economics Letters.
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article11
2011Box-Cox transforms for realized volatility In: Journal of Econometrics.
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article16
2013Bootstrapping realized multivariate volatility measures In: Journal of Econometrics.
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article30
2010Bootstrapping realized multivariate volatility measures.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 30
paper
2015Bootstrap inference for linear dynamic panel data models with individual fixed effects In: Journal of Econometrics.
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article14
2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
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article13
2015Tests of Equal Accuracy for Nested Models with Estimated Factors.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
2020Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors In: Working Papers.
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paper0
2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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paper40
2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface.(2006) In: The Journal of Business.
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This paper has another version. Agregated cites: 40
article
2007Asymptotic and Bootstrap Inference for AR(?) Processes with Conditional Heteroskedasticity In: Econometric Reviews.
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article36
2008Edgeworth Corrections for Realized Volatility In: Econometric Reviews.
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article5

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