Silvia Goncalves : Citation Profile


Are you Silvia Goncalves?

McGill University

13

H index

16

i10 index

803

Citations

RESEARCH PRODUCTION:

19

Articles

28

Papers

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 40
   Journals where Silvia Goncalves has often published
   Relations with other researchers
   Recent citing documents: 77.    Total self citations: 19 (2.31 %)

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   Permalink: http://citec.repec.org/pgo38
   Updated: 2020-10-24    RAS profile: 2017-07-31    
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Relations with other researchers


Works with:

Perron, Benoit (5)

Djogbenou, Antoine (3)

Dovonon, Prosper (3)

McCracken, Michael (2)

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

Is cited by:

Swanson, Norman (30)

Kilian, Lutz (28)

Cavaliere, Giuseppe (26)

Taylor, Robert (22)

Lütkepohl, Helmut (16)

Shephard, Neil (16)

Corradi, Valentina (15)

Hansen, Peter (14)

Rahbek, Anders (13)

Inoue, Atsushi (11)

Patton, Andrew (11)

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

Recent works citing Silvia Goncalves (2020 and 2019)


YearTitle of citing document
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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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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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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2019Kernel Estimation for Panel Data with Heterogeneous Dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Papers. RePEc:arx:papers:1802.08825.

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2019Panel Data Analysis with Heterogeneous Dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Papers. RePEc:arx:papers:1803.09452.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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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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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2019Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59.

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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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2019Moving block bootstrapping for a CUSUM test for correlation change. (2019). Shin, Dong Wan ; Choi, Ji-Eun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:95-106.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2019The quantitative effects of tax foresight: Not all states are equal. (2019). Herrera, Ana María ; Rangaraju, Sandeep Kumar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:6.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2019Regime switching panel data models with interactive fixed effects. (2019). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:47-51.

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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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2019A moment-based notion of time dependence for functional time series. (2019). Gleim, Alexander ; Salish, Nazarii . In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:377-392.

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2019Panel data analysis with heterogeneous dynamics. (2019). Okui, Ryo ; Yanagi, Takahide. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:451-475.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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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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2019The factor analytical method for interactive effects dynamic panel models with moving average errors. (2019). Westerlund, Joakim ; Norkut, Milda. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:83-104.

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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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2019Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99.

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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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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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2019Growth in stress. (2019). Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Maldonado, Javier. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:948-966.

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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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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Benno, Duc Binh. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2019Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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2019Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

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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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2019R&D Subsidies as Dual Signals in Technological Collaborations. (2019). Murtinu, Samuele ; Scalera, Vittoria G ; Bianchi, Mattia. In: Research Policy. RePEc:eee:respol:v:48:y:2019:i:9:13.

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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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2019Empirical likelihood for high frequency data. (2019). Otsu, Taisuke ; Matsushita, Yukitoshi ; Camponovo, Lorenzo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100320.

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2019Uncertainty-Dependent and Sign-Dependent Effects of Oil Market Shocks. (2019). Tran, Trung Duc ; Tatsuyoshi, Okimoto ; Nguyen, Bao H. In: Discussion papers. RePEc:eti:dpaper:19042.

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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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2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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2019Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. (2019). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:ifs:cemmap:60/19.

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2019Estimation with Mixed Data Frequencies: A Bias-Correction Approach. (2019). Linton, Oliver ; Ghosh, Anisha. In: CeMMAP working papers. RePEc:ifs:cemmap:65/19.

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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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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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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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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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

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2019The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach. (2019). GUPTA, RANGAN ; Balcilar, Mehmet ; Ike, George . In: Working Papers. RePEc:pre:wpaper:201975.

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2019Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2019). Webb, Matthew ; Nielsen, Morten ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1415.

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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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2019Moody oil: What is driving the crude oil price?. (2019). Leinert, Lisa ; Lechthaler, Filippo. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1504-x.

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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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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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2019Health progress and economic growth in the United States: the mixed frequency VAR analyses. (2019). Chen, Wen-Yi ; Chang, Wei-Shiun ; Liu, Yi-Hui. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:53:y:2019:i:4:d:10.1007_s11135-019-00847-z.

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2019Does economic growth cause military expenditure to go up? Using MF-VAR model. (2019). Wang, Mei-Chih ; Lin, Feng-Li. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:53:y:2019:i:6:d:10.1007_s11135-019-00921-6.

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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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2019Bootstrapping Non-Stationary Stochastic Volatility. (2019). Cavaliere, Giuseppe ; Boswijk, H. Peter ; Rahbek, Anders ; Georgiev, Iliyan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190083.

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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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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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2020Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics. (2020). Iacone, Fabrizio ; Coroneo, Laura. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:391-409.

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2019The consequences of U.S. technology changes for productivity in advanced economies. (2019). Rujin, Svetlana ; Elstner, Steffen. In: Ruhr Economic Papers. RePEc:zbw:rwirep:796.

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2020Growth prospects and the trade balance in advanced economies. (2019). Rujin, Svetlana ; Belke, Ansgar ; Elstner, Steffen. In: Ruhr Economic Papers. RePEc:zbw:rwirep:827.

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2019Information Effects of Euro Area Monetary Policy. (2019). Kerssenfischer, Mark. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203524.

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2019Inference on functionals under first order degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:459-481.

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2019Strict stationarity testing and GLAD estimation of double autoregressive models. (2019). Li, Dong ; Guo, Shaojun. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:319-337.

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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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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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This paper has another version. Agregated cites: 4
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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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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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2005Bootstrap Standard Error Estimates for Linear Regression In: Journal of the American Statistical Association.
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2015Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis.
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2000Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models In: University of California at San Diego, Economics Working Paper Series.
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paper69
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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This paper has another version. Agregated cites: 69
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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: 69
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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: 69
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2001The Bootstrap of the Mean for Dependent Heterogeneous Arrays In: CIRANO Working Papers.
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2002THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS.(2002) In: Econometric Theory.
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2001The Bootstrap of Mean for Dependent Heterogeneous Arrays..(2001) In: Cahiers de recherche.
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2001The Bootstrap of Mean for Dependent Heterogeneous Arrays..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 34
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2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form In: CIRANO Working Papers.
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2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 306
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2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2003) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 306
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2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2003) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 306
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2002Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2002) In: Discussion Paper Series 1: Economic Studies.
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2003Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity In: CIRANO Working Papers.
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2004Estimation Risk in Financial Risk Management In: CIRANO Working Papers.
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2012Bootstrapping factor-augmented regression models In: CIRANO Working Papers.
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2014Bootstrapping factor-augmented regression models.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 37
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2014Bootstrapping the GMM overidentification test Under first-order underidentification In: CIRANO Working Papers.
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2015Bootstrap inference in regressions with estimated factors and serial correlation In: CIRANO Working Papers.
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paper7
2016Bootstrap prediction intervals for factor models In: CIRANO Working Papers.
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paper10
2016Bootstrapping high-frequency jump tests In: CIRANO Working Papers.
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