Silvia Goncalves : Citation Profile


Are you Silvia Goncalves?

McGill University

12

H index

13

i10 index

717

Citations

RESEARCH PRODUCTION:

19

Articles

27

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 42
   Journals where Silvia Goncalves has often published
   Relations with other researchers
   Recent citing documents: 121.    Total self citations: 19 (2.58 %)

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   Permalink: http://citec.repec.org/pgo38
   Updated: 2019-10-15    RAS profile: 2017-07-31    
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Relations with other researchers


Works with:

Dovonon, Prosper (5)

Meddahi, Nour (4)

Perron, Benoit (4)

Djogbenou, Antoine (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 (29)

Kilian, Lutz (27)

Cavaliere, Giuseppe (25)

Taylor, Robert (22)

Lütkepohl, Helmut (16)

Corradi, Valentina (16)

Shephard, Neil (16)

Hansen, Peter (14)

Rahbek, Anders (13)

Hurn, Stan (12)

Patton, Andrew (11)

Cites to:

Shephard, Neil (24)

Bollerslev, Tim (22)

Barndorff-Nielsen, Ole (19)

Diebold, Francis (15)

Andersen, Torben (13)

Bai, Jushan (11)

Ng, Serena (11)

Lunde, Asger (10)

Engle, Robert (10)

Andrews, Donald (9)

White, Halbert (9)

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
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
TSE Working Papers / Toulouse School of Economics (TSE)2

Recent works citing Silvia Goncalves (2018 and 2017)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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2017A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices. (2017). Proietti, Tommaso ; Giovannelli, Alessandro. In: CREATES Research Papers. RePEc:aah:create:2017-20.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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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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2017The effect of traffic-light nutritional labelling on carbonated soft drink purchases in Ecuador. (2017). Sandoval, Luis A ; Cabrera, Tania ; Borja, Ivan ; Sanchez, Marcos ; Carpio, Carlos E. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259181.

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2017Inference in Linear Regression Models with Many Covariates and Heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: Papers. RePEc:arx:papers:1507.02493.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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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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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.01450.

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2018How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820.

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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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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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2018The Fixed Volatility Bootstrap for a Class of Arch(q) Models. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:920-941.

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2018Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata. (2018). Sun, Yixiao ; Ye, Xiaoqing. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt0bb8d0s9.

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2017Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios. (2017). Rüth, Sebastian ; Bachmann, Ruediger ; Ruth, Sebastian . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6458.

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2018Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Mody, Ashoka ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7400.

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2018The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification. (2018). Dovonon, Prosper ; Hall, Alastair. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-37.

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2017Systematic Monetary Policy and the Macroeconomic Effects of Shifts in Loan-to-Value Ratios. (2017). Rüth, Sebastian ; Bachmann, Ruediger ; Rueth, Sebastian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12024.

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2017Uncertainty and the Great Recession. (2017). Elstner, Steffen ; Breuer, Sebastian ; Born, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12083.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1750.

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2017Excess stock returns, oil shocks, and policy uncertainty in the U.S.. (2017). Gözgör, Giray ; Demir, Ender ; Gozgor, Giray . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00090.

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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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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

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2017Modelling the implied volatility surface based on Shanghai 50ETF options. (2017). Wang, Jinzhong ; Zhang, Ting ; Tao, Qizhi ; Chen, Shijiang . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:295-301.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2018Causes and consequences of oil price shocks on the UK economy. (2018). Pieroni, Luca ; Lorusso, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:223-236.

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2018Chinas increasing global influence: Changes in international growth linkages. (2018). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:194-206.

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2017Confidence intervals in regressions with estimated factors and idiosyncratic components. (2017). Fosten, Jack. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:71-74.

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2017Second-round effects after oil-price shocks: Evidence for the euro area and Germany. (2017). Enders, Zeno. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:208-213.

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2018Fiscal stimulus and systematic monetary policy: Postwar evidence for the United States. (2018). Rüth, Sebastian ; Ruth, Sebastian K. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:92-96.

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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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2017Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Inoue, Atsushi ; Guerron, Pablo ; Guerron-Quintana, Pablo. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:144-155.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models. (2017). Yamagata, Takashi ; Orme, Chris D ; Halunga, Andreea G. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:209-230.

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2017Asymptotic F and t tests in an efficient GMM setting. (2017). Sun, Yixiao ; Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:277-295.

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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2017Bootstrapping the GMM overidentification test under first-order underidentification. (2017). Gonalves, Silvia ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:43-71.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Tauchen, George ; Li, Jia ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes. (2018). Shintani, Mototsugu ; Okui, Ryo ; Lee, Yoon-Jin . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:147-158.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:187-225.

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2018On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity. (2018). Doko Tchatoka, Firmin ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:188-211.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2018Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework. (2018). Hwang, Jungbin ; Sun, Yixiao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:381-405.

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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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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, P S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2018Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177.

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2017How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?. (2017). Serletis, Apostolos ; Jadidzadeh, Ali . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:66-74.

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2017Where do jobs go when oil prices drop?. (2017). Karaki, Mohamad ; Herrera, Ana María ; Rangaraju, Sandeep Kumar . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:469-482.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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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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2017Coupon clipping by impoverished consumers: Linking demographics, basket size, and coupon redemption rates. (2017). Noble, Stephanie M ; Autry, Chad ; Zaretzki, Russell ; Lee, Kangbok. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:34:y:2017:i:2:p:553-571.

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2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2017The effects of oil price shocks on U.S. stock order flow imbalances and stock returns. (2017). Tsouknidis, Dimitris ; Savva, Christos ; Lambertides, Neophytos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:137-146.

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2018Precious metal returns and oil shocks: A time varying connectedness approach. (2018). Ur, Mobeen ; Hedstrom, Axel ; Uddin, Gazi Salah ; Hussain, Syed Jawad. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:77-89.

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2017Market structure and performance: An empirical study of the Chinese solar cell industry. (2017). Li, Yun ; Zhao, Xingang ; Nie, Dan . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:70:y:2017:i:c:p:78-82.

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2018Selective subsidies, entrepreneurial founders human capital, and access to R&D alliances. (2018). Murtinu, Samuele ; Grilli, Luca. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:10:p:1945-1963.

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2017Edgeworth expansion for the pre-averaging estimator. (2017). Veliyev, Bezirgen ; Yoshida, Nakahiro ; Podolskij, Mark. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:11:p:3558-3595.

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2017Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

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2018Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model. (2018). Tzavalis, Elias ; Karavias, Yiannis ; Symeonides, Spyridon D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:54-59.

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2018Volatility forecasting across tanker freight rates: The role of oil price shocks. (2018). Tsouknidis, Dimitris ; Gavriilidis, Konstantinos ; Tsakou, Katerina ; Kambouroudis, Dimos S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:118:y:2018:i:c:p:376-391.

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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Fryzlewicz, Piotr ; Cho, Haeran ; Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88110.

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2017Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity. (2017). Okimoto, Tatsuyoshi ; Tatsuyoshi, Okimoto ; Nguyen, Bao H. In: Discussion papers. RePEc:eti:dpaper:17102.

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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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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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2017LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2017). Djellout, Hacene ; Samoura, Yacouba ; Guillin, Arnaud . In: Post-Print. RePEc:hal:journl:hal-01082903.

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2018Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances. (2018). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-72.

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2018The Response of G7 Real Exchange Rates to Oil Price Shocks. (2018). Al Rasasi, Moayad. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:4:p:191-205.

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2017Inference in linear regression models with many covariates and heteroskedasticity. (2017). Jansson, Michael ; Cattaneo, Matias ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:03/17.

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2018Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models. (2018). Parente, Paulo ; Smith, Richard J. In: Working Papers REM. RePEc:ise:remwps:wp0592018.

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2018Oil Price Shocks and the Credit Default Swap Market. (2018). Serletis, Apostolos ; Dai, Wei. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:2:d:10.1007_s11079-017-9454-z.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2019A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2017The Asymptotic Properties of GMM and Indirect Inference under Second Inference. (2017). Donovon, Prosper ; Hall, Alastair R. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1705.

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2018Regime switching panel data models with interative fixed effects. (2018). GAO, Jiti ; Yan, Yayi ; Cheng, Tingting. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-21.

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2018Bootstrapping factor models with cross sectional dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montde:2018-07.

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2018Bootstrapping Factor Models With Cross Sectional Dependence. (2018). Gonalves, Silvia ; Perron, Benoit. In: Cahiers de recherche. RePEc:mtl:montec:10-2018.

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2017Identification in Macroeconomics. (2017). Steinsson, Jon ; Nakamura, Emi. In: NBER Working Papers. RePEc:nbr:nberwo:23968.

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2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

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2018Economic impacts of El Niño Southern Oscillation: evidence from the Colombian coffee market. (2018). Manera, Matteo ; Bastianin, Andrea ; Lanza, Alessandro. In: MPRA Paper. RePEc:pra:mprapa:89984.

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2017Model Selection in Factor-Augmented Regressions with Estimated Factors. (2017). Djogbenou, Antoine. In: Working Papers. RePEc:qed:wpaper:1391.

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2018Comovements in the Real Activity of Developed and Emerging Economies: A Test of Global versus Specific International Factors. (2018). Djogbenou, Antoine. In: Working Papers. RePEc:qed:wpaper:1392.

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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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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: 6
paper
2005Bootstrap Standard Error Estimates for Linear Regression In: Journal of the American Statistical Association.
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article34
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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paper62
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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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: 62
article
2001The Bootstrap of the Mean for Dependent Heterogeneous Arrays In: CIRANO Working Papers.
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paper32
2002THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS.(2002) In: Econometric Theory.
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This paper has another version. Agregated cites: 32
article
2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form In: CIRANO Working Papers.
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paper279
2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 279
article
2003Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2003) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 279
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: 279
paper
2002Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form.(2002) In: Discussion Paper Series 1: Economic Studies.
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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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paper34
2014Bootstrapping factor-augmented regression models.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 34
article
2014Bootstrapping the GMM overidentification test Under first-order underidentification In: CIRANO Working Papers.
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paper12
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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paper8
2016Bootstrapping high-frequency jump tests In: CIRANO Working Papers.
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paper8
2017Bootstrapping high-frequency jump tests.(2017) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 8
paper
2017Bootstrapping high-frequency jump tests.(2017) In: TSE Working Papers.
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This paper has another version. Agregated cites: 8
paper
2011BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP In: Econometric Theory.
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article20
2011THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS In: Econometric Theory.
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article5
2009Bootstrapping Realized Volatility In: Econometrica.
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article61
2003Consistency of the stationary bootstrap under weak moment conditions In: Economics Letters.
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article9
2011Box-Cox transforms for realized volatility In: Journal of Econometrics.
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article13
2013Bootstrapping realized multivariate volatility measures In: Journal of Econometrics.
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article26
2010Bootstrapping realized multivariate volatility measures.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 26
paper
2015Bootstrap inference for linear dynamic panel data models with individual fixed effects In: Journal of Econometrics.
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article4
2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
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article6
2016Tests of Equal Accuracy for Nested Models with Estimated Factors.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2005Predictable dynamics in the S&P 500 index options implied volatility surface In: Working Papers.
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paper32
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: 32
article
2001The Bootstrap of Mean for Dependent Heterogeneous Arrays. In: Cahiers de recherche.
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paper3
2001The Bootstrap of Mean for Dependent Heterogeneous Arrays..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity In: Econometric Reviews.
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article25
2008Edgeworth Corrections for Realized Volatility In: Econometric Reviews.
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article3

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