Sílvia Gonçalves

University of Montreal - Department of Economics

C.P. 6128, succursale Centre-Ville

Montreal, Quebec H3C 3J7

Canada

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

EFMA 2003 Helsinki Meetings
Number of pages: 42 Posted: 16 Jun 2003
Sílvia Gonçalves and Massimo Guidolin
University of Montreal - Department of Economics and Bocconi University - Department of Finance
Downloads 1,495 (11,170)

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Implied volatility surface, predictability, trading strategies

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

Journal of Business, Vol. 79, No. 3, pp. 1591-1635, May 2006
Posted: 21 Jan 2005
Sílvia Gonçalves and Massimo Guidolin
University of Montreal - Department of Economics and Bocconi University - Department of Finance

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Implied volatility surface, predictability, trading rules

2.

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models

UCSD Department of Economics Working paper 2000-32R
Number of pages: 45 Posted: 17 Jan 2001
Sílvia Gonçalves and Halbert L. White, Jr.
University of Montreal - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 159 (182,890)

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Block bootstrap, Quasi-Maximum Likelihood Estimator, Nonlinear Dynamic Model, Near Epoch Dependence, Wald Test

3.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

ECB Working Paper No. 196
Number of pages: 49 Posted: 09 Apr 2003
Sílvia Gonçalves and Lutz Kilian
University of Montreal - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 140 (203,073)

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Wild bootstrap, pairwise bootstrap, robust inference, GARCH, stochastic volatility

4.

Bootstrapping Factor-Augmented Regression Models

CIRANO - Scientific Publications 2012s-12
Number of pages: 59 Posted: 10 May 2012
Sílvia Gonçalves and Benoit Perron
University of Montreal - Department of Economics and University of Montreal - Department of Economics
Downloads 60 (350,318)

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factor model, bootstrap, asymptotic bias

5.

Bootstrapping Realized Multivariate Volatility Measures

Number of pages: 34 Posted: 05 Nov 2009
Prosper Dovonon, Sílvia Gonçalves and Nour Meddahi
Barclays Wealth, University of Montreal - Department of Economics and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 60 (350,318)

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Realized regression, realized beta, realized correlation, bootstrap, Edgeworth expansions

6.

Bootstrapping the GMM Overidentification Test Under First-Order Underidentification

CIRANO - Scientific Publications 2014s-25
Number of pages: 48 Posted: 03 Jun 2014
Prosper Dovonon and Sílvia Gonçalves
Concordia University, Quebec and University of Montreal - Department of Economics
Downloads 44 (401,952)

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Bootstrapping, overidentification, overidentification

7.

Tests of Equal Accuracy for Nested Models with Estimated Factors

FRB St. Louis Working Paper No. 2015-25
Number of pages: 51 Posted: 06 Oct 2015 Last Revised: 06 Mar 2019
Sílvia Gonçalves, Michael W. McCracken and Benoit Perron
University of Montreal - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of St. Louis and University of Montreal - Department of Economics
Downloads 18 (523,548)

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factor model, out-of-sample forecasts, recursive estimation

8.

Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 481-502, 2015
Number of pages: 22 Posted: 24 Apr 2015
Antoine Djogbenou, Sílvia Gonçalves and Benoit Perron
University of Montreal - Department of Economics, University of Montreal - Department of Economics and University of Montreal - Department of Economics
Downloads 1 (638,107)
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Factor model, bootstrap, serial correlation, forecast

9.

Estimation Risk in Financial Risk Management

Journal of Risk, Vol. 7, No. 3, pp. 1-28, Spring 2005
Posted: 25 Apr 2005
Peter Christoffersen and Sílvia Gonçalves
University of Toronto - Rotman School of Management and University of Montreal - Department of Economics

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Value-at-risk, VAR, portfolio risk management, risk capital allocation, performance attribution, expected shortfall