Sílvia Gonçalves

University of Montreal - Department of Economics

C.P. 6128, succursale Centre-Ville

Montreal, Quebec H3C 3J7

Canada

McGill University - Department of Economics

855 Sherbrooke Street West

Montreal, QC H3A 2T7

CANADA

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 30,346

SSRN RANKINGS

Top 30,346

in Total Papers Downloads

2,390

SSRN CITATIONS
Rank 12,392

SSRN RANKINGS

Top 12,392

in Total Papers Citations

54

CROSSREF CITATIONS

42

Scholarly Papers (11)

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

Number of pages: 42 Posted: 16 Jun 2003
Sílvia Gonçalves and Massimo Guidolin
University of Montreal - Department of Economics and University of Liverpool Management School
Downloads 1,727 (14,360)
Citation 19

Abstract:

Loading...

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 University of Liverpool Management School

Abstract:

Loading...

Implied volatility surface, predictability, trading rules

2.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Number of pages: 49 Posted: 09 Apr 2003
Sílvia Gonçalves and Lutz Kilian
University of Montreal - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 193 (222,138)

Abstract:

Loading...

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

3.

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 170 (247,798)
Citation 12

Abstract:

Loading...

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

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 77 (432,035)
Citation 4

Abstract:

Loading...

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 69 (458,437)
Citation 19

Abstract:

Loading...

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

6.

Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors

FRB of Dallas Working Paper No. 2019
Number of pages: 42 Posted: 01 Jul 2020
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 64 (476,369)

Abstract:

Loading...

local projections, structural models, censored regressor, nonlinear transformation, nonlinear responses, Monte Carlo integration

7.

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 48 (542,996)
Citation 6

Abstract:

Loading...

Bootstrapping, overidentification, overidentification

8.

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 29 (648,202)
Citation 1

Abstract:

Loading...

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

When Do State-Dependent Local Projections Work?

FRB of Dallas Working Paper No. 2205
Number of pages: 40 Posted: 12 May 2022 Last Revised: 30 Jun 2022
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 11 (827,023)

Abstract:

Loading...

local projections, state-dependent impulse responses, threshold, identification, nonlinear VAR

When Do State-Dependent Local Projections Work?

CEPR Discussion Paper No. DP17265
Number of pages: 41 Posted: 27 May 2022
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 0
  • Add to Cart

Abstract:

Loading...

identification, Local projection, nonlinear VAR, state-dependent impulse responses, threshold

10.

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
York University, University of Montreal - Department of Economics and University of Montreal - Department of Economics
Downloads 2 (900,318)

Abstract:

Loading...

Factor model, bootstrap, serial correlation, forecast

11.

Estimation Risk in Financial Risk Management

Posted: 25 Apr 2005
Peter Christoffersen and Sílvia Gonçalves
University of Toronto - Rotman School of Management and University of Montreal - Department of Economics

Abstract:

Loading...

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