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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

  • University of Montreal - Department of Economics

  • McGill University - Department of Economics

SCHOLARLY PAPERS

11

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3,670

TOTAL CITATIONS
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Top 11,802

in Total Papers Citations

70

Scholarly Papers (11)

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1.

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

Downloads 1,999 (20,170)
Citation 19

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 Bocconi University, Dept. of Finance
Downloads 1,999 (19,796)
Citation 19

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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, Dept. of Finance

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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 255 (298,892)

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

3.

Nonparametric Local Projections

FRB of Dallas Working Paper No. 2414
Number of pages: 40 Posted: 02 Dec 2024
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 232 (330,287)

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impulse response, Local Projection, nonparametric estimation, nonlinear structural model, potential outcomes

4.

State-Dependent Local Projections

FRB of Dallas Working Paper No. 2302
Number of pages: 66 Posted: 05 May 2023
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 204 (373,348)

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local projections, business cycle, state-dependence, impulse response, multiplier, nonlinear structural model, potential outcomes model

5.

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 195 (389,821)
Citation 12

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

6.

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 179 (422,345)
Citation 10

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factor model, bootstrap, asymptotic bias

7.

When Do State-Dependent Local Projections Work?

Downloads 166 (451,954)
Citation 1

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 88 (761,092)

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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 78 (826,467)
Citation 1
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identification, Local projection, nonlinear VAR, state-dependent impulse responses, threshold

8.

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 139 (527,599)

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

9.

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 114 (621,896)
Citation 6

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Bootstrapping, overidentification, overidentification

10.

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 110 (640,165)
Citation 21

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

11.

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 77 (823,616)
Citation 1

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