Benoit Perron

University of Montreal - Department of Economics

Professor

C.P. 6128, succursale Centre-Ville

Montreal, Quebec H3C 3J7

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

1130 Sherbrooke west, 14th floor

Montreal H3A 2M8, Quebec

Canada

University of Montreal - Center for Interuniversity Research in Econometrics

C.P. 6128, Succursale Centre-ville

Montreal, Quebec H3C 3J7

Canada

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 28,382

in Total Papers Downloads

2,570

SSRN CITATIONS
Rank 8,091

SSRN RANKINGS

Top 8,091

in Total Papers Citations

119

CROSSREF CITATIONS

41

Scholarly Papers (13)

1.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 844 (41,587)
Citation 22

Abstract:

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predictability, frequency, aggregation, risk-return trade-off

2.

A Fundamentally Different Interpretation of the Relation between Implied and Realized Volatility

Number of pages: 47 Posted: 02 Mar 2002
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Downloads 660 (57,673)
Citation 2

Abstract:

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Realized volatility, implied volatility, predictive regressions, long memory

3.
Downloads 305 (142,696)
Citation 44

Testing for a Unit Root in Panels with Dynamic Factors

Number of pages: 113 Posted: 26 May 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 183 (232,819)
Citation 7

Abstract:

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Testing for a Unit Root in Panels with Dynamic Factors

Number of pages: 42 Posted: 30 Apr 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 122 (323,321)
Citation 44

Abstract:

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4.

The Shape of Risk Premium: Evidence from a Semiparametric GARCH Model

Universite de Montreal, C.R.D.E. Working Paper No. 0899
Number of pages: 32 Posted: 19 May 2001
Oliver B. Linton and Benoit Perron
University of Cambridge and University of Montreal - Department of Economics
Downloads 219 (198,080)

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ARCH, asset pricing, backfitting, fourier series, kernel, risk premium

5.

Incidental Trends and the Power of Panel Unit Root Tests

Cowles Foundation Discussion Paper No. 1435, USC CLEO Research Paper No. C03-17, IEPR Working Paper No. 05-38
Number of pages: 64 Posted: 05 Sep 2003
University of Southern California - Department of Economics, University of Montreal - Department of Economics and University of Auckland Business School
Downloads 201 (214,344)
Citation 16

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Asymptotic power envelope, common point, optimal test, heterogeneous alternatives, incidental trends, local to unity, power function, panel unit root test

6.

An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors

IEPR Working Paper No. 05.35
Number of pages: 50 Posted: 16 Nov 2005
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 95 (380,985)
Citation 10

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7.

Appendix: Omitted Proofs of 'Testing for a Unit Root in Panels with Dynamic Factors'

Number of pages: 71 Posted: 29 Apr 2003
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 88 (399,542)
Citation 7

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8.

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 (432,172)
Citation 4

Abstract:

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factor model, bootstrap, asymptotic bias

9.

Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel

CIRANO - Scientific Publications No. 2011s-17
Posted: 15 Feb 2011
Hyungsik Roger Moon and Benoit Perron
University of Southern California - Department of Economics and University of Montreal - Department of Economics
Downloads 50 (534,054)
Citation 3

Abstract:

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False discovery rate, multiple testing, unit root tests, panel data

10.

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
University of Montreal - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of St. Louis and University of Montreal - Department of Economics
Downloads 29 (648,427)
Citation 1

Abstract:

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

11.

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
York University, University of Montreal - Department of Economics and University of Montreal - Department of Economics
Downloads 2 (900,848)

Abstract:

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Factor model, bootstrap, serial correlation, forecast

12.

Past Market Variance and Asset Prices

CIRANO - Scientific Publications No. 2011s-16
Posted: 15 Feb 2011
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics

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Asset prices, financial markets

13.

Long Memory and the Relation between Implied and Realized Volatility

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 636-670, 2006
Posted: 02 Apr 2008
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics

Abstract:

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fractional cointegration' implied volatility' long memory' predictive regression' realized volatility