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

15

DOWNLOADS
Rank 18,065

SSRN RANKINGS

Top 18,065

in Total Papers Downloads

2,163

CITATIONS
Rank 4,890

SSRN RANKINGS

Top 4,890

in Total Papers Citations

107

Scholarly Papers (15)

1.

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 609 (33,952)
Citation 1

Abstract:

Realized volatility, implied volatility, predictive regressions, long memory

2.

The Scale of Predictability

Number of pages: 41 Posted: 05 Dec 2012 Last Revised: 23 Sep 2017
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 359 (36,160)

Abstract:

long run, predictability, aggregation, risk-return trade-off

3.
Downloads 273 ( 93,032)
Citation 77

Testing for a Unit Root in Panels with Dynamic Factors

USC CLEO Research Paper No. C01-26
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 172 (146,370)
Citation 77

Abstract:

Testing for a Unit Root in Panels with Dynamic Factors

USC CLEO Research Paper No. C03-9
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 101 (224,486)
Citation 77

Abstract:

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 201 (121,713)
Citation 3

Abstract:

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 Yale University - Cowles Foundation
Downloads 179 (135,644)
Citation 15

Abstract:

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

6.

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

USC CLEO Research Paper No. C03-10
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 73 (259,277)
Citation 2

Abstract:

7.

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 68 (263,174)
Citation 1

Abstract:

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 41 (325,371)

Abstract:

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 29 (384,560)
Citation 4

Abstract:

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

10.

Asymptotic Local Power of Pooled T-Ratio Tests for Unit Roots in Panels with Fixed Effects

Econometrics Journal, Vol. 11, Issue 1, pp. 80-104, February 2008
Number of pages: 25 Posted: 29 Feb 2008
Hyungsik Roger Moon and Benoit Perron
affiliation not provided to SSRN and University of Montreal - Department of Economics
Downloads 9 (506,230)
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Abstract:

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
University of Montreal - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of St. Louis and University of Montreal - Department of Economics
Downloads 0 (480,781)

Abstract:

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

12.

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
University of Montreal - Department of Economics, University of Montreal - Department of Economics and University of Montreal - Department of Economics
Downloads 0 (551,514)
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Abstract:

Factor model, bootstrap, serial correlation, forecast

13.

Point‐Optimal Panel Unit Root Tests with Serially Correlated Errors

The Econometrics Journal, Vol. 17, Issue 3, pp. 338-372, 2014
Number of pages: 35 Posted: 20 Oct 2014
University of Southern California - Department of Economics, University of Montreal - Department of Economics and Yale University - Cowles Foundation
Downloads 0 (565,950)
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Abstract:

Bias correction, Incidental trends, Long‐run variance, Point‐optimal test, Serial dependence

14.

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

Abstract:

Asset prices, financial markets

15.

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:

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