Benoit Perron, Université de Montréal

Research

factor models factor augmented regression FAVAR missing data bootstrap factor-augmented regressions

Latest funding

Factor models for forecasting and macroeconomic applications
SSHRC · 2020 · Principal investigator
$85,138
Bootstrap inference in econometric models with estimated factors
SSHRC · 2016 · Principal investigator
$56,019
Factor models in macroeconomic panel data
SSHRC · 2010 · Principal investigator
$62,500

All 7 grants and awards

Factor models for forecasting and macroeconomic applications

Principal investigatorSSHRC2020Insight Grants

Principal investigators: Perron, Benoit

Keywords: factor models; factor augmented regression; FAVAR; missing data

$85,138

Bootstrap inference in econometric models with estimated factors

Principal investigatorSSHRC2016Insight Grants

Principal investigators: Perron, Benoit

Keywords: factor models; bootstrap; factor-augmented regressions

$56,019

Factor models in macroeconomic panel data

Principal investigatorSSHRC2010Standard Research Grants program

Principal investigators: Perron, Benoit

Keywords: panel data; factor models; cross-sectional dependence; bootstrap; multiple testing

$62,500

MPrime Network (formerly MITACS) / Réseau MPrime (autrefois MITACS)

Co-investigatorNSERC2009Networks of Centres of Excellence

Principal investigators: Gupta, Arvind

$12,553,000

The risk-return tradeoff at different horizons

Principal investigatorSSHRC2007Standard Research Grants

Principal investigators: Perron, Benoit

Keywords: risk-return tradeoff; long-horizon regressions; fractional cointegration

$45,000

Mathematics of Information Technology and Complex Systems/Les mathématiques des technologies de l'information et des systèmes complexes

Co-investigatorNSERC2005Networks of Centres of Excellence

Principal investigators: Gupta, Arvind

$17,419,000

Long memory in volatility: consequences and inference tools

Principal investigatorSSHRC2004Standard Research Grants

Principal investigators: Perron, Benoit

Keywords: long memory; implied volatility; option pricing; realized volatility

$62,900

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Applying for

Mention their SSHRC grant from 2020

Subject: Prospective PhD student: factor models Dear Professor Perron, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on factor models connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your SSHRC-funded project "Factor models for forecasting and macroeconomic applications" (2020), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]