Denis Pelletier
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Denis |
| last: |
Pelletier |
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Contact
Affiliations
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North Carolina State University
/ Poole College of Management
/ Department of Economics
Research profile
author of:
- Evaluating Value-at-Risk Models with Desk-Level Data (RePEc:aah:create:2009-35)
by Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier - A Jump-Diffusion Model with Stochastic Volatility and Durations (RePEc:aah:create:2015-34)
by Wei Wei & Denis Pelletier - Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand (RePEc:ags:aaea09:49281)
by Bekkerman, Anton & Pelletier, Denis - A State Dependent Regime Switching Model of Dynamic Correlations (RePEc:ags:aaea09:49370)
by Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis - A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities (RePEc:ags:aaea12:124825)
by Zhao, Jieyuan & Goodwin, Barry K. & Pelletier, Denis - Backtesting Value-at-Risk: A Duration-Based Approach (RePEc:cir:cirwor:2003s-05)
by Peter Christoffersen & Denis Pelletier - Short Run and Long Run Causality in Time Series: Inference (RePEc:cir:cirwor:2003s-61)
by Jean-Marie Dufour & Denis Pelletier & Eric Renault - Nonnested Testing In Models Estimated Via Generalized Method Of Moments (RePEc:cup:etheor:v:27:y:2011:i:02:p:443-456_00)
by Hall, Alastair R. & Pelletier, Denis - Impact of defaults on participation in state supplemental retirement savings plans (RePEc:cup:jpenef:v:21:y:2022:i:1:p:22-37_2)
by Clark, Robert L. & Pelletier, Denis - Regime Switching for Dynamic Correlations (RePEc:ecm:nasm04:230)
by Denis Pelletier - Simulation smoothing for state-space models: A computational efficiency analysis (RePEc:eee:csdana:v:55:y:2011:i:1:p:199-212)
by McCausland, William J. & Miller, Shirley & Pelletier, Denis - Regime switching for dynamic correlations (RePEc:eee:econom:v:131:y:2006:i:1-2:p:445-473)
by Pelletier, Denis - Short run and long run causality in time series: inference (RePEc:eee:econom:v:132:y:2006:i:2:p:337-362)
by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric - Multivariate stochastic volatility using the HESSIAN method (RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94)
by McCausland, William & Miller, Shirley & Pelletier, Denis - Inflation and equity mutual fund flows (RePEc:eee:finmar:v:37:y:2018:i:c:p:52-69)
by Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S. - On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests (RePEc:fth:lavaen:00-03)
by Saphores, J.D. & Khalaf, L. & Pelletier, D. - Evaluating Value-at-Risk Models with Desk-Level Data (RePEc:inm:ormnsc:v:57:y:2011:i:12:p:2213-2227)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier - On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests (RePEc:lvl:laeccr:0003)
by Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis - On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests (RePEc:lvl:lagrcr:0003)
by Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis - Short run and long run causality in time series: Inference (RePEc:mtl:montde:2003-16)
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric - A New Approach to Drawing States in State Space Models (RePEc:mtl:montde:2007-06)
by McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis - A New Approach to Drawing States in State Space Models (RePEc:mtl:montec:07-2007)
by McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis - Short Run and Long Run Causality in Time Series : Inference (RePEc:mtl:montec:14-2003)
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric - Impact of Defaults in Retirement Saving Plans: Public Employee Plans (RePEc:nbr:nberwo:26234)
by Robert L. Clark & Denis Pelletier - Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? (RePEc:nbr:nberwo:26263)
by Robert L. Clark & Denis Pelletier - An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC (RePEc:nbr:nberwo:31478)
by Robert L. Clark & Denis Pelletier & Beth Ritter - Retirement Benefit Distributions for California Educators (RePEc:nbr:nberwo:32631)
by Robert L. Clark & Denis Pelletier & Beth Ritter - Evaluating Value-at-Risk models with desk-level data (RePEc:ncs:wpaper:010)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier - Non-Nested Testing in Models Estimated via Generalized Method of Moments (RePEc:ncs:wpaper:011)
by Alastair R. Hall & Denis Pelletier - A New Approach to Drawing States in State Space Models (RePEc:ncs:wpaper:014)
by William J. McCausland & Shirley Miller & Denis Pelletier - On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices (RePEc:oup:ajagec:v:84:y:2002:i:2:p:387-400)
by Jean-Daniel Saphores & Lynda Khalaf & Denis Pelletier - The Geometric-VaR Backtesting Method (RePEc:oup:jfinec:v:14:y:2016:i:4:p:725-745.)
by Denis Pelletier & Wei Wei - Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
[Modelling Volatility by Variance Decomposition] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:202-234.)
by Atsushi Inoue & Lu Jin & Denis Pelletier - Backtesting Value-at-Risk: A Duration-Based Approach (RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108)
by Peter Christoffersen - Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel (RePEc:spr:jlabre:v:39:y:2018:i:4:d:10.1007_s12122-018-9270-2)
by Robert L. Clark & Aditi Pathak & Denis Pelletier - Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1140-1152)
by Jean-Marie Dufour & Denis Pelletier - Endogenous Life-Cycle Housing Investment and Portfolio Allocation (RePEc:tcb:wpaper:1345)
by Cengiz Tunc & Denis Pelletier - Endogenous Life‐Cycle Housing Investment and Portfolio Allocation (RePEc:wly:jmoncb:v:51:y:2019:i:4:p:991-1019)
by Denis Pelletier & Cengiz Tunc