Denis Pelletier
Names
| first: |
Denis |
| last: |
Pelletier |
Identifer
Contact
Affiliations
-
North Carolina State University
/ Poole College of Management
/ Department of Economics
Research profile
author of:
- Evaluating Value-at-Risk Models with Desk-Level Data
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008)
by Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier
(ReDIF-paper, aah:create:2009-35) - A Jump-Diffusion Model with Stochastic Volatility and Durations
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
by Wei Wei & Denis Pelletier
(ReDIF-paper, aah:create:2015-34) - Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand
2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association (2009)
by Bekkerman, Anton & Pelletier, Denis
(ReDIF-paper, ags:aaea09:49281) - A State Dependent Regime Switching Model of Dynamic Correlations
2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association (2009)
by Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis
(ReDIF-paper, ags:aaea09:49370) - A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities
2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association (2012)
by Zhao, Jieyuan & Goodwin, Barry K. & Pelletier, Denis
(ReDIF-paper, ags:aaea12:124825) - Backtesting Value-at-Risk: A Duration-Based Approach
CIRANO Working Papers, CIRANO (2003)
by Peter Christoffersen & Denis Pelletier
(ReDIF-paper, cir:cirwor:2003s-05) - Short Run and Long Run Causality in Time Series: Inference
CIRANO Working Papers, CIRANO (2003)
by Jean-Marie Dufour & Denis Pelletier & Eric Renault
(ReDIF-paper, cir:cirwor:2003s-61) - Nonnested Testing In Models Estimated Via Generalized Method Of Moments
Econometric Theory, Cambridge University Press (2011)
by Hall, Alastair R. & Pelletier, Denis
(ReDIF-article, cup:etheor:v:27:y:2011:i:02:p:443-456_00) - Impact of defaults on participation in state supplemental retirement savings plans
Journal of Pension Economics and Finance, Cambridge University Press (2022)
by Clark, Robert L. & Pelletier, Denis
(ReDIF-article, cup:jpenef:v:21:y:2022:i:1:p:22-37_2) - Regime Switching for Dynamic Correlations
Econometric Society 2004 North American Summer Meetings, Econometric Society (2004)
by Denis Pelletier
(ReDIF-paper, ecm:nasm04:230) - Simulation smoothing for state-space models: A computational efficiency analysis
Computational Statistics & Data Analysis, Elsevier (2011)
by McCausland, William J. & Miller, Shirley & Pelletier, Denis
(ReDIF-article, eee:csdana:v:55:y:2011:i:1:p:199-212) - Regime switching for dynamic correlations
Journal of Econometrics, Elsevier (2006)
by Pelletier, Denis
(ReDIF-article, eee:econom:v:131:y:2006:i:1-2:p:445-473) - Short run and long run causality in time series: inference
Journal of Econometrics, Elsevier (2006)
by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric
(ReDIF-article, eee:econom:v:132:y:2006:i:2:p:337-362) - Multivariate stochastic volatility using the HESSIAN method
Econometrics and Statistics, Elsevier (2021)
by McCausland, William & Miller, Shirley & Pelletier, Denis
(ReDIF-article, eee:ecosta:v:17:y:2021:i:c:p:76-94) - Inflation and equity mutual fund flows
Journal of Financial Markets, Elsevier (2018)
by Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S.
(ReDIF-article, eee:finmar:v:37:y:2018:i:c:p:52-69) - On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
Papers, Laval - Recherche en Energie (2000)
by Saphores, J.D. & Khalaf, L. & Pelletier, D.
(ReDIF-paper, fth:lavaen:00-03) - Evaluating Value-at-Risk Models with Desk-Level Data
Management Science, INFORMS (2011)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier
(ReDIF-article, inm:ormnsc:v:57:y:2011:i:12:p:2213-2227) - On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
Cahiers de recherche, Université Laval - Département d'économique (2000)
by Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis
(ReDIF-paper, lvl:laeccr:0003) - On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
Cahiers de recherche, GREEN (2000)
by Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis
(ReDIF-paper, lvl:lagrcr:0003) - Short run and long run causality in time series: Inference
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003)
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric
(ReDIF-paper, mtl:montde:2003-16) - A New Approach to Drawing States in State Space Models
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2007)
by McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis
(ReDIF-paper, mtl:montde:2007-06) - A New Approach to Drawing States in State Space Models
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2007)
by McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis
(ReDIF-paper, mtl:montec:07-2007) - Short Run and Long Run Causality in Time Series : Inference
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003)
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric
(ReDIF-paper, mtl:montec:14-2003) - Impact of Defaults in Retirement Saving Plans: Public Employee Plans
NBER Working Papers, National Bureau of Economic Research, Inc (2019)
by Robert L. Clark & Denis Pelletier
(ReDIF-paper, nbr:nberwo:26234) - Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?
NBER Working Papers, National Bureau of Economic Research, Inc (2019)
by Robert L. Clark & Denis Pelletier
(ReDIF-paper, nbr:nberwo:26263) - An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC
NBER Working Papers, National Bureau of Economic Research, Inc (2023)
by Robert L. Clark & Denis Pelletier & Beth Ritter
(ReDIF-paper, nbr:nberwo:31478) - Evaluating Value-at-Risk models with desk-level data
Working Paper Series, North Carolina State University, Department of Economics (2005)
by Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier
(ReDIF-paper, ncs:wpaper:010) - Non-Nested Testing in Models Estimated via Generalized Method of Moments
Working Paper Series, North Carolina State University, Department of Economics (2007)
by Alastair R. Hall & Denis Pelletier
(ReDIF-paper, ncs:wpaper:011) - A New Approach to Drawing States in State Space Models
Working Paper Series, North Carolina State University, Department of Economics (2007)
by William J. McCausland & Shirley Miller & Denis Pelletier
(ReDIF-paper, ncs:wpaper:014) - On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices
American Journal of Agricultural Economics, Agricultural and Applied Economics Association (2002)
by Jean-Daniel Saphores & Lynda Khalaf & Denis Pelletier
(ReDIF-article, oup:ajagec:v:84:y:2002:i:2:p:387-400) - The Geometric-VaR Backtesting Method
The Journal of Financial Econometrics, Society for Financial Econometrics (2016)
by Denis Pelletier & Wei Wei
(ReDIF-article, oup:jfinec:v:14:y:2016:i:4:p:725-745.) - Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
[Modelling Volatility by Variance Decomposition]
The Journal of Financial Econometrics, Society for Financial Econometrics (2021)
by Atsushi Inoue & Lu Jin & Denis Pelletier
(ReDIF-article, oup:jfinec:v:19:y:2021:i:1:p:202-234.) - Backtesting Value-at-Risk: A Duration-Based Approach
The Journal of Financial Econometrics, Society for Financial Econometrics (2004)
by Peter Christoffersen
(ReDIF-article, oup:jfinec:v:2:y:2004:i:1:p:84-108) - Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel
Journal of Labor Research, Springer (2018)
by Robert L. Clark & Aditi Pathak & Denis Pelletier
(ReDIF-article, spr:jlabre:v:39:y:2018:i:4:d:10.1007_s12122-018-9270-2) - Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
Journal of Business & Economic Statistics, Taylor & Francis Journals (2022)
by Jean-Marie Dufour & Denis Pelletier
(ReDIF-article, taf:jnlbes:v:40:y:2022:i:3:p:1140-1152) - Endogenous Life-Cycle Housing Investment and Portfolio Allocation
Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey (2013)
by Cengiz Tunc & Denis Pelletier
(ReDIF-paper, tcb:wpaper:1345) - Endogenous Life‐Cycle Housing Investment and Portfolio Allocation
Journal of Money, Credit and Banking, Blackwell Publishing (2019)
by Denis Pelletier & Cengiz Tunc
(ReDIF-article, wly:jmoncb:v:51:y:2019:i:4:p:991-1019)