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Details about Denis Pelletier

E-mail:
Homepage:http://www4.ncsu.edu/~dpellet
Phone:(919) 513-7408
Postal address:Department of Economics North Carolina State University Box 8110 Raleigh, NC 27695-8110, USA
Workplace:Department of Economics, Poole College of Management, North Carolina State University, (more information at EDIRC)

Access statistics for papers by Denis Pelletier.

Last updated 2012-09-19. Update your information in the RePEc Author Service.

Short-id: ppe105


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Working Papers

2012

  1. 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 Downloads

2009

  1. A State Dependent Regime Switching Model of Dynamic Correlations
    2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association Downloads View citations (2)
  2. 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 Downloads View citations (1)

2008

  1. Evaluating Value-at-Risk Models with Desk-Level Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2006) Downloads View citations (7)

2007

  1. A New Approach to Drawing States in State Space Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Working Paper Series, North Carolina State University, Department of Economics (2007) Downloads
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2007) Downloads View citations (2)
  2. Non-Nested Testing in Models Estimated via Generalized Method of Moments
    Working Paper Series, North Carolina State University, Department of Economics Downloads
    See also Journal Article in Econometric Theory (2011)

2004

  1. Regime Switching for Dynamic Correlations
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO Downloads View citations (22)
    See also Journal Article in Journal of Financial Econometrics (2004)
  2. Short Run and Long Run Causality in Time Series: Inference
    CIRANO Working Papers, CIRANO Downloads View citations (12)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) Downloads View citations (11)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2006)

2000

  1. On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
    Working Papers, Laval - Recherche en Energie View citations (2)
    Also in Cahiers de recherche, GREEN (2000) Downloads View citations (1)
    Cahiers de recherche, Université Laval - Département d'économique (2000) Downloads View citations (5)

Journal Articles

2011

  1. NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
    Econometric Theory, 2011, 27, (02), 443-456 Downloads View citations (5)
    See also Working Paper (2007)
  2. Simulation smoothing for state-space models: A computational efficiency analysis
    Computational Statistics & Data Analysis, 2011, 55, (1), 199-212 Downloads View citations (20)

2006

  1. Regime switching for dynamic correlations
    Journal of Econometrics, 2006, 131, (1-2), 445-473 Downloads View citations (134)
    See also Working Paper (2004)
  2. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 Downloads View citations (51)
    See also Working Paper (2003)

2004

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    Journal of Financial Econometrics, 2004, 2, (1), 84-108 Downloads View citations (82)
    See also Working Paper (2003)

2002

  1. On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices
    American Journal of Agricultural Economics, 2002, 84, (2), 387-400 Downloads View citations (11)
 
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