Details about Denis Pelletier

Access statistics for papers by Denis Pelletier.

Last updated 2009-09-23. Update your information in the RePEc Author Service.

Short-id: ppe105

Working Papers

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
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

2008

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

2007

4. A New Approach to Drawing States in State Space Models
   Working Paper Series, North Carolina State University, Department of Economics
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2007)
5. Non-Nested Testing in Models Estimated via Generalized Method of Moments
   Working Paper Series, North Carolina State University, Department of Economics View citations

2004

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

2003

7. Backtesting Value-at-Risk: A Duration-Based Approach
   CIRANO Working Papers, CIRANO View citations
   See also Journal Article in Journal of Financial Econometrics (2004)
8. Short Run and Long Run Causality in Time Series: Inference
   CIRANO Working Papers, CIRANO View citations
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations
   See also Journal Article in Journal of Econometrics (2006)

2000

9. 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
   Also in Cahiers de recherche, Université Laval - Département d'économique (2000)
   Cahiers de recherche, GREEN (2000)

Journal Articles

2006

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

2004

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

2002

4. 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 View citations