Details about Denis Pelletier

Access statistics for papers by Denis Pelletier.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: ppe105

Working Papers

2024

1. Retirement Benefit Distributions for California Educators
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

2. An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

3. Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?
   NBER Working Papers, National Bureau of Economic Research, Inc
4. Impact of Defaults in Retirement Saving Plans: Public Employee Plans
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2015

5. A Jump-Diffusion Model with Stochastic Volatility and Durations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2013

6. Endogenous Life-Cycle Housing Investment and Portfolio Allocation
   Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey View citations (1)
   See also Journal Article Endogenous Life‐Cycle Housing Investment and Portfolio Allocation, Journal of Money, Credit and Banking, Blackwell Publishing (2019) View citations (1) (2019)

2012

7. 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 View citations (1)

2009

8. A State Dependent Regime Switching Model of Dynamic Correlations
   2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association View citations (5)
9. 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 View citations (1)

2008

10. Evaluating Value-at-Risk Models with Desk-Level Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2006)
    See also Journal Article Evaluating Value-at-Risk Models with Desk-Level Data, Management Science, INFORMS (2011) View citations (143) (2011)

2007

11. A New Approach to Drawing States in State Space Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2007)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2007) View citations (1)
12. Non-Nested Testing in Models Estimated via Generalized Method of Moments
    Working Paper Series, North Carolina State University, Department of Economics
    See also Journal Article NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS, Econometric Theory, Cambridge University Press (2011) View citations (15) (2011)

2004

13. Regime Switching for Dynamic Correlations
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (6)
    See also Journal Article Regime switching for dynamic correlations, Journal of Econometrics, Elsevier (2006) View citations (229) (2006)

2003

14. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO View citations (31)
    See also Journal Article Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, Oxford University Press (2004) View citations (169) (2004)
15. Short Run and Long Run Causality in Time Series: Inference
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (13)
    Also in CIRANO Working Papers, CIRANO (2003) View citations (12)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (3)
    See also Journal Article Short run and long run causality in time series: inference, Journal of Econometrics, Elsevier (2006) View citations (96) (2006)

2000

16. On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests
    Cahiers de recherche, GREEN View citations (2)
    Also in Cahiers de recherche, Université Laval - Département d'économique (2000) View citations (6)
    Working Papers, Laval - Recherche en Energie (2000) View citations (3)

Journal Articles

2024

1. A Stochastic Price Duration Model for Estimating High-Frequency Volatility
   Journal of Financial Econometrics, 2024, 22, (5), 1372-1396

2022

2. Impact of defaults on participation in state supplemental retirement savings plans
   Journal of Pension Economics and Finance, 2022, 21, (1), 22-37
3. Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
   Journal of Business & Economic Statistics, 2022, 40, (3), 1140-1152 View citations (3)

2021

4. Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
   (Modelling Volatility by Variance Decomposition)
   Journal of Financial Econometrics, 2021, 19, (1), 202-234 View citations (3)
5. Multivariate stochastic volatility using the HESSIAN method
   Econometrics and Statistics, 2021, 17, (C), 76-94

2019

6. Endogenous Life‐Cycle Housing Investment and Portfolio Allocation
   Journal of Money, Credit and Banking, 2019, 51, (4), 991-1019 View citations (1)
   See also Working Paper Endogenous Life-Cycle Housing Investment and Portfolio Allocation, Working Papers (2013) View citations (1) (2013)

2018

7. Inflation and equity mutual fund flows
   Journal of Financial Markets, 2018, 37, (C), 52-69 View citations (3)
8. Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel
   Journal of Labor Research, 2018, 39, (4), 383-404 View citations (4)

2016

9. The Geometric-VaR Backtesting Method
   Journal of Financial Econometrics, 2016, 14, (4), 725-745 View citations (12)

2011

10. Evaluating Value-at-Risk Models with Desk-Level Data
    Management Science, 2011, 57, (12), 2213-2227 View citations (143)
    See also Working Paper Evaluating Value-at-Risk Models with Desk-Level Data, CREATES Research Papers (2008) View citations (2) (2008)
11. NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
    Econometric Theory, 2011, 27, (2), 443-456 View citations (15)
    See also Working Paper Non-Nested Testing in Models Estimated via Generalized Method of Moments, Working Paper Series (2007) (2007)
12. Simulation smoothing for state-space models: A computational efficiency analysis
    Computational Statistics & Data Analysis, 2011, 55, (1), 199-212 View citations (73)

2006

13. Regime switching for dynamic correlations
    Journal of Econometrics, 2006, 131, (1-2), 445-473 View citations (229)
    See also Working Paper Regime Switching for Dynamic Correlations, Econometric Society 2004 North American Summer Meetings (2004) View citations (6) (2004)
14. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 View citations (96)
    See also Working Paper Short Run and Long Run Causality in Time Series: Inference, Cahiers de recherche (2003) View citations (13) (2003)

2004

15. Backtesting Value-at-Risk: A Duration-Based Approach
    Journal of Financial Econometrics, 2004, 2, (1), 84-108 View citations (169)
    See also Working Paper Backtesting Value-at-Risk: A Duration-Based Approach, CIRANO Working Papers (2003) View citations (31) (2003)

2002

16. 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 (18)