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Details about Denis Pelletier

Homepage:https://sites.google.com/ncsu.edu/denispelletier/
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 2023-02-24. Update your information in the RePEc Author Service.

Short-id: ppe105


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Working Papers

2023

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

2019

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

2015

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

2013

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

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 View citations (1)

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 (5)
  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 (2)
    Also in Working Paper Series, North Carolina State University, Department of Economics (2006) Downloads

    See also Journal Article Evaluating Value-at-Risk Models with Desk-Level Data, Management Science, INFORMS (2011) Downloads View citations (135) (2011)

2007

  1. A New Approach to Drawing States in State Space Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2007) Downloads View citations (2)
    Working Paper Series, North Carolina State University, Department of Economics (2007) Downloads
  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 NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS, Econometric Theory, Cambridge University Press (2011) Downloads View citations (15) (2011)

2004

  1. Regime Switching for Dynamic Correlations
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (6)
    See also Journal Article Regime switching for dynamic correlations, Journal of Econometrics, Elsevier (2006) Downloads View citations (219) (2006)

2003

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    CIRANO Working Papers, CIRANO Downloads View citations (31)
    See also Journal Article Backtesting Value-at-Risk: A Duration-Based Approach, Journal of Financial Econometrics, Oxford University Press (2004) Downloads View citations (162) (2004)
  2. Short Run and Long Run Causality in Time Series: Inference
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (3)
    CIRANO Working Papers, CIRANO (2003) Downloads View citations (12)

    See also Journal Article Short run and long run causality in time series: inference, Journal of Econometrics, Elsevier (2006) Downloads View citations (93) (2006)

2000

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

Journal Articles

2022

  1. Impact of defaults on participation in state supplemental retirement savings plans
    Journal of Pension Economics and Finance, 2022, 21, (1), 22-37 Downloads
  2. 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 Downloads

2021

  1. 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 Downloads View citations (3)
  2. Multivariate stochastic volatility using the HESSIAN method
    Econometrics and Statistics, 2021, 17, (C), 76-94 Downloads

2019

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

2018

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

2016

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

2011

  1. Evaluating Value-at-Risk Models with Desk-Level Data
    Management Science, 2011, 57, (12), 2213-2227 Downloads View citations (135)
    See also Working Paper Evaluating Value-at-Risk Models with Desk-Level Data, CREATES Research Papers (2008) Downloads View citations (2) (2008)
  2. NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
    Econometric Theory, 2011, 27, (2), 443-456 Downloads View citations (15)
    See also Working Paper Non-Nested Testing in Models Estimated via Generalized Method of Moments, Working Paper Series (2007) Downloads (2007)
  3. Simulation smoothing for state-space models: A computational efficiency analysis
    Computational Statistics & Data Analysis, 2011, 55, (1), 199-212 Downloads View citations (72)

2006

  1. Regime switching for dynamic correlations
    Journal of Econometrics, 2006, 131, (1-2), 445-473 Downloads View citations (219)
    See also Working Paper Regime Switching for Dynamic Correlations, Econometric Society 2004 North American Summer Meetings (2004) Downloads View citations (6) (2004)
  2. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 Downloads View citations (93)
    See also Working Paper Short Run and Long Run Causality in Time Series: Inference, Cahiers de recherche (2003) Downloads View citations (13) (2003)

2004

  1. Backtesting Value-at-Risk: A Duration-Based Approach
    Journal of Financial Econometrics, 2004, 2, (1), 84-108 Downloads View citations (162)
    See also Working Paper Backtesting Value-at-Risk: A Duration-Based Approach, CIRANO Working Papers (2003) Downloads View citations (31) (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 (18)
 
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