Access Statistics for Denis Pelletier

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Jump-Diffusion Model with Stochastic Volatility and Durations 0 0 0 80 0 1 2 76
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 1 89
A New Approach to Drawing States in State Space Models 0 0 0 139 0 0 0 393
A New Approach to Drawing States in State Space Models 0 0 0 13 0 0 0 69
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 0 93 0 1 2 244
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 0 129 0 0 0 269
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 0 0 3 7
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 3 1,369 0 1 9 4,503
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 0 66 0 0 5 191
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 0 2 26
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 0 0 186
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 177 1 1 2 469
Evaluating Value-at-Risk models with desk-level data 1 1 2 336 2 2 8 915
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 1 19 0 0 1 20
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 0 276 1 2 2 877
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 0 1 1 542
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 0 1 3 401
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 0 0 0 559
Regime Switching for Dynamic Correlations 0 1 4 573 0 2 10 1,386
Retirement Benefit Distributions for California Educators 0 0 1 1 0 0 6 6
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 2 654
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 1 1 3 1,642
Short run and long run causality in time series: Inference 0 0 0 236 2 2 3 621
Total Working Papers 1 2 12 4,534 7 15 65 14,145

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 3 579 1 4 16 1,637
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 2 7 0 1 3 55
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 133 2 3 16 358
Impact of defaults on participation in state supplemental retirement savings plans 0 0 0 5 1 1 2 17
Inflation and equity mutual fund flows 0 0 5 47 0 0 7 155
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 1 3 14 1 2 6 27
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 1 4 10
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 2 2 2 81
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 1 1 1 152
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 2 6 1 4 9 17
Regime switching for dynamic correlations 1 2 11 469 2 4 23 1,084
Short run and long run causality in time series: inference 0 0 2 210 2 2 11 632
Simulation smoothing for state-space models: A computational efficiency analysis 0 0 3 94 0 0 20 253
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 0 4 0 0 1 25
The Geometric-VaR Backtesting Method 0 0 2 38 1 1 8 98
Total Journal Articles 1 4 36 1,653 15 26 129 4,601

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Statistics updated 2025-03-03