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 0 2 76
A New Approach to Drawing States in State Space Models 1 1 1 14 1 1 1 70
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 0 89
A New Approach to Drawing States in State Space Models 0 0 0 139 0 0 0 393
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 0 93 0 0 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 1 1,369 0 0 3 4,503
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 0 66 1 3 7 194
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 1 1 187
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 1 1 469
Evaluating Value-at-Risk models with desk-level data 0 1 2 336 0 2 7 915
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 2 2 2 278 2 3 4 879
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 0 0 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 0 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 0 3 573 0 1 10 1,387
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 0 3 4 1,644
Short run and long run causality in time series: Inference 0 0 0 236 0 2 3 621
Total Working Papers 3 4 11 4,537 4 17 63 14,155

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Stochastic Price Duration Model for Estimating High-Frequency Volatility 0 0 0 0 0 0 1 1
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 1 579 1 2 12 1,638
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 1 7 0 0 2 55
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 3 133 2 4 15 360
Impact of defaults on participation in state supplemental retirement savings plans 1 1 1 6 1 3 3 19
Inflation and equity mutual fund flows 1 1 3 48 1 1 5 156
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 1 1 4 15 1 2 7 28
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 0 1 3 10
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 3 3 82
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 1 1 152
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 2 7 1 4 11 20
Regime switching for dynamic correlations 0 1 10 469 1 3 18 1,085
Short run and long run causality in time series: inference 0 0 2 210 0 2 10 632
Simulation smoothing for state-space models: A computational efficiency analysis 0 0 2 94 1 1 19 254
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 0 1 7 98
Total Journal Articles 3 5 31 1,657 9 28 118 4,615

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Statistics updated 2025-05-12