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 1 81 0 2 22 98
A New Approach to Drawing States in State Space Models 0 0 0 45 0 1 8 97
A New Approach to Drawing States in State Space Models 0 0 0 139 0 1 14 407
A New Approach to Drawing States in State Space Models 0 0 0 14 0 0 9 80
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 0 0 16 260
A State Dependent Regime Switching Model of Dynamic Correlations 1 1 2 131 1 1 14 285
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 0 0 12 19
Backtesting Value-at-Risk: A Duration-Based Approach 0 3 8 1,377 0 6 36 4,543
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 1 69 0 2 24 220
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 0 8 34
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 1 6 193
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 178 0 2 16 485
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 0 17 933
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 0 1 10 30
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 0 279 0 0 19 899
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 9 410
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 9 551
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 0 2 7 566
Regime Switching for Dynamic Correlations 2 2 4 577 2 3 22 1,410
Retirement Benefit Distributions for California Educators 0 0 0 1 0 0 13 20
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 7 661
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 8 1,652
Short run and long run causality in time series: Inference 0 0 0 236 0 0 9 631
Total Working Papers 3 7 21 4,561 3 25 315 14,484

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 2 2 2 1 5 16 17
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 6 587 3 6 30 1,673
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 1 1 10 65
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 134 0 7 30 391
Impact of defaults on participation in state supplemental retirement savings plans 0 0 2 10 2 2 12 36
Inflation and equity mutual fund flows 0 0 0 48 0 2 12 168
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 1 17 2 3 21 51
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 2 14 25
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 0 10 92
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 1 1 11 164
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 0 2 10 1 3 23 47
Regime switching for dynamic correlations 1 2 5 475 5 10 53 1,141
Short run and long run causality in time series: inference 0 0 0 210 0 1 18 651
Simulation smoothing for state-space models: A computational efficiency analysis 0 1 3 97 0 4 23 277
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 1 4 15 41
The Geometric-VaR Backtesting Method 1 2 4 43 2 5 17 116
Total Journal Articles 2 8 27 1,692 20 56 315 4,955

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Statistics updated 2026-08-07