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 1 1 81 3 8 20 96
A New Approach to Drawing States in State Space Models 0 0 0 14 2 5 10 80
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 7 96
A New Approach to Drawing States in State Space Models 0 0 0 139 1 4 13 406
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 4 4 16 260
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 1 130 3 7 15 284
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 6 8 12 19
Backtesting Value-at-Risk: A Duration-Based Approach 2 3 5 1,374 7 10 34 4,537
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 3 69 4 5 24 218
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 4 5 8 34
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 2 5 192
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 4 4 14 483
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 4 5 18 933
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 2 4 9 29
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 1 279 2 5 20 899
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 2 3 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 2 4 8 550
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 1 2 5 564
Regime Switching for Dynamic Correlations 2 2 2 575 5 9 20 1,407
Retirement Benefit Distributions for California Educators 0 0 0 1 1 2 14 20
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 5 7 661
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 1 1 6 1,650
Short run and long run causality in time series: Inference 0 0 0 236 2 4 10 631
Total Working Papers 4 6 17 4,554 60 106 304 14,459

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 1 2 11 12
Backtesting Value-at-Risk: A Duration-Based Approach 1 3 8 587 1 7 29 1,667
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 1 4 9 64
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 2 6 24 384
Impact of defaults on participation in state supplemental retirement savings plans 0 1 4 10 2 4 15 34
Inflation and equity mutual fund flows 0 0 0 48 0 2 10 166
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 2 17 3 5 20 48
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 3 4 13 23
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 1 3 10 92
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 1 1 11 163
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 3 10 1 3 24 44
Regime switching for dynamic correlations 0 1 4 473 9 16 46 1,131
Short run and long run causality in time series: inference 0 0 0 210 4 8 18 650
Simulation smoothing for state-space models: A computational efficiency analysis 0 1 2 96 1 3 19 273
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 3 3 12 37
The Geometric-VaR Backtesting Method 1 1 3 41 2 4 13 111
Total Journal Articles 2 8 27 1,684 35 75 284 4,899

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Statistics updated 2026-05-06