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 2 2 3 78
A New Approach to Drawing States in State Space Models 0 0 0 139 1 2 2 395
A New Approach to Drawing States in State Space Models 0 0 0 45 1 2 2 91
A New Approach to Drawing States in State Space Models 0 0 1 14 0 0 2 71
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 1 1 94 1 3 5 247
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 0 129 0 0 2 271
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 0 0 0 7
Backtesting Value-at-Risk: A Duration-Based Approach 0 1 1 1,370 1 6 11 4,513
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 2 68 1 3 8 199
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 1 1 1 27
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 1 2 188
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 1 2 3 471
Evaluating Value-at-Risk models with desk-level data 0 0 1 336 1 3 7 919
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 0 0 0 20
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 3 279 1 5 10 885
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 1 1 2 543
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 1 401
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 1 573 1 2 6 1,390
Retirement Benefit Distributions for California Educators 0 0 0 1 0 0 1 7
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 1 4 1,645
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 0 654
Short run and long run causality in time series: Inference 0 0 0 236 1 1 4 623
Total Working Papers 0 2 10 4,542 14 35 76 14,204

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 3 3
Backtesting Value-at-Risk: A Duration-Based Approach 1 1 3 582 5 5 16 1,648
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 0 0 1 55
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 133 3 5 12 366
Impact of defaults on participation in state supplemental retirement savings plans 1 1 4 9 1 2 10 26
Inflation and equity mutual fund flows 0 0 1 48 1 1 3 157
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 3 16 2 3 9 33
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 0 1 5 12
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 1 4 83
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 2 4 155
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 1 1 4 9 1 2 13 26
Regime switching for dynamic correlations 0 1 6 471 7 11 22 1,099
Short run and long run causality in time series: inference 0 0 0 210 0 0 3 633
Simulation smoothing for state-space models: A computational efficiency analysis 1 1 1 95 6 7 11 261
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 0 4 0 0 1 26
The Geometric-VaR Backtesting Method 0 0 1 39 1 1 4 100
Total Journal Articles 4 5 24 1,670 28 43 121 4,683

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Statistics updated 2025-11-08