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 0 0 0 139 0 0 0 393
A New Approach to Drawing States in State Space Models 0 1 1 14 1 2 2 71
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 0 89
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 1 1 1 270
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 2 3 5 4,506
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 1 1 67 0 2 7 195
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 1 187
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 0 1 469
Evaluating Value-at-Risk models with desk-level data 0 0 2 336 0 0 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 1 3 3 279 1 3 5 880
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 0 106 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 79 0 0 0 559
Regime Switching for Dynamic Correlations 0 0 3 573 0 0 9 1,387
Retirement Benefit Distributions for California Educators 0 0 1 1 0 1 7 7
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 0 3 1,644
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 1 654
Short run and long run causality in time series: Inference 0 0 0 236 0 1 4 622
Total Working Papers 1 5 13 4,539 5 13 65 14,164

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 1 2 3 581 2 5 15 1,642
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 2 133 1 3 12 361
Impact of defaults on participation in state supplemental retirement savings plans 2 3 3 8 4 5 7 23
Inflation and equity mutual fund flows 0 1 2 48 0 1 4 156
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 2 3 16 1 3 7 30
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 1 4 11
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 0 3 82
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 0 1 152
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 3 8 1 5 13 24
Regime switching for dynamic correlations 0 1 8 470 2 4 18 1,088
Short run and long run causality in time series: inference 0 0 2 210 1 1 10 633
Simulation smoothing for state-space models: A computational efficiency analysis 0 0 1 94 0 1 15 254
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 0 4 0 1 2 26
The Geometric-VaR Backtesting Method 0 1 1 39 0 1 4 99
Total Journal Articles 3 11 28 1,665 13 31 117 4,637

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Statistics updated 2025-07-04