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 2 10 17 93
A New Approach to Drawing States in State Space Models 0 0 1 14 2 6 9 78
A New Approach to Drawing States in State Space Models 0 0 0 139 2 6 12 405
A New Approach to Drawing States in State Space Models 0 0 0 45 0 2 7 96
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 0 3 12 256
A State Dependent Regime Switching Model of Dynamic Correlations 0 1 1 130 3 8 12 281
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 1 4 6 13
Backtesting Value-at-Risk: A Duration-Based Approach 1 1 3 1,372 2 6 27 4,530
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 3 69 1 4 21 214
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 1 3 4 30
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 2 2 5 192
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 1 10 479
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 1 3 14 929
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 0 4 7 27
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 3 279 2 5 20 897
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 0 5 7 408
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 2 3 6 548
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 1 3 4 563
Regime Switching for Dynamic Correlations 0 0 0 573 2 8 15 1,402
Retirement Benefit Distributions for California Educators 0 0 0 1 0 3 13 19
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 7 7 661
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 5 1,649
Short run and long run causality in time series: Inference 0 0 0 236 0 6 8 629
Total Working Papers 1 3 16 4,550 24 104 248 14,399

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 4 10 11
Backtesting Value-at-Risk: A Duration-Based Approach 1 2 7 586 3 10 29 1,666
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 1 5 8 63
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 1 12 24 382
Impact of defaults on participation in state supplemental retirement savings plans 1 1 5 10 1 4 14 32
Inflation and equity mutual fund flows 0 0 1 48 2 7 11 166
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 3 17 2 7 18 45
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 5 10 20
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 1 5 9 91
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 5 10 162
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 1 1 3 10 2 8 24 43
Regime switching for dynamic correlations 1 1 4 473 4 15 38 1,122
Short run and long run causality in time series: inference 0 0 0 210 0 12 14 646
Simulation smoothing for state-space models: A computational efficiency analysis 0 1 2 96 0 7 19 272
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 0 4 9 34
The Geometric-VaR Backtesting Method 0 0 2 40 2 4 11 109
Total Journal Articles 4 6 28 1,682 21 114 258 4,864

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Statistics updated 2026-04-09