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 1 2 23 99
A New Approach to Drawing States in State Space Models 0 0 0 14 0 0 9 80
A New Approach to Drawing States in State Space Models 0 0 0 139 0 0 13 407
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 7 97
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 0 94 0 0 15 260
A State Dependent Regime Switching Model of Dynamic Correlations 0 1 2 131 1 2 15 286
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 1 8 1,377 2 3 35 4,545
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 1 69 2 2 24 222
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 0 5 193
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 1 178 2 4 18 487
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 0 10 30
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 0 279 0 0 16 899
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 10 552
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 79 2 2 9 568
Regime Switching for Dynamic Correlations 1 3 5 578 4 6 26 1,414
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 1 1 8 662
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 1 8 1,652
Short run and long run causality in time series: Inference 0 0 0 236 1 1 10 632
Total Working Papers 1 6 21 4,562 17 25 320 14,501

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 1 2 2 2 5 17 19
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 6 587 1 6 31 1,674
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 0 1 10 65
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 134 1 7 30 392
Impact of defaults on participation in state supplemental retirement savings plans 0 0 2 10 0 2 11 36
Inflation and equity mutual fund flows 0 0 0 48 1 2 13 169
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 1 17 0 2 20 51
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 0 1 14 25
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 0 9 92
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 1 10 164
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 0 2 10 0 2 23 47
Regime switching for dynamic correlations 1 3 6 476 3 10 55 1,144
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 0 3 97 1 3 24 278
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 1 2 16 42
The Geometric-VaR Backtesting Method 0 2 4 43 1 4 18 117
Total Journal Articles 1 6 28 1,693 11 49 319 4,966

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Statistics updated 2026-09-10