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 4 7 8 83
A New Approach to Drawing States in State Space Models 0 0 0 45 0 4 5 94
A New Approach to Drawing States in State Space Models 0 0 1 14 0 1 3 72
A New Approach to Drawing States in State Space Models 0 0 0 139 3 5 6 399
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 5 7 10 253
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 0 129 1 2 4 273
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 2 2 2 9
Backtesting Value-at-Risk: A Duration-Based Approach 0 1 2 1,371 6 12 21 4,524
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 1 3 69 10 12 19 210
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 1 1 27
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 2 4 190
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 3 8 10 478
Evaluating Value-at-Risk models with desk-level data 2 3 4 339 4 8 13 926
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 1 3 3 23
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 3 279 4 8 17 892
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 1 3 3 545
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 2 2 3 403
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 1 1 1 560
Regime Switching for Dynamic Correlations 0 0 0 573 3 5 8 1,394
Retirement Benefit Distributions for California Educators 0 0 0 1 7 9 10 16
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 6 1,647
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 0 1 4 623
Total Working Papers 2 5 14 4,547 57 105 161 14,295

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 4 5 7 7
Backtesting Value-at-Risk: A Duration-Based Approach 1 3 5 584 1 13 22 1,656
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 1 3 3 58
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 3 7 14 370
Impact of defaults on participation in state supplemental retirement savings plans 0 1 4 9 2 3 12 28
Inflation and equity mutual fund flows 0 0 1 48 1 3 4 159
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 1 1 3 17 2 7 12 38
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 2 3 6 15
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 2 3 7 86
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 2 2 6 157
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 4 9 7 10 21 35
Regime switching for dynamic correlations 0 1 4 472 4 15 25 1,107
Short run and long run causality in time series: inference 0 0 0 210 0 1 4 634
Simulation smoothing for state-space models: A computational efficiency analysis 0 1 1 95 3 10 12 265
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 1 1 5 2 4 5 30
The Geometric-VaR Backtesting Method 0 1 2 40 4 6 8 105
Total Journal Articles 2 10 25 1,676 40 95 168 4,750

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Statistics updated 2026-01-09