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 3 74
A New Approach to Drawing States in State Space Models 0 0 0 139 0 0 1 393
A New Approach to Drawing States in State Space Models 0 0 1 13 0 0 2 69
A New Approach to Drawing States in State Space Models 0 0 0 45 0 0 1 88
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 0 93 0 0 1 242
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 0 129 0 0 0 269
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 1 2 2 0 1 4 4
Backtesting Value-at-Risk: A Duration-Based Approach 1 2 3 1,367 5 7 12 4,499
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 0 66 0 1 1 186
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 0 1 24
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 1 1 186
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 1 176 0 0 6 467
Evaluating Value-at-Risk models with desk-level data 0 0 0 334 1 1 5 908
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 18 0 0 1 19
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 0 276 0 0 1 875
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 0 1 4 541
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 0 398
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 1 4 569 0 3 13 1,376
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 1 2 652
Short Run and Long Run Causality in Time Series: Inference 0 0 1 531 1 1 3 1,640
Short run and long run causality in time series: Inference 0 0 0 236 0 0 0 618
Total Working Papers 1 4 12 4,523 7 17 62 14,087


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Backtesting Value-at-Risk: A Duration-Based Approach 2 3 10 578 4 6 27 1,625
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 5 0 0 1 52
Evaluating Value-at-Risk Models with Desk-Level Data 0 1 6 130 2 3 13 344
Impact of defaults on participation in state supplemental retirement savings plans 0 2 4 5 1 3 6 16
Inflation and equity mutual fund flows 2 2 4 44 2 2 12 150
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 4 11 0 0 8 21
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 1 1 7
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 0 0 79
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 0 0 151
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 2 4 0 2 6 8
Regime switching for dynamic correlations 0 1 9 458 1 8 24 1,062
Short run and long run causality in time series: inference 0 0 4 208 0 0 11 621
Simulation smoothing for state-space models: A computational efficiency analysis 1 2 4 92 1 6 13 234
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 1 1 4 0 1 3 24
The Geometric-VaR Backtesting Method 0 1 2 36 0 1 6 90
Total Journal Articles 5 14 50 1,622 12 33 131 4,484


Statistics updated 2024-04-03