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 6 21 97
A New Approach to Drawing States in State Space Models 0 0 0 45 1 1 8 97
A New Approach to Drawing States in State Space Models 0 0 0 139 1 4 14 407
A New Approach to Drawing States in State Space Models 0 0 0 14 0 4 10 80
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 0 4 16 260
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 1 130 0 6 15 284
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 0 7 12 19
Backtesting Value-at-Risk: A Duration-Based Approach 2 5 7 1,376 5 14 38 4,542
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 2 69 2 7 25 220
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 5 8 34
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 1 3 6 193
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 4 14 483
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 5 18 933
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 1 3 10 30
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 1 279 0 4 20 899
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 1 5 9 551
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 0 2 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 4 7 566
Regime Switching for Dynamic Correlations 0 2 2 575 1 8 21 1,408
Retirement Benefit Distributions for California Educators 0 0 0 1 0 1 13 20
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 1 2 7 1,651
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 7 661
Short run and long run causality in time series: Inference 0 0 0 236 0 2 9 631
Total Working Papers 2 7 18 4,556 17 101 317 14,476

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 1 1 1 1 2 4 13 14
Backtesting Value-at-Risk: A Duration-Based Approach 0 2 7 587 1 5 28 1,668
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 0 2 9 64
Evaluating Value-at-Risk Models with Desk-Level Data 1 1 1 134 1 4 25 385
Impact of defaults on participation in state supplemental retirement savings plans 0 1 4 10 0 3 15 34
Inflation and equity mutual fund flows 0 0 0 48 1 3 11 167
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 1 17 1 6 20 49
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 5 14 24
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 0 2 10 92
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 1 11 163
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 2 10 1 4 22 45
Regime switching for dynamic correlations 0 1 3 473 3 16 48 1,134
Short run and long run causality in time series: inference 0 0 0 210 0 4 18 650
Simulation smoothing for state-space models: A computational efficiency analysis 1 1 3 97 2 3 21 275
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 3 6 14 40
The Geometric-VaR Backtesting Method 0 1 2 41 2 6 14 113
Total Journal Articles 3 9 25 1,687 18 74 293 4,917

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Statistics updated 2026-06-04