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 1 1 1 81 3 12 15 91
A New Approach to Drawing States in State Space Models 0 0 0 45 0 2 7 96
A New Approach to Drawing States in State Space Models 0 0 1 14 1 4 7 76
A New Approach to Drawing States in State Space Models 0 0 0 139 1 7 10 403
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 0 8 12 256
A State Dependent Regime Switching Model of Dynamic Correlations 0 1 1 130 1 6 9 278
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 1 5 5 12
Backtesting Value-at-Risk: A Duration-Based Approach 0 0 2 1,371 1 10 25 4,528
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 3 69 0 13 22 213
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? 0 0 0 11 0 2 3 29
Endogenous Life-Cycle Housing Investment and Portfolio Allocation 0 0 0 48 0 0 4 190
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 0 4 10 479
Evaluating Value-at-Risk models with desk-level data 0 2 3 339 0 6 13 928
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 2 5 7 27
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 3 279 1 7 18 895
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 0 1 7 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 0 2 4 546
On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 79 0 3 3 562
Regime Switching for Dynamic Correlations 0 0 0 573 2 9 14 1,400
Retirement Benefit Distributions for California Educators 0 0 0 1 1 10 13 19
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 7 1,649
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 5 7 7 661
Short run and long run causality in time series: Inference 0 0 0 236 2 6 8 629
Total Working Papers 1 4 15 4,549 22 137 230 14,375

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 0 7 9 10
Backtesting Value-at-Risk: A Duration-Based Approach 1 2 6 585 3 8 26 1,663
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 2 5 7 62
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 3 14 23 381
Impact of defaults on participation in state supplemental retirement savings plans 0 0 4 9 1 5 14 31
Inflation and equity mutual fund flows 0 0 1 48 0 6 9 164
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 1 3 17 0 7 16 43
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 0 6 9 19
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 1 6 9 90
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 7 10 162
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 0 3 9 0 13 24 41
Regime switching for dynamic correlations 0 0 3 472 3 15 34 1,118
Short run and long run causality in time series: inference 0 0 0 210 4 12 14 646
Simulation smoothing for state-space models: A computational efficiency analysis 1 1 2 96 2 10 19 272
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 0 6 9 34
The Geometric-VaR Backtesting Method 0 0 2 40 0 6 9 107
Total Journal Articles 2 4 25 1,678 19 133 241 4,843

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Statistics updated 2026-03-04