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 0 1 23 99
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 14 0 0 9 80
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 1 1 15 261
A State Dependent Regime Switching Model of Dynamic Correlations 1 2 3 132 3 5 18 289
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 2 2 9 1,379 2 4 35 4,547
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 0 0 1 69 0 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 0 1 178 0 2 17 487
Evaluating Value-at-Risk models with desk-level data 0 0 3 339 0 0 15 933
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 1 1 11 31
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 0 279 1 1 16 900
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 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 0 2 9 568
Regime Switching for Dynamic Correlations 0 3 5 578 0 6 25 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 0 531 3 3 10 1,655
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 1 2 9 663
Short run and long run causality in time series: Inference 0 0 0 236 0 1 10 632
Total Working Papers 3 7 23 4,565 12 32 323 14,513

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 3 3 3 6 20 22
Backtesting Value-at-Risk: A Duration-Based Approach 1 1 7 588 2 6 33 1,676
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 2 2 3 136 3 4 32 395
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 0 1 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 13 25
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 1 1 10 93
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 1 9 164
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 0 2 10 1 2 23 48
Regime switching for dynamic correlations 0 2 5 476 1 9 53 1,145
Short run and long run causality in time series: inference 0 0 0 210 2 2 20 653
Simulation smoothing for state-space models: A computational efficiency analysis 0 0 3 97 2 3 25 280
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 0 0 1 5 0 2 16 42
The Geometric-VaR Backtesting Method 1 2 5 44 1 4 19 118
Total Journal Articles 5 8 32 1,698 16 47 327 4,982

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Statistics updated 2026-10-11