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 1 3 4 79
A New Approach to Drawing States in State Space Models 0 0 0 45 3 4 5 94
A New Approach to Drawing States in State Space Models 0 0 0 139 1 2 3 396
A New Approach to Drawing States in State Space Models 0 0 1 14 1 1 3 72
A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities 0 0 1 94 1 3 5 248
A State Dependent Regime Switching Model of Dynamic Correlations 0 0 0 129 1 1 3 272
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC 0 0 0 2 0 0 0 7
Backtesting Value-at-Risk: A Duration-Based Approach 1 2 2 1,371 5 8 16 4,518
Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand 1 1 3 69 1 2 9 200
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 2 2 4 190
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 177 4 6 7 475
Evaluating Value-at-Risk models with desk-level data 1 1 2 337 3 6 9 922
Impact of Defaults in Retirement Saving Plans: Public Employee Plans 0 0 0 19 2 2 2 22
Non-Nested Testing in Models Estimated via Generalized Method of Moments 0 0 3 279 3 5 13 888
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 1 401
On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests 0 0 0 106 1 2 3 544
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 0 1 573 1 3 7 1,391
Retirement Benefit Distributions for California Educators 0 0 0 1 2 2 3 9
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 0 531 2 3 6 1,647
Short run and long run causality in time series: Inference 0 0 0 236 0 1 4 623
Total Working Papers 3 4 13 4,545 34 57 108 14,238

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 1 3 3
Backtesting Value-at-Risk: A Duration-Based Approach 1 2 4 583 7 12 22 1,655
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation 0 0 0 7 2 2 3 57
Evaluating Value-at-Risk Models with Desk-Level Data 0 0 0 133 1 5 12 367
Impact of defaults on participation in state supplemental retirement savings plans 0 1 4 9 0 1 10 26
Inflation and equity mutual fund flows 0 0 1 48 1 2 3 158
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures 0 0 3 16 3 5 11 36
Multivariate stochastic volatility using the HESSIAN method 0 0 0 0 1 2 4 13
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS 0 0 0 28 1 1 5 84
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices 0 0 0 19 0 1 4 155
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application 0 1 4 9 2 4 15 28
Regime switching for dynamic correlations 1 2 5 472 4 14 23 1,103
Short run and long run causality in time series: inference 0 0 0 210 1 1 4 634
Simulation smoothing for state-space models: A computational efficiency analysis 0 1 1 95 1 8 9 262
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel 1 1 1 5 2 2 3 28
The Geometric-VaR Backtesting Method 1 1 2 40 1 2 4 101
Total Journal Articles 4 9 25 1,674 27 63 135 4,710

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Statistics updated 2025-12-06