Denis Pelletier
Affiliations: | Economics | North Carolina State University, Raleigh, NC |
Area:
Theory Economics, StatisticsGoogle:
"Denis Pelletier"Children
Sign in to add trainee| Neveen Ahmed | grad student | 2012 | NCSU |
| Cengiz Tunc | grad student | 2012 | NCSU |
| Yanru Yu | grad student | 2012 | NCSU |
| Haiqing Zheng | grad student | 2012 | NCSU |
| Majid Al-Saggaf | grad student | 2014 | NCSU |
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Publications
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| McCausland W, Miller S, Pelletier D. (2020) Multivariate stochastic volatility using the HESSIAN method Econometrics and Statistics |
| Pelletier D, Tunc C. (2019) Endogenous Life‐Cycle Housing Investment and Portfolio Allocation Journal of Money, Credit and Banking. 51: 991-1019 |
| Pelletier D, Wei W. (2016) The geometric-VaR backtesting method Journal of Financial Econometrics. 14: 725-745 |
| Berkowitz J, Christoffersen P, Pelletier D. (2011) Evaluating Value-at-Risk Models with Desk-Level Data Management Science. 57: 2213-2227 |
| Hall AR, Pelletier D. (2011) Nonnested testing in models estimated via generalized method of moments Econometric Theory. 27: 443-456 |
| McCausland WJ, Miller S, Pelletier D. (2011) Simulation smoothing for statespace models: A computational efficiency analysis Computational Statistics and Data Analysis. 55: 199-212 |
| Dufour JM, Pelletier D, Renault E. (2006) Short run and long run causality in time series: inference Journal of Econometrics. 132: 337-362 |
| Pelletier D. (2006) Regime switching for dynamic correlations Journal of Econometrics. 131: 445-473 |
| Christoffersen P, Pelletier D. (2004) Backtesting Value-at-Risk: A Duration-Based Approach Journal of Financial Econometrics. 2: 84-108 |
| Saphores JM, Khalaf L, Pelletier D. (2002) On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices American Journal of Agricultural Economics. 84: 387-400 |