フォロー
Denis Pelletier
Denis Pelletier
Professor, Department of Economics, NCSU
確認したメール アドレス: ncsu.edu - ホームページ
タイトル
引用先
引用先
Backtesting value-at-risk: A duration-based approach
P Christoffersen, D Pelletier
Journal of Financial Econometrics 2 (1), 84-108, 2004
6832004
Regime switching for dynamic correlations
D Pelletier
Journal of econometrics 131 (1-2), 445-473, 2006
5632006
Evaluating value-at-risk models with desk-level data
J Berkowitz, P Christoffersen, D Pelletier
Management Science 57 (12), 2213-2227, 2011
5192011
Short run and long run causality in time series: inference
JM Dufour, D Pelletier, É Renault
Journal of Econometrics 132 (2), 337-362, 2006
1932006
Simulation smoothing for state–space models: A computational efficiency analysis
WJ McCausland, S Miller, D Pelletier
Computational Statistics & Data Analysis 55 (1), 199-212, 2011
1532011
Practical methods for modelling weak VARMA processes: identification, estimation and specification with a macroeconomic application
JM Dufour, D Pelletier
Manuscript, McGill University, 2008
87*2008
On jumps and ARCH effects in natural resource prices: An application to Pacific Northwest stumpage prices
JD Saphores, L Khalaf, D Pelletier
American Journal of Agricultural Economics 84 (2), 387-400, 2002
692002
The geometric-VaR backtesting method
D Pelletier, W Wei
Journal of financial econometrics 14 (4), 725-745, 2016
412016
Nonnested testing in models estimated via generalized method of moments
AR Hall, D Pelletier
Econometric Theory 27 (2), 443-456, 2011
362011
Linear methods for estimating varma models with a macroeconomic application
JM Dufour, D Pelletier
2002 Proceedings of the Business and Economic Statistics Section of the …, 2002
252002
Inflation and equity mutual fund flows
S Krishnamurthy, D Pelletier, RS Warr
Journal of Financial Markets 37, 52-69, 2018
202018
Basis volatilities of corn and soybean in spatially separated markets: the effect of ethanol demand
A Bekkerman, D Pelletier
162009
Endogenous Life‐Cycle Housing Investment and Portfolio Allocation
D Pelletier, C Tunc
Journal of Money, Credit and Banking 51 (4), 991-1019, 2019
112019
Joint modeling of high-frequency price and duration data
D Pelletier, H Zheng
North Carolina State University working paper, 2012
112012
Evaluating VaR models with desk-level data
J Berkowitz, P Christoffersen, D Pelletier
McGill University, 2006
92006
Backtesting portfolio risk measures
P Christoffersen, D Pelletier
Working Paper, McGill University, Canada, 2002
92002
The economic effects of volcanic alerts—a case study of high‐threat US Volcanoes
JB Peers, CE Gregg, MK Lindell, D Pelletier, F Romerio, AT Joyner
Risk analysis 41 (10), 1759-1781, 2021
72021
Impact of Defaults in Retirement Saving Plans: Public Employee Plans
RL Clark, D Pelletier
National Bureau of Economic Research, 2019
62019
Supplemental retirement savings plans in the public sector: participation and contribution decisions by school personnel
RL Clark, A Pathak, D Pelletier
Journal of Labor Research 39 (4), 383-404, 2018
62018
A New approach to investigate market integration: A markov-switching autoregressive model with time-varying transition probabilities
J Zhao, BK Goodwin, D Pelletier
62012
現在システムで処理を実行できません。しばらくしてからもう一度お試しください。
論文 1–20