Denis Pelletier
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Works (16)
Updated: November 7th, 2023 05:00
2023 article
A Stochastic Price Duration Model for Estimating High-Frequency Volatility
Pelletier, D., & Wei, W. (2023, October 23). JOURNAL OF FINANCIAL ECONOMETRICS.
co-author countries:
Australia 🇦🇺 Denmark 🇩🇰 United States of America 🇺🇸
author keywords: high-frequency data; price durations; stochastic volatility; C41; C51; C58; G1
pure.au.dk (repository)
Source: Web Of Science
Added: November 6, 2023
2022 journal article
Impact of defaults on participation in state supplemental retirement savings plans
JOURNAL OF PENSION ECONOMICS & FINANCE, 21(1), 22–37.
co-author countries:
United States of America 🇺🇸
author keywords: Public pension plans; supplemental retirement saving plans; automatic enrollment
Source: Web Of Science
Added: March 7, 2022
2022 journal article
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 40(3), 1140–1152.
co-author countries:
Canada 🇨🇦 United States of America 🇺🇸
author keywords: Final equation form; Impulse-response function; Information criterion; Linear regression; Strong mixing condition; VARMA; Weak Representation
Source: Web Of Science
Added: May 17, 2021
2021 journal article
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
JOURNAL OF FINANCIAL ECONOMETRICS, 19(1), 202–234.
co-author countries:
United States of America 🇺🇸
author keywords: time-varying parameters; expected shortfall; value-at-risk; realized volatility
Source: Web Of Science
Added: June 10, 2021
2021 journal article
Multivariate stochastic volatility using the HESSIAN method
ECONOMETRICS AND STATISTICS, 17, 76–94.
co-author countries:
United States of America 🇺🇸
author keywords: Bayesian analysis; Factor models; MCMC; State space models
Source: Web Of Science
Added: March 22, 2021
2021 journal article
The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes
RISK ANALYSIS, 41(10), 1759–1781.
co-author countries:
Switzerland 🇨🇭 United States of America 🇺🇸
author keywords: Direct impacts; econometric analysis; indirect impacts; risk assessment; volcano alert levels
Source: Web Of Science
Added: April 5, 2021
2019 journal article
Endogenous Life-Cycle Housing Investment and Portfolio Allocation
JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019.
co-author countries:
United States of America 🇺🇸
author keywords: portfolio choice; housing; life-cycle model; real estate
Source: Web Of Science
Added: June 4, 2019
2018 journal article
Inflation and equity mutual fund flows
JOURNAL OF FINANCIAL MARKETS, 37, 52–69.
co-author countries:
United States of America 🇺🇸
Contributors: S. Krishnamurthy n , n & R. Warr n
author keywords: Mutual funds; Fund flows; Inflation illusion; Equity valuation
Sources: Web Of Science, ORCID
Added: August 6, 2018
2018 journal article
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel
JOURNAL OF LABOR RESEARCH, 39(4), 383–404.
co-author countries:
United States of America 🇺🇸
author keywords: Retirement saving plans; Saving decisions; Federal regulations
Source: Web Of Science
Added: December 17, 2018
2016 journal article
The Geometric-VaR Backtesting Method
JOURNAL OF FINANCIAL ECONOMETRICS, 14(4), 725–745.
author keywords: risk management; backtesting; volatility; duration; value at risk
Source: Web Of Science
Added: August 6, 2018
2011 journal article
Evaluating value-at-risk models with desk-level data
Management Science, 57(12), 2213–2227.
co-author countries:
Canada 🇨🇦 Denmark 🇩🇰 United States of America 🇺🇸
Source: NC State University Libraries
Added: August 6, 2018
2011 journal article
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
ECONOMETRIC THEORY, 27(2), 443–456.
Source: Web Of Science
Added: August 6, 2018
2011 journal article
Simulation smoothing for state-space models: A computational efficiency analysis
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 55(1), 199–212.
co-author countries:
Canada 🇨🇦 United States of America 🇺🇸
author keywords: State-space models; Markov chain Monte Carlo; Importance sampling; Count data; High frequency financial data
Source: Web Of Science
Added: August 6, 2018
2009 journal article
The effects of interdune vegetation changes on eolian dune field evolution: a numerical-modeling case study at Jockey's Ridge, North Carolina, USA
EARTH SURFACE PROCESSES AND LANDFORMS, 34(9), 1245–1254.
co-author countries:
United States of America 🇺🇸
Contributors: J. Pelletier*, H. Mitasova n , R. Harmon n & M. Overton n
author keywords: eolian dunes; numerical modeling; biogeomorphology
Sources: Web Of Science, ORCID
Added: August 6, 2018
2006 journal article
Regime switching for dynamic correlations
JOURNAL OF ECONOMETRICS, 131(1-2), 445–473.
author keywords: dynamic correlations; regime switching; Markov chain; ARMACH
Source: Web Of Science
Added: August 6, 2018
2006 article
Short run and long run causality in time series: inference
Dufour, J.-M., Pelletier, D., & Renault, E. (2006, June). JOURNAL OF ECONOMETRICS, Vol. 132, pp. 337–362.
co-author countries:
Canada 🇨🇦 United States of America 🇺🇸
author keywords: granger causality; indirect causality; vector autoregression; bootsrap; macroeconomics
Source: Web Of Science
Added: August 6, 2018
