Works (25)
Updated: October 22nd, 2024 05:01
2023 article
A Stochastic Price Duration Model for Estimating High-Frequency Volatility
Pelletier, D., & Wei, W. (2023, October 23). JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 10.
author keywords: high-frequency data; price durations; stochastic volatility; C41; C51; C58; G1
open access via pure.au.dk (repository)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: November 6, 2023
2023 report
An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC
Sources: Crossref, NC State University Libraries
Added: October 20, 2024
2021 journal article
Impact of defaults on participation in state supplemental retirement savings plans
JOURNAL OF PENSION ECONOMICS & FINANCE, 21(1), 22–37.
author keywords: Public pension plans; supplemental retirement saving plans; automatic enrollment
UN Sustainable Development Goal Categories
1. No Poverty
(Web of Science)
3. Good Health and Well-being
(Web of Science)
10. Reduced Inequalities
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: March 7, 2022
2021 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.
author keywords: Final equation form; Impulse-response function; Information criterion; Linear regression; Strong mixing condition; VARMA; Weak Representation
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: May 17, 2021
2021 journal article
The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes
RISK ANALYSIS, 41(10), 1759–1781.
author keywords: Direct impacts; econometric analysis; indirect impacts; risk assessment; volcano alert levels
UN Sustainable Development Goal Categories
13. Climate Action
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: April 5, 2021
2020 journal article
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
JOURNAL OF FINANCIAL ECONOMETRICS, 19(1), 202–234.
author keywords: time-varying parameters; expected shortfall; value-at-risk; realized volatility
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: June 10, 2021
2020 journal article
Multivariate stochastic volatility using the HESSIAN method
ECONOMETRICS AND STATISTICS, 17, 76–94.
author keywords: Bayesian analysis; Factor models; MCMC; State space models
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
16. Peace, Justice and Strong Institutions
(OpenAlex)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: March 22, 2021
2019 report
Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?
Sources: Crossref, NC State University Libraries
Added: October 20, 2024
2019 report
Multivariate realized rotated volatility for high frequency data
Source: NC State University Libraries
Added: October 20, 2024
2018 journal article
Endogenous Life-Cycle Housing Investment and Portfolio Allocation
JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019.
author keywords: portfolio choice; housing; life-cycle model; real estate
UN Sustainable Development Goal Categories
11. Sustainable Cities and Communities
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: June 4, 2019
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.
author keywords: Retirement saving plans; Saving decisions; Federal regulations
UN Sustainable Development Goal Categories
1. No Poverty
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: December 17, 2018
2017 journal article
Inflation and equity mutual fund flows
JOURNAL OF FINANCIAL MARKETS, 37, 52–69.
Contributors: S. Krishnamurthy n , n & R. Warr n
author keywords: Mutual funds; Fund flows; Inflation illusion; Equity valuation
UN Sustainable Development Goal Categories
1. No Poverty
(OpenAlex)
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2016 report
Returns, Durations and Time Endogeneity
Source: NC State University Libraries
Added: October 20, 2024
2015 report
A Jump-Diffusion Model with Stochastic Volatility and Durations
Source: NC State University Libraries
Added: October 20, 2024
2015 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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2014 report
The Realized RSDC model
Source: NC State University Libraries
Added: October 20, 2024
2013 report
Joint modeling of high-frequency price and duration data
Source: NC State University Libraries
Added: October 20, 2024
2010 journal article
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
ECONOMETRIC THEORY, 27(2), 443–456.
UN Sustainable Development Goal Categories
3. Good Health and Well-being
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2010 journal article
Simulation smoothing for state-space models: A computational efficiency analysis
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 55(1), 199–212.
author keywords: State-space models; Markov chain Monte Carlo; Importance sampling; Count data; High frequency financial data
TL;DR:
This work shows how to exploit the special structure of state-space models to draw latent states even more efficiently and applies the method to a multivariate Poisson model with time-varying intensities, which is used to analyse financial market transaction count data.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2009 journal article
Evaluating Value-at-Risk Models with Desk-Level Data
Management Science, 57(12), 2213–2227.
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: NC State University Libraries, ORCID, NC State University Libraries
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.
Contributors: J. Pelletier *, H. Mitasova n , R. Harmon n & M. Overton n
author keywords: eolian dunes; numerical modeling; biogeomorphology
UN Sustainable Development Goal Categories
13. Climate Action
(Web of Science)
15. Life on Land
(Web of Science; OpenAlex)
Sources: Web Of Science, NC State University Libraries, 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
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2005 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.
author keywords: granger causality; indirect causality; vector autoregression; bootsrap; macroeconomics
TL;DR:
Methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica), and extended regression methods that avoid nonstandard asymptotics are proposed.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: August 6, 2018
2004 journal article
Backtesting Value-at-Risk: A Duration-Based Approach
Journal of Financial Econometrics, 2(1), 84–108.
Sources: ORCID, NC State University Libraries, NC State University Libraries
Added: October 8, 2024
2002 journal article
On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices
American Journal of Agricultural Economics, 84(2), 387–400.
Source: ORCID
Added: October 8, 2024
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