Denis Pelletier

Impact of defaults on participation in state supplemental retirement savings plans

JOURNAL OF PENSION ECONOMICS & FINANCE.

Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures

JOURNAL OF FINANCIAL ECONOMETRICS.

Multivariate stochastic volatility using the HESSIAN method

ECONOMETRICS AND STATISTICS, 17, 76–94.

Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application

JOURNAL OF BUSINESS & ECONOMIC STATISTICS.

The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes

RISK ANALYSIS.

Endogenous Life-Cycle Housing Investment and Portfolio Allocation

JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019.

Inflation and equity mutual fund flows

Journal of Financial Markets, 37, 52–69.

Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel

JOURNAL OF LABOR RESEARCH, 39(4), 383–404.

The geometric-VaR backtesting method

Journal of Financial Econometrics, 14(4), 725–745.

Evaluating value-at-risk models with desk-level data

Management Science, 57(12), 2213–2227.

Nonnested testing in models estimated via generalized method of moments

Econometric Theory, 27(2), 443–456.

Simulation smoothing for state-space models: A computational efficiency analysis

Computational Statistics & Data Analysis, 55(1), 199–212.

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.

Regime switching for dynamic correlations

Journal of Econometrics, 131(1-2), 445–473.

Short run and long run causality in time series: inference

Journal of Econometrics, 132(2), 337–362.