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2021 journal article
Multivariate stochastic volatility using the HESSIAN method
ECONOMETRICS AND STATISTICS, 17, 76–94.
By: W. McCausland, S. Miller & D. Pelletier
Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
JOURNAL OF BUSINESS & ECONOMIC STATISTICS.
By: J. Dufoura & D. Pelletier
The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes
By: J. Peers, C. Gregg, M. Lindell, D. Pelletier, F. Romerio & A. Joyner
2019 journal article
Endogenous Life-Cycle Housing Investment and Portfolio Allocation
JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019.
By: D. Pelletier & C. Tunc
2018 journal article
Inflation and equity mutual fund flows
Journal of Financial Markets, 37, 52–69.
By: S. Krishnamurthy, D. Pelletier & R. Warr
Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel
JOURNAL OF LABOR RESEARCH, 39(4), 383–404.
By: R. Clark, A. Pathak & D. Pelletier
2016 journal article
The geometric-VaR backtesting method
Journal of Financial Econometrics, 14(4), 725–745.
By: D. Pelletier & W. Wei
2011 journal article
Evaluating value-at-risk models with desk-level data
Management Science, 57(12), 2213–2227.
By: J. Berkowitz, P. Christoffersen & D. Pelletier
Nonnested testing in models estimated via generalized method of moments
Econometric Theory, 27(2), 443–456.
By: A. Hall & D. Pelletier
Simulation smoothing for state-space models: A computational efficiency analysis
Computational Statistics & Data Analysis, 55(1), 199–212.
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.
By: J. Pelletier, H. Mitasova, R. Harmon & M. Overton
2006 journal article
Regime switching for dynamic correlations
Journal of Econometrics, 131(1-2), 445–473.
By: D. Pelletier
Short run and long run causality in time series: inference
Journal of Econometrics, 132(2), 337–362.
By: J. Dufour, D. Pelletier & E. Renault
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