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2023 article
A Stochastic Price Duration Model for Estimating High-Frequency Volatility
Pelletier, D., & Wei, W. (2023, October 23). JOURNAL OF FINANCIAL ECONOMETRICS.
2022 journal article
Impact of defaults on participation in state supplemental retirement savings plans
JOURNAL OF PENSION ECONOMICS & FINANCE, 21(1), 22–37.
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.
2021 journal article
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
JOURNAL OF FINANCIAL ECONOMETRICS, 19(1), 202–234.
2021 journal article
Multivariate stochastic volatility using the HESSIAN method
ECONOMETRICS AND STATISTICS, 17, 76–94.
2021 journal article
The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes
RISK ANALYSIS, 41(10), 1759–1781.
2019 journal article
Endogenous Life-Cycle Housing Investment and Portfolio Allocation
JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019.
2018 journal article
Inflation and equity mutual fund flows
JOURNAL OF FINANCIAL MARKETS, 37, 52–69.
Contributors: S. Krishnamurthy n , n & R. Warr n
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.
2016 journal article
The Geometric-VaR Backtesting Method
JOURNAL OF FINANCIAL ECONOMETRICS, 14(4), 725–745.
2011 journal article
Evaluating value-at-risk models with desk-level data
Management Science, 57(12), 2213–2227.
2011 journal article
NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS
ECONOMETRIC THEORY, 27(2), 443–456.
2011 journal article
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.
Contributors: J. Pelletier*, H. Mitasova n , R. Harmon n & M. Overton n
2006 journal article
Regime switching for dynamic correlations
JOURNAL OF ECONOMETRICS, 131(1-2), 445–473.
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.