Denis Pelletier

An analysis of benefit distributions selected by individuals covered by the PBGC: differences by sex and age

Journal of Pension Economics and Finance, 11, 1–25.

A Stochastic Price Duration Model for Estimating High-Frequency Volatility

Pelletier, D., & Wei, W. (2023, October 23). JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 10.

An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC

Impact of defaults on participation in state supplemental retirement savings plans

JOURNAL OF PENSION ECONOMICS & FINANCE, 21(1), 22–37.

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

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 40(3), 1140–1152.

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

RISK ANALYSIS, 41(10), 1759–1781.

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

JOURNAL OF FINANCIAL ECONOMETRICS, 19(1), 202–234.

Multivariate stochastic volatility using the HESSIAN method

ECONOMETRICS AND STATISTICS, 17, 76–94.

Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?

Multivariate realized rotated volatility for high frequency data

Endogenous Life-Cycle Housing Investment and Portfolio Allocation

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

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

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

Inflation and equity mutual fund flows

JOURNAL OF FINANCIAL MARKETS, 37, 52–69.

Returns, Durations and Time Endogeneity

A Jump-Diffusion Model with Stochastic Volatility and Durations

The Geometric-VaR Backtesting Method

JOURNAL OF FINANCIAL ECONOMETRICS, 14(4), 725–745.

The Realized RSDC model

Joint modeling of high-frequency price and duration data

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.

Evaluating Value-at-Risk Models with Desk-Level Data

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

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

Dufour, J.-M., Pelletier, D., & Renault, E. (2006, June). JOURNAL OF ECONOMETRICS, Vol. 132, pp. 337–362.

Backtesting Value-at-Risk: A Duration-Based Approach

Journal of Financial Econometrics, 2(1), 84–108.

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.