@article{pelletier_wei_2023, title={A Stochastic Price Duration Model for Estimating High-Frequency Volatility}, volume={10}, ISSN={["1479-8417"]}, url={https://doi.org/10.1093/jjfinec/nbad029}, DOI={10.1093/jjfinec/nbad029}, abstractNote={Abstract
               We propose a stochastic price duration model to estimate high-frequency volatility. A price duration is directly linked to volatility from the passage time theory for Brownian motions, and it possesses several advantages over returns for estimating volatility. We employ price durations in a parametric model that directly specifies stochastic volatility dynamics. Our approach allows us to estimate intraday spot volatility and our empirical results suggest the presence of important intraday volatility dynamics. We conduct an extensive integrated variance forecast comparison, which demonstrates the superior performance of our proposed models compared with other duration-based or return-based estimators.}, journal={JOURNAL OF FINANCIAL ECONOMETRICS}, author={Pelletier, Denis and Wei, Wei}, year={2023}, month={Oct} }
 @book{clark_pelletier_ritter_2023, title={An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC}, url={http://dx.doi.org/10.3386/w31478}, DOI={10.3386/w31478}, abstractNote={The Pension Benefit Guarantee Corporation becomes the trustee for private defined benefit plans that have defaulted.The PBGC pays retirement benefits as provided by the plan and that are consistent with federal guidelines concerning the type and amounts of distributions.In response to a Freedom of Information Request, the PBGC provided us with relevant information on all individuals who received a retirement benefit from the PBGC in the last 10 years, over 250,000 retirees.We examine the PBGC distributions chosen over the last decade and how they vary by age at retirement, sex, months of service, and other relevant variables.Key findings indicate that men are much more likely to choose a joint and survivor annuity compared to female claimants and the difference increases with age.Conditional on selecting a J&S annuity, men are more likely to select a 100% survivor's annuity while women tend to choose a 50% survivor's benefit.}, institution={National Bureau of Economic Research}, author={Clark, Robert and Pelletier, Denis and Ritter, Beth}, year={2023}, month={Jul} }
 @article{clark_pelletier_2022, title={Impact of defaults on participation in state supplemental retirement savings plans}, volume={21}, ISSN={["1475-3022"]}, url={http://dx.doi.org/10.1017/s1474747220000347}, DOI={10.1017/S1474747220000347}, abstractNote={AbstractThis study examines the impact of the adoption of automatic enrollment provisions by the state of South Dakota for its supplemental retirement saving plan (SRP). In South Dakota, state and local government employees, including teachers, are covered by a defined benefit pension plan and by Social Security. Prior to the introduction of automatic enrollment, the proportion of newly hired employees who were contributing to the SRP was less than 5% in their first year of employment. After the introduction of automatic enrollment, over 90% of newly hired workers who were auto-enrolled were participating in the plan. Using a difference-in-difference approach we find that automatic enrollment changes differences in the participation rate by age, sex, and income. We also find that prior to the adoption of auto-enrollment, agencies that ultimately chose to implement this policy had higher participation rates compared to those that did not adopt auto-enrollment.}, number={1}, journal={JOURNAL OF PENSION ECONOMICS & FINANCE}, publisher={Cambridge University Press (CUP)}, author={Clark, Robert L. and Pelletier, Denis}, year={2022}, month={Jan}, pages={22–37} }
 @article{dufoura_pelletier_2022, title={Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application}, volume={40}, ISSN={["1537-2707"]}, url={https://doi.org/10.1080/07350015.2021.1904960}, DOI={10.1080/07350015.2021.1904960}, abstractNote={Abstract We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimating VARMA models, we develop computationally simple methods which only require linear regressions. The asymptotic properties of the estimator are derived under weak hypotheses on the innovations (uncorrelated and strong mixing), in order to broaden the class of models to which it can be applied. Third, we present a modified information criterion which yields consistent estimates of the orders under the proposed representations. The estimation methods are studied by simulation. To demonstrate the importance of using VARMA models to study multivariate time series, we compare the impulse-response functions and the out-of-sample forecasts generated by VARMA and VAR models. The proposed methodology is applied to a six-variable macroeconomic model of monetary policy, based on the U.S. monthly data over the period 1962–1996. The results demonstrate the advantages of using the VARMA methodology for impulse response estimation and forecasting, in contrast with standard VAR models.}, number={3}, journal={JOURNAL OF BUSINESS & ECONOMIC STATISTICS}, publisher={Informa UK Limited}, author={Dufoura, Jean-Marie and Pelletier, Denis}, year={2022}, month={Jun}, pages={1140–1152} }
 @article{peers_gregg_lindell_pelletier_romerio_joyner_2021, title={The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes}, volume={41}, ISSN={["1539-6924"]}, url={https://doi.org/10.1111/risa.13702}, DOI={10.1111/risa.13702}, abstractNote={AbstractA common concern about volcanic unrest is that the communication of information about increasing volcanic alert levels (VALs) to the public could cause serious social and economic impacts even if an eruption does not occur. To test this statement, this study examined housing prices and business patterns from 1974–2016 in volcanic regions with “very‐high” threat designations from the U.S. Geological Survey (USGS)—Long Valley Caldera (LVC), CA (caldera); Mount St. Helens (MSH), Washington (stratovolcano); and Kīlauea, Hawaiʻi (shield volcano). To compare economic trends in nonvolcanic regions that are economically dependent on tourism, Steamboat Springs, CO, served as a control as it is a ski‐tourism community much like Mammoth Lakes in LVC. Autoregressive distributed lag (ARDL) models predicted that housing prices were negatively affected by VALs at LVC from 1982–1983 and 1991–1997. While VALs associated with unrest and eruptions included in this study both had short‐term indirect effects on housing prices and business indicators (e.g., number of establishments, employment, and salary), these notifications were not strong predictors of long‐term economic trends. Our findings suggest that these indirect effects result from both eruptions with higher level VALs and from unrest involving lower‐level VAL notifications that communicate a change in volcanic activity but do not indicate that an eruption is imminent or underway. This provides evidence concerning a systemic issue in disaster resilience. While disaster relief is provided by the U.S. federal government for direct impacts associated with disaster events that result in presidential major disaster declarations, there is limited or no assistance for indirect effects to businesses and homeowners that may follow volcanic unrest with no resulting direct physical losses. The fact that periods of volcanic unrest preceding eruption are often protracted in comparison to precursory periods for other hazardous events (e.g., earthquakes, hurricanes, flooding) makes the issue of indirect effects particularly important in regions susceptible to volcanic activity.}, number={10}, journal={RISK ANALYSIS}, publisher={Wiley}, author={Peers, Justin B. and Gregg, Christopher E. and Lindell, Michael K. and Pelletier, Denis and Romerio, Franco and Joyner, Andrew T.}, year={2021}, month={Oct}, pages={1759–1781} }
 @article{inoue_jin_pelletier_2021, title={Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures}, volume={19}, ISSN={["1479-8417"]}, url={http://dx.doi.org/10.1093/jjfinec/nbaa026}, DOI={10.1093/jjfinec/nbaa026}, abstractNote={Abstract
               In this article, we propose a nonparametric approach to estimating generalized autoregressive conditional heteroskedasticity (1,1) models with time-varying parameters. We model the time-varying parameters as a smooth function of time and estimate them using a local linear estimator. We show that our estimator is consistent and is asymptotically normal and that the proposed estimator outperforms a rolling window estimator in Monte Carlo simulation experiments. We present strong evidence of parameter instabilities using daily returns of stock indices and explore implications to risk management measures, such as value-at-risk and expected shortfall, through backtesting.}, number={1}, journal={JOURNAL OF FINANCIAL ECONOMETRICS}, publisher={Oxford University Press (OUP)}, author={Inoue, Atsushi and Jin, Lu and Pelletier, Denis}, year={2021}, pages={202–234} }
 @article{mccausland_miller_pelletier_2021, title={Multivariate stochastic volatility using the HESSIAN method}, volume={17}, ISSN={["2452-3062"]}, url={https://doi.org/10.1016/j.ecosta.2020.07.002}, DOI={10.1016/j.ecosta.2020.07.002}, abstractNote={A new method is proposed for the analysis of multivariate stochastic volatility models, based on efficient draws of volatility from its conditional posterior distribution. It applies to models with several kinds of cross-sectional dependence. Full autoregression and covariance matrices imply dependent volatility series. Mean factor structure allows conditional correlations to vary in time and covary with conditional variances; factors are conditionally Student’s t, allowing for tail dependence across assets, with factor-specific degrees of freedom. Given factors, returns have heterogeneous Student’s t marginals; a copula completes their joint distribution. Volatility series are drawn as a block, one series at a time. An application using daily returns data for ten currencies shows that all features of the model are important.}, journal={ECONOMETRICS AND STATISTICS}, publisher={Elsevier BV}, author={McCausland, William and Miller, Shirley and Pelletier, Denis}, year={2021}, month={Jan}, pages={76–94} }
 @book{clark_pelletier_2019, title={Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?}, url={http://dx.doi.org/10.3386/w26263}, DOI={10.3386/w26263}, abstractNote={This study examines the impact of the adoption of automatic enrollment provisions by schools and universities in the state of South Dakota for its supplemental retirement saving plan (SRP).In South Dakota, educational personnel are also covered by a defined benefit pension plan and by Social Security.Thus, career public employees in South Dakota can expect a life time annuity from these two programs of around 75 percent of their final salary.Prior to the introduction of automatic enrollment, the proportion of newly hired educators who were contributing to the SRP was less than two percent in their first year of employment.After the introduction of automatic enrollment, over 90 percent of newly hired workers who were auto enrolled were participating in the plan.Thus, auto enrollment is shown to have the same powerful impact on contributions to a retirement saving plan for educational employees even when they also can expect life annuities from a defined benefit pension plan.}, institution={National Bureau of Economic Research}, author={Clark, Robert and Pelletier, Denis}, year={2019}, month={Sep} }
 @book{pelletier_shen_2019, title={Multivariate realized rotated volatility for high frequency data}, author={Pelletier, D. and Shen, J.}, year={2019}, month={May} }
 @article{pelletier_tunc_2019, title={Endogenous Life-Cycle Housing Investment and Portfolio Allocation}, volume={51}, ISSN={["1538-4616"]}, url={http://dx.doi.org/10.1111/jmcb.12521}, DOI={10.1111/jmcb.12521}, abstractNote={AbstractThis paper develops a life‐cycle portfolio allocation model to address the effects of housing investment on the portfolio allocation of households. The model employs a comprehensive housing investment structure, Epstein–Zin recursive preferences, and a stock market entry cost. Furthermore, rather than resorting to calibration we estimate the value of the relative risk aversion and elasticity of intertemporal substitution. The model shows that housing investment has a strong crowding out effect on investment in risky assets throughout the life‐cycle. We further find that the effect of the presence of housing investment on households portfolio allocation is larger than the effect of having EZ recursive preferences.}, number={4}, journal={JOURNAL OF MONEY CREDIT AND BANKING}, publisher={Wiley}, author={Pelletier, Denis and Tunc, Cengiz}, year={2019}, month={Jun}, pages={991–1019} }
 @article{clark_pathak_pelletier_2018, title={Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel}, volume={39}, ISSN={["1936-4768"]}, url={http://dx.doi.org/10.1007/s12122-018-9270-2}, DOI={10.1007/s12122-018-9270-2}, number={4}, journal={JOURNAL OF LABOR RESEARCH}, publisher={Springer Science and Business Media LLC}, author={Clark, Robert L. and Pathak, Aditi and Pelletier, Denis}, year={2018}, month={Dec}, pages={383–404} }
 @article{krishnamurthy_pelletier_warr_2018, title={Inflation and equity mutual fund flows}, volume={37}, ISSN={["1878-576X"]}, url={http://dx.doi.org/10.1016/j.finmar.2017.12.001}, DOI={10.1016/j.finmar.2017.12.001}, abstractNote={We document a negative relation between inflation and aggregate equity mutual fund flows and hypothesize that this relation is partly due to inflation illusion on the part of investors. Inflation illusion occurs when investors fail to incorporate the effect of inflation into their estimates of nominal growth rates. Consequently, they lower their estimates of the intrinsic values of stocks and move their assets away from equities. Our results are robust to controls for alternative explanations such as inflation proxying for poorer future real cash flow growth and periods of higher inflation being associated with higher equity risk premia.}, journal={JOURNAL OF FINANCIAL MARKETS}, publisher={Elsevier BV}, author={Krishnamurthy, Srinivasan and Pelletier, Denis and Warr, Richard S.}, year={2018}, month={Jan}, pages={52–69} }
 @book{pelletier_weng_2016, title={Returns, Durations and Time Endogeneity}, author={Pelletier, D. and Weng, Q.}, year={2016}, month={May} }
 @book{pelletier_wei_2015, title={A Jump-Diffusion Model with Stochastic Volatility and Durations}, author={Pelletier, D. and Wei, W.}, year={2015}, month={Aug} }
 @article{pelletier_wei_2016, title={The Geometric-VaR Backtesting Method}, volume={14}, ISSN={["1479-8417"]}, url={http://dx.doi.org/10.1093/jjfinec/nbv015}, DOI={10.1093/jjfinec/nbv015}, abstractNote={This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a challenging problem, and popular VaR forecast relies on unrealistic assumptions. Hence, assessing the performance of VaR is of great importance. We propose the geometric-VaR test which utilizes the duration between the violations of VaR as well as the value of VaR. We conduct a Monte Carlo study based on desk-level data and we find that our test has high power against various alternatives.}, number={4}, journal={JOURNAL OF FINANCIAL ECONOMETRICS}, publisher={Oxford University Press (OUP)}, author={Pelletier, Denis and Wei, Wei}, year={2016}, pages={725–745} }
 @book{pelletier_kassi_2014, title={The Realized RSDC model}, author={Pelletier, D. and Kassi, A.}, year={2014}, month={Dec} }
 @book{pelletier_zheng_2013, title={Joint modeling of high-frequency price and duration data}, author={Pelletier, D. and Zheng, H.}, year={2013}, month={May} }
 @article{hall_pelletier_2011, title={NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS}, volume={27}, ISSN={["0266-4666"]}, url={http://dx.doi.org/10.1017/s0266466610000344}, DOI={10.1017/s0266466610000344}, abstractNote={We analyze the limiting distribution of the Rivers and Vuong (2002, Econometrics Journal 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly specified or locally misspecified then the limiting distribution of the test statistic is nonstandard under the null.}, number={2}, journal={ECONOMETRIC THEORY}, publisher={Cambridge University Press (CUP)}, author={Hall, Alastair R. and Pelletier, Denis}, year={2011}, month={Apr}, pages={443–456} }
 @article{mccausland_miller_pelletier_2011, title={Simulation smoothing for state-space models: A computational efficiency analysis}, volume={55}, ISSN={["1872-7352"]}, url={http://dx.doi.org/10.1016/j.csda.2010.07.009}, DOI={10.1016/j.csda.2010.07.009}, abstractNote={Simulation smoothing involves drawing state variables (or innovations) in discrete time state–space models from their conditional distribution given parameters and observations. Gaussian simulation smoothing is of particular interest, not only for the direct analysis of Gaussian linear models, but also for the indirect analysis of more general models. Several methods for Gaussian simulation smoothing exist, most of which are based on the Kalman filter. Since states in Gaussian linear state–space models are Gaussian Markov random fields, it is also possible to apply the Cholesky Factor Algorithm (CFA) to draw states. This algorithm takes advantage of the band diagonal structure of the Hessian matrix of the log density to make efficient draws. We show how to exploit the special structure of state–space models to draw latent states even more efficiently. We analyse the computational efficiency of Kalman-filter-based methods, the CFA, and our new method using counts of operations and computational experiments. We show that for many important cases, our method is most efficient. Gains are particularly large for cases where the dimension of observed variables is large or where one makes repeated draws of states for the same parameter values. We apply our method to a multivariate Poisson model with time-varying intensities, which we use to analyse financial market transaction count data.}, number={1}, journal={COMPUTATIONAL STATISTICS & DATA ANALYSIS}, publisher={Elsevier BV}, author={McCausland, William J. and Miller, Shirley and Pelletier, Denis}, year={2011}, month={Jan}, pages={199–212} }
 @article{berkowitz_christoffersen_pelletier_2011, title={Evaluating Value-at-Risk Models with Desk-Level Data}, volume={57}, url={http://dx.doi.org/10.1287/mnsc.1080.0964}, DOI={10.1287/mnsc.1080.0964}, abstractNote={ We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in securities trading and each is observed daily for a period of at least two years. Given this unique data set, we provide an integrated, unifying framework for assessing the accuracy of VaR forecasts. We use a comprehensive Monte Carlo study to assess which of these many tests have the best finite-sample size and power properties. Our desk-level data set provides importance guidance for choosing realistic P/L-generating processes in the Monte Carlo comparison of the various tests. The conditional autoregressive value-at-risk test of Engle and Manganelli (2004) performs best overall, but duration-based tests also perform well in many cases.  This paper was accepted by John Birge, focused issue editor. }, number={12}, journal={Management Science}, publisher={Institute for Operations Research and the Management Sciences (INFORMS)}, author={Berkowitz, Jeremy and Christoffersen, Peter and Pelletier, Denis}, year={2011}, month={Dec}, pages={2213–2227} }
 @article{pelletier_mitasova_harmon_overton_2009, title={The effects of interdune vegetation changes on eolian dune field evolution: a numerical-modeling case study at Jockey's Ridge, North Carolina, USA}, volume={34}, ISSN={["1096-9837"]}, url={http://www.scopus.com/inward/record.url?eid=2-s2.0-69749085481&partnerID=MN8TOARS}, DOI={10.1002/esp.1809}, abstractNote={AbstractChanges in vegetation cover within dune fields can play a major role in how dune fields evolve. To better understand the linkage between dune field evolution and interdune vegetation changes, we modified Werner's (Geology, 23, 1995: 1107–1110) dune field evolution model to account for the stabilizing effects of vegetation. Model results indicate that changes in the density of interdune vegetation strongly influence subsequent trends in the height and area of eolian dunes. We applied the model to interpreting the recent evolution of Jockey's Ridge, North Carolina, where repeat LiDAR surveys and historical aerial photographs and maps provide an unusually detailed record of recent dune field evolution. In the absence of interdune vegetation, the model predicts that dunes at Jockey's Ridge evolve towards taller, more closely‐spaced, barchanoid dunes, with smaller dunes generally migrating faster than larger dunes. Conversely, the establishment of interdune vegetation causes dunes to evolve towards shorter, more widely‐spaced, parabolic forms. These results provide a basis for understanding the increase in dune height at Jockey's Ridge during the early part of the twentieth century, when interdune vegetation was sparse, followed by the decrease in dune height and establishment of parabolic forms from 1953‐present when interdune vegetation density increased. These results provide a conceptual model that may be applicable at other sites with increasing interdune vegetation cover, and they illustrate the power of using numerical modeling to model decadal variations in eolian dune field evolution. We also describe model results designed to test the relative efficacy of alternative strategies for mitigating dune migration and deflation. Installing sand‐trapping fences and/or promoting vegetation growth on the stoss sides of dunes are found to be the most effective strategies for limiting dune advance, but these strategies must be weighed against the desire of many park visitors to maintain the natural state of the dunes. Copyright © 2009 John Wiley & Sons, Ltd.}, number={9}, journal={EARTH SURFACE PROCESSES AND LANDFORMS}, author={Pelletier, Jon D. and Mitasova, Helena and Harmon, Russell S. and Overton, Margery}, year={2009}, month={Jul}, pages={1245–1254} }
 @article{pelletier_2006, title={Regime switching for dynamic correlations}, volume={131}, ISSN={["1872-6895"]}, url={http://dx.doi.org/10.1016/j.jeconom.2005.01.013}, DOI={10.1016/j.jeconom.2005.01.013}, abstractNote={We propose a new model for the variance between multiple time series, the regime switching dynamic correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follows a regime switching model; it is constant within a regime but different across regimes. The transitions between the regimes are governed by a Markov chain. This model does not suffer from a curse of dimensionality and it allows analytic computation of multi-step ahead conditional expectations of the variance matrix when combined with the ARMACH model (Taylor (Modelling Financial Time Series. Wiley, New York) and Schwert (J. Finance 44(5) (1989) 1115)) for the standard deviations. We also present an empirical application which illustrates that our model can have a better fit of the data than the dynamic conditional correlation model proposed by Engle (J. Business Econ. Statist. 20(3) (2002) 339).}, number={1-2}, journal={JOURNAL OF ECONOMETRICS}, publisher={Elsevier BV}, author={Pelletier, D}, year={2006}, pages={445–473} }
 @article{dufour_pelletier_renault_2006, title={Short run and long run causality in time series: inference}, volume={132}, ISSN={["1872-6895"]}, url={http://dx.doi.org/10.1016/j.jeconom.2005.02.003}, DOI={10.1016/j.jeconom.2005.02.003}, abstractNote={We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (Econometrica 66, (1998) 1099–1125). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses considered are nonlinear, the proposed methods only require linear regression techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case of integrated processes, we propose extended regression methods that avoid nonstandard asymptotics. The methods are applied to a VAR model of the US economy.}, number={2}, journal={JOURNAL OF ECONOMETRICS}, publisher={Elsevier BV}, author={Dufour, Jean-Marie and Pelletier, Denis and Renault, Eric}, year={2006}, month={Jun}, pages={337–362} }
 @article{pelletier_christoffersen_2004, title={Backtesting Value-at-Risk: A Duration-Based Approach}, volume={2}, url={http://dx.doi.org/10.1093/jjfinec/nbh004}, DOI={10.1093/jjfinec/nbh004}, abstractNote={Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Committee on Banking Supervision. However, existing backtesting methods have relatively low power in realistic small sample settings. Our contribution is the exploration of new tools for backtesting based on the duration of days between the violations of the Value-at-Risk. Our Monte Carlo results show that in realistic situations, the new duration-based tests have considerably better power properties than the previously suggested tests.}, number={1}, journal={Journal of Financial Econometrics}, publisher={Oxford University Press (OUP)}, author={Pelletier, D. and Christoffersen, P.}, year={2004}, month={Jan}, pages={84–108} }
 @article{saphores_khalaf_pelletier_2002, title={On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices}, volume={84}, url={http://dx.doi.org/10.1111/1467-8276.00305}, DOI={10.1111/1467-8276.00305}, abstractNote={Abstract Continuous‐time models of natural resource prices usually preclude the possibility of large changes (jumps) resulting from unexpected events. To test for the presence of jumps and/or ARCH effects, we combine bounds and the Monte Carlo test technique to obtain finite‐sample, level‐exact p ‐values. We apply this methodology to stumpage prices from the Pacific Northwest and find evidence of jumps and ARCH effects. To assess the impact of neglecting jumps on the decision to harvest old‐growth timber, we develop an autonomous, infinite‐horizon stopping model for which we provide a new method of resolution. Our numerical results show the importance of modeling jumps explicitly.}, number={2}, journal={American Journal of Agricultural Economics}, publisher={Wiley}, author={Saphores, Jean‐Daniel and Khalaf, Lynda and Pelletier, Denis}, year={2002}, month={May}, pages={387–400} }