Denis Pelletier

Clark, R. L., Pelletier, D., & Ritter, B. M. (2024). An analysis of benefit distributions selected by individuals covered by the PBGC: differences by sex and age. Journal of Pension Economics and Finance, 1–25. https://doi.org/10.1017/S1474747224000118

Pelletier, D., & Wei, W. (2023, October 23). A Stochastic Price Duration Model for Estimating High-Frequency Volatility. JOURNAL OF FINANCIAL ECONOMETRICS, Vol. 10. https://doi.org/10.1093/jjfinec/nbad029

Clark, R., Pelletier, D., & Ritter, B. (2023). An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC. https://doi.org/10.3386/w31478

Clark, R. L., & Pelletier, D. (2022). Impact of defaults on participation in state supplemental retirement savings plans. JOURNAL OF PENSION ECONOMICS & FINANCE, 21(1), 22–37. https://doi.org/10.1017/S1474747220000347

Dufoura, J.-M., & Pelletier, D. (2022). Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 40(3), 1140–1152. https://doi.org/10.1080/07350015.2021.1904960

Peers, J. B., Gregg, C. E., Lindell, M. K., Pelletier, D., Romerio, F., & Joyner, A. T. (2021). The Economic Effects of Volcanic Alerts-A Case Study of High-Threat US Volcanoes. RISK ANALYSIS, 41(10), 1759–1781. https://doi.org/10.1111/risa.13702

Inoue, A., Jin, L., & Pelletier, D. (2021). Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures. JOURNAL OF FINANCIAL ECONOMETRICS, 19(1), 202–234. https://doi.org/10.1093/jjfinec/nbaa026

McCausland, W., Miller, S., & Pelletier, D. (2021). Multivariate stochastic volatility using the HESSIAN method. ECONOMETRICS AND STATISTICS, 17, 76–94. https://doi.org/10.1016/j.ecosta.2020.07.002

Clark, R., & Pelletier, D. (2019). Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? https://doi.org/10.3386/w26263

Pelletier, D., & Shen, J. (2019). Multivariate realized rotated volatility for high frequency data.

Pelletier, D., & Tunc, C. (2019). Endogenous Life-Cycle Housing Investment and Portfolio Allocation. JOURNAL OF MONEY CREDIT AND BANKING, 51(4), 991–1019. https://doi.org/10.1111/jmcb.12521

Clark, R. L., Pathak, A., & Pelletier, D. (2018). Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel. JOURNAL OF LABOR RESEARCH, 39(4), 383–404. https://doi.org/10.1007/s12122-018-9270-2

Krishnamurthy, S., Pelletier, D., & Warr, R. S. (2018). Inflation and equity mutual fund flows. JOURNAL OF FINANCIAL MARKETS, 37, 52–69. https://doi.org/10.1016/j.finmar.2017.12.001

Pelletier, D., & Weng, Q. (2016). Returns, Durations and Time Endogeneity.

Pelletier, D., & Wei, W. (2015). A Jump-Diffusion Model with Stochastic Volatility and Durations.

Pelletier, D., & Wei, W. (2016). The Geometric-VaR Backtesting Method. JOURNAL OF FINANCIAL ECONOMETRICS, 14(4), 725–745. https://doi.org/10.1093/jjfinec/nbv015

Pelletier, D., & Kassi, A. (2014). The Realized RSDC model.

Pelletier, D., & Zheng, H. (2013). Joint modeling of high-frequency price and duration data.

Hall, A. R., & Pelletier, D. (2011). NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS. ECONOMETRIC THEORY, 27(2), 443–456. https://doi.org/10.1017/s0266466610000344

McCausland, W. J., Miller, S., & Pelletier, D. (2011). Simulation smoothing for state-space models: A computational efficiency analysis. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 55(1), 199–212. https://doi.org/10.1016/j.csda.2010.07.009

Berkowitz, J., Christoffersen, P., & Pelletier, D. (2011). Evaluating Value-at-Risk Models with Desk-Level Data. Management Science, 57(12), 2213–2227. https://doi.org/10.1287/mnsc.1080.0964

Pelletier, J. D., Mitasova, H., Harmon, R. S., & Overton, M. (2009). 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. https://doi.org/10.1002/esp.1809

Pelletier, D. (2006). Regime switching for dynamic correlations. JOURNAL OF ECONOMETRICS, 131(1-2), 445–473. https://doi.org/10.1016/j.jeconom.2005.01.013

Dufour, J.-M., Pelletier, D., & Renault, E. (2006, June). Short run and long run causality in time series: inference. JOURNAL OF ECONOMETRICS, Vol. 132, pp. 337–362. https://doi.org/10.1016/j.jeconom.2005.02.003

Pelletier, D., & Christoffersen, P. (2004). Backtesting Value-at-Risk: A Duration-Based Approach. Journal of Financial Econometrics, 2(1), 84–108. https://doi.org/10.1093/jjfinec/nbh004

Saphores, J. D., Khalaf, L., & Pelletier, D. (2002). 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. https://doi.org/10.1111/1467-8276.00305