8
H index
7
i10 index
781
Citations
Denis Pelletier : Citation Profile
North Carolina State University | RESEARCH PRODUCTION: 14 Articles 19 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (2000 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Denis Pelletier. | Is cited by:
| Cites to:
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Main data
Where Denis Pelletier has published?
| Journals with more than one article published | # docs |
|---|---|
| The Journal of Financial Econometrics | 3 |
| Journal of Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| NBER Working Papers / National Bureau of Economic Research, Inc | 3 |
| 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin / Agricultural and Applied Economics Association | 2 |
Recent works citing Denis Pelletier (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906. Full description at Econpapers || Download paper |
| 2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper |
| 2023 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
| 2023 | Testing Firm Conduct. (2023). Sullivan, Christopher ; Solvsten, Mikkel ; Magnolfi, Lorenzo ; Duarte, Marco. In: Papers. RePEc:arx:papers:2301.06720. Full description at Econpapers || Download paper |
| 2023 | High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172. Full description at Econpapers || Download paper |
| 2023 | Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis. (2023). Masrur, S M. In: Papers. RePEc:arx:papers:2309.09094. Full description at Econpapers || Download paper |
| 2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246. Full description at Econpapers || Download paper |
| 2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019. Full description at Econpapers || Download paper |
| 2023 | Risk management in solar-based power plants with storage: a comparative study. (2023). Mora, Carlos Ruiz ; Oliveira, Fernando S. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:38369. Full description at Econpapers || Download paper |
| 2023 | Precision-based sampling for state space models that have no measurement error. (2023). Mertens, Elmar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001264. Full description at Econpapers || Download paper |
| 2023 | The distribution of rolling regression estimators. (2023). Juhl, Ted ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1447-1463. Full description at Econpapers || Download paper |
| 2023 | Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model. (2023). Timmermann, Allan ; Sabbatucci, Riccardo ; Pettenuzzo, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1522-1541. Full description at Econpapers || Download paper |
| 2023 | Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744. Full description at Econpapers || Download paper |
| 2023 | High-dimensional conditionally Gaussian state space models with missing data. (2023). Poon, Aubrey ; Chan, Joshua ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001628. Full description at Econpapers || Download paper |
| 2023 | Measuring macroeconomic uncertainty: A cross-country analysis. (2023). Dibiasi, Andreas ; Sarferaz, Samad. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000120. Full description at Econpapers || Download paper |
| 2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper |
| 2023 | The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776. Full description at Econpapers || Download paper |
| 2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
| 2023 | Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001. Full description at Econpapers || Download paper |
| 2023 | On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001. Full description at Econpapers || Download paper |
| 2023 | Risk mitigation services in cyber insurance: optimal contract design and price structure. (2023). Scherer, Matthias ; Zeller, Gabriela. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00289-7. Full description at Econpapers || Download paper |
| 2023 | The Link Between Output Growth and Output Growth Volatility: Barbados. (2023). Agbeyegbe, Terence D. In: Annals of Data Science. RePEc:spr:aodasc:v:10:y:2023:i:3:d:10.1007_s40745-021-00331-2. Full description at Econpapers || Download paper |
Works by Denis Pelletier:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 135 |
| 2011 | Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 135 | article | |
| 2015 | A Jump-Diffusion Model with Stochastic Volatility and Durations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin. [Full Text][Citation analysis] | paper | 1 |
| 2009 | A State Dependent Regime Switching Model of Dynamic Correlations In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin. [Full Text][Citation analysis] | paper | 5 |
| 2012 | A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities In: 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 179 |
| 2004 | Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 179 | article | |
| 2003 | Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 106 |
| 2006 | Short run and long run causality in time series: inference.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | article | |
| 2003 | Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
| 2003 | Short Run and Long Run Causality in Time Series : Inference.(2003) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
| 2011 | NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
| 2004 | Regime Switching for Dynamic Correlations In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 220 |
| 2006 | Regime switching for dynamic correlations.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 220 | article | |
| 2011 | Simulation smoothing for state-space models: A computational efficiency analysis In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 72 |
| 2021 | Multivariate stochastic volatility using the HESSIAN method In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Inflation and equity mutual fund flows In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 2 |
| 2000 | On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests. In: Laval - Recherche en Energie. [Citation analysis] | paper | 7 |
| 2000 | On Jumps and Arch Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests.(2000) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2000 | On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests.(2000) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2007 | A New Approach to Drawing States in State Space Models In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 3 |
| 2007 | A New Approach to Drawing States in State Space Models.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2019 | Impact of Defaults in Retirement Saving Plans: Public Employee Plans In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices In: American Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 18 |
| 2016 | The Geometric-VaR Backtesting Method In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2021 | Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2018 | Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel In: Journal of Labor Research. [Full Text][Citation analysis] | article | 2 |
| 2022 | Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Endogenous Life-Cycle Housing Investment and Portfolio Allocation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Endogenous Life?Cycle Housing Investment and Portfolio Allocation.(2019) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team