Denis Pelletier : Citation Profile

North Carolina State University

8

H index

8

i10 index

838

Citations

RESEARCH PRODUCTION:

16

Articles

20

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 34
   Journals where Denis Pelletier has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 7 (0.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe105
   Updated: 2025-06-14    RAS profile: 2025-03-14    
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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:

Chan, Joshua (22)

Hurlin, Christophe (21)

Asai, Manabu (14)

Bauwens, Luc (12)

Teräsvirta, Timo (12)

Silvennoinen, Annastiina (11)

Caporin, Massimiliano (11)

Hafner, Christian (10)

Perignon, Christophe (10)

Khalaf, Lynda (9)

Dufour, Jean-Marie (9)

Cites to:

Engle, Robert (20)

Shephard, Neil (12)

Bollerslev, Tim (12)

Bauwens, Luc (12)

Madrian, Brigitte (9)

Diebold, Francis (8)

Laibson, David (8)

Choi, James (8)

Laurent, Sébastien (8)

Dufour, Jean-Marie (7)

Campbell, John (6)

Main data

Where Denis Pelletier has published?

Journals with more than one article published# docs
Journal of Financial Econometrics4
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc4
2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin / Agricultural and Applied Economics Association2

Recent works citing Denis Pelletier (2025 and 2024)

YearTitle of citing document
2024Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319.

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2024Testing Firm Conduct. (2024). Sølvsten, Mikkel ; Solvsten, Mikkel ; Duarte, Marco ; Magnolfi, Lorenzo ; Sullivan, Christopher. In: Papers. RePEc:arx:papers:2301.06720.

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2025The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models. (2025). Fruhwirth-Schnatter, Sylvia ; Knaus, Peter. In: Papers. RePEc:arx:papers:2312.10487.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024Structural counterfactual analysis in macroeconomics: theory and inference. (2024). Wang, Endong. In: Papers. RePEc:arx:papers:2409.09577.

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2024Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2025De Finettis problem with fixed transaction costs and regime switching. (2025). Zhou, Xiaowen ; Yan, Kaixin ; Yamazaki, Kazutoshi ; Xu, Zuo Quan ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2502.05839.

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2024Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations. (2024). Jacobs, Jan ; Osborn, Denise R ; Tian, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1260-1289.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024Large Bayesian SVARs with linear restrictions. (2024). Hou, Chenghan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001957.

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2024Local projections in unstable environments. (2024). Wang, Yiru ; Rossi, Barbara ; Inoue, Atsushi. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000721.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025The dynamics of U.S. industrial production: A time-varying Granger causality perspective. (2025). Otero, Jesus ; Hurn, Stan ; Baum, Christopher. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:13-22.

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2024Retail fund flows and performance: Insights from supervisory data. (2024). Szabo, Milan ; Hodula, Martin ; Bajzik, Josef. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000062.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures. (2024). Gabauer, David ; Cocca, Teodoro ; Pomberger, Stefan. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003888.

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2024Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective. (2024). Tiwari, Aviral ; Naeem, Muhammad ; Zhang, Jing ; Ji, Hao. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400389x.

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2024Multinomial backtesting of distortion risk measures. (2024). Kim, Sojung ; Bettels, Sren ; Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Wei, YU ; Lyu, Yongjian ; Ke, Rui ; Kong, Mengzhen ; Qin, Fanshu. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors. (2024). Lv, Linjing ; Li, Hui ; Zhang, BO. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:225:y:2024:i:c:p:216-231.

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2024Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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2024CAViaR models for Value-at-Risk and Expected Shortfall with long range dependency features. (2024). Oberoi, Jaideep ; Mitrodima, Gelly. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120880.

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2024Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado. (2024). Jose, Alvarez-Garcia ; de la Cruz, Maria ; de la Torre-Torres, Oscar V. In: Agriculture. RePEc:gam:jagris:v:14:y:2024:i:10:p:1692-:d:1486977.

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2024An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading. (2024). de la Torre-Torres, Oscar V ; de la Cruz, Maria ; Alvarez-Garcia, Jose. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:485-:d:1332374.

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2024A Sequential Importance Sampling for Estimating Multi-Period Tail Risk. (2024). Kim, Sunggon ; Seo, Ye-Ji. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:201-:d:1543264.

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2024Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies. (2024). Balter, Janine ; McNeil, Alexander J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:1:p:13-:d:1320809.

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2024The Spherical Parametrisation for Correlation Matrices and its Computational Advantages. (2024). Pedini, Luca ; Lucchetti, Riccardo (Jack). In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:2:d:10.1007_s10614-023-10467-3.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2024Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?. (2024). Barreto, Abdinardo Moreira ; Mandal, Anandadeep ; Power, Gabriel J. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:2:d:10.1007_s40745-022-00446-0.

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2024A novel robust method for estimating the covariance matrix of financial returns with applications to risk management. (2024). Toscano, Pietro ; Leccadito, Arturo ; Staino, Alessandro. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00642-2.

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2024A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war. (2024). Pietrzyk, Radosaw ; Maecka, Marta. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:5:d:10.1007_s11135-024-01866-1.

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2024Measuring market risk with GARCH models under Basel III: selection and application to German firms. (2024). Kemezang, Vatis Christian ; Keubeng, Ivette Gnitedem ; Djou, Andre Ilaire. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:10:d:10.1007_s43546-024-00699-2.

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2024Identification and forecasting of bull and bear markets using multivariate returns. (2024). Maheu, John ; Song, Yong ; Liu, Jia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:5:p:723-745.

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2024New runs‐based approach to testing value at risk forecasts. (2024). Maecka, Marta. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2021-2041.

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2024Testing firm conduct. (2024). Sølvsten, Mikkel ; Magnolfi, Lorenzo ; Duarte, Marco ; Slvsten, Mikkel ; Sullivan, Christopher. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:571-606.

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Works by Denis Pelletier:

YearTitleTypeCited
2008Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper146
2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		article
2015A Jump-Diffusion Model with Stochastic Volatility and Durations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2009Basis 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]		paper1
2009A State Dependent Regime Switching Model of Dynamic Correlations In: 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin.
[Full Text][Citation analysis]		paper5
2012A 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]		paper1
2003Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper194
2004Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 194		article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper110
2006Short 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: 110		article
2003Short 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: 110		paper
2003Short 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: 110		paper
2011NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]		article16
2022Impact of defaults on participation in state supplemental retirement savings plans In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article0
2004Regime Switching for Dynamic Correlations In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper235
2006Regime switching for dynamic correlations.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 235		article
2011Simulation smoothing for state-space models: A computational efficiency analysis In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article74
2021Multivariate stochastic volatility using the HESSIAN method In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2018Inflation and equity mutual fund flows In: Journal of Financial Markets.
[Full Text][Citation analysis]		article3
2000On 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]		paper7
2000On 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
2000On 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
2007A New Approach to Drawing States in State Space Models In: Cahiers de recherche.
[Full Text][Citation analysis]		paper3
2007A 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
2019Impact of Defaults in Retirement Saving Plans: Public Employee Plans In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2019Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024Retirement Benefit Distributions for California Educators In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2002On 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]		article18
2016The Geometric-VaR Backtesting Method In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article12
2021Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3
2024A Stochastic Price Duration Model for Estimating High-Frequency Volatility In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2018Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel In: Journal of Labor Research.
[Full Text][Citation analysis]		article2
2022Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article4
2013Endogenous Life-Cycle Housing Investment and Portfolio Allocation In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Endogenous 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

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