Denis Pelletier : Citation Profile

Are you Denis Pelletier?

North Carolina State University

8

H index

8

i10 index

811

Citations

RESEARCH PRODUCTION:

13

Articles

20

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 33
   Journals where Denis Pelletier has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 7 (0.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe105
   Updated: 2024-11-04    RAS profile: 2024-07-04    
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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)

Caporin, Massimiliano (11)

Teräsvirta, Timo (11)

Silvennoinen, Annastiina (11)

Hafner, Christian (10)

Perignon, Christophe (10)

Khalaf, Lynda (9)

Dufour, Jean-Marie (9)

Cites to:

Engle, Robert (20)

Bauwens, Luc (12)

Bollerslev, Tim (12)

Shephard, Neil (12)

Madrian, Brigitte (9)

Laurent, Sébastien (8)

Choi, James (8)

Laibson, David (8)

Diebold, Francis (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 Econometrics3
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 (2024 and 2023)

YearTitle of citing document
2023Dynamic 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.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2024Testing Firm Conduct. (2023). Sullivan, Christopher ; Solvsten, Mikkel ; Magnolfi, Lorenzo ; Duarte, Marco. In: Papers. RePEc:arx:papers:2301.06720.

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2023High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172.

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2023Sizing 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.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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

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2023Directed 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.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023Risk 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.

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2023Precision-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.

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2023The 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.

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2023Dividend 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.

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2023Specification 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.

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2023High-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.

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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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2023Measuring 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.

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

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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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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2023Static 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.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. 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). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2023The 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.

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2023Monitoring 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.

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2023Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001.

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2023On 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.

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2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error*. (2023). Kole, Erik ; van Dijk, Dick ; Barendse, Sander. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568..

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2023Risk 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.

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2023The 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.

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2023Endogenous Time Variation in Vector Autoregressions. (2023). Uzeda, Luis ; Leiva-Leon, Danilo. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:105:y:2023:i:1:p:125-142.

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2024A Markov regime?switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio. (2022). Lee, Hsiangtai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:389-412.

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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]		paper140
2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 140		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]		paper187
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: 187		article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper106
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: 106		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: 106		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: 106		paper
2011NONNESTED TESTING IN MODELS ESTIMATED VIA GENERALIZED METHOD OF MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]		article15
2004Regime Switching for Dynamic Correlations In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper229
2006Regime switching for dynamic correlations.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 229		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
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]		article2
2013Endogenous Life-Cycle Housing Investment and Portfolio Allocation In: Working Papers.
[Full Text][Citation analysis]		paper1

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