Denis Pelletier : Citation Profile

North Carolina State University

8

H index

8

i10 index

850

Citations

RESEARCH PRODUCTION:

16

Articles

20

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 35
   Journals where Denis Pelletier has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 7 (0.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe105
   Updated: 2026-01-17    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)

Silvennoinen, Annastiina (12)

Bauwens, Luc (12)

Teräsvirta, Timo (12)

Caporin, Massimiliano (11)

Perignon, Christophe (10)

Hafner, Christian (10)

Dufour, Jean-Marie (9)

Khalaf, Lynda (9)

Cites to:

Engle, Robert (20)

Shephard, Neil (12)

Bollerslev, Tim (12)

Bauwens, Luc (12)

Madrian, Brigitte (9)

Choi, James (8)

Laurent, Sébastien (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 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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2025Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality. (2025). Wang, Endong ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2509.05284.

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2025Trading with the Devil: Risk and Return in Foundation Model Strategies. (2025). Zhang, Jinrui. In: Papers. RePEc:arx:papers:2510.17165.

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2025Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

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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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2025Green bonds & clean energy in sustainable finance: Evidence from DCC-GARCH connectedness. (2025). PORCHER, Thomas ; Michaelides, Panayotis ; Konstantakis, Konstantinos ; Prelorentzos, Arsenios-Georgios N ; Koulmas, Pavlos. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002558.

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2025ESG and sustainable development: Evidence from DCC-GARCH R2 decomposed connectedness measures. (2025). Jlassi, Nabila Boukef ; Lahiani, Amine ; Mselmi, Nada ; Mefteh-Wali, Salma. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004854.

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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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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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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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2025Volatility Spillover Effects Between Carbon Futures and Stock Markets: A DGC-t-MSV-BN Model. (2025). Wang, Jining ; Man, Tian. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:15:p:2412-:d:1710978.

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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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2025The Role of Housing Mortgage Leverage in Stock Asset Pricing: Evidence from the Chinese A-share Market. (2025). Li, Huashi ; Chen, Qi-An ; Lin, Jianyi ; Gao, Yunfeng. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:2:d:10.1007_s11146-023-09940-5.

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2025The Inflation Uncertainty-Inflation Relationship: Time Variation Across Latin America and the G7. (2025). Rodríguez, Gabriel ; Alvarado, Mauricio. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00544.

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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]		paper148
2011Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		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]		paper197
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: 197		article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper111
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: 111		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: 111		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: 111		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]		article2
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]		article76
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]		article1
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]		paper3
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: 3		article

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