Denis Pelletier : Citation Profile

Are you Denis Pelletier?

North Carolina State University

8

H index

8

i10 index

813

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: 52.    Total self citations: 7 (0.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe105
   Updated: 2024-12-03    RAS profile: 2024-07-04    
   Missing citations? Add them    Incorrect content? Let us know

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)

Silvennoinen, Annastiina (11)

Teräsvirta, Timo (11)

Hafner, Christian (10)

Perignon, Christophe (10)

Dufour, Jean-Marie (9)

Khalaf, Lynda (9)

Cites to:

Engle, Robert (20)

Shephard, Neil (12)

Bauwens, Luc (12)

Bollerslev, Tim (12)

Madrian, Brigitte (9)

Laibson, David (8)

Choi, James (8)

Laurent, Sébastien (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.

Full description at Econpapers || Download paper

2023Using 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

2024Multinomial 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

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

Full description at Econpapers || Download paper

2023High-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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Realized 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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..

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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]		paper231
2006Regime switching for dynamic correlations.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 231		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

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team