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Citations of
Denis Pelletier

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Alastair R. Hall & Denis Pelletier, 2007. "Non-Nested Testing in Models Estimated via Generalized Method of Moments," Working Paper Series 011, North Carolina State University, Department of Economics, revised Mar 2007. [Downloadable!]

    Cited by:

    1. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models," Cowles Foundation Discussion Papers 1724, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2008. "Comparison of Misspecified Calibrated Models: The Minimum Distance Approach," Micro Theory Working Papers vadim_marmer-2008-14, Microeconomics.ca Website, revised 02 Nov 2009. [Downloadable!]

  2. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
    Other versions:

    Cited by:

    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    2. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
      Other versions:
    3. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    4. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    5. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    6. Christian T. Brownlees & Giampiero Gallo, 2008. "Comparison of Volatility Measures: a Risk Management Perspective," Econometrics Working Papers Archive wp2008_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    7. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]

  3. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
    Published as:

    Cited by:

    1. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49370, Agricultural and Applied Economics Association. [Downloadable!]
    2. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
      Other versions:
    3. René Garcia & Georges Tsafack, 2009. "Dependence Structure and Extreme Comovements in International Equity and Bond Markets," CIRANO Working Papers 2009s-21, CIRANO. [Downloadable!]
    4. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
      Other versions:
    5. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    6. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005. [Downloadable!]
      Other versions:
    7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," CFS Working Paper Series 2005/02, Center for Financial Studies. [Downloadable!]
      Other versions:
    8. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester. [Downloadable!]
      Other versions:
    9. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006. [Downloadable!]
    10. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques) 2006007, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    11. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany. [Downloadable!]
    12. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
      Other versions:
    13. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 0816, University of Brescia, Department of Economics. [Downloadable!]
    14. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]

  4. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO. [Downloadable!]
    Published as:

    Cited by:

    1. Christophe Hurlin & Gilbert Colletaz & Sessi Tokpavi & Bertrand Candelon, 2008. "Backtesting Value-at-Risk: A GMM Duration-Based Test," Working Papers halshs-00329495_v1, HAL. [Downloadable!]
      Other versions:
    2. Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," Economics Working Papers (Ensaios Economicos da EPGE) 679, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    3. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2005. "Evaluating Value-at-Risk models with desk-level data," Working Paper Series 010, North Carolina State University, Department of Economics, revised Dec 2006. [Downloadable!]
      Other versions:
    4. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany. [Downloadable!]
    6. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August. [Downloadable!] (restricted)
    7. J. Carlos Escanciano & Jose Olmo, 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," City University Economics Discussion Papers 07/11, Department of Economics, City University, London. [Downloadable!]

  5. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association. [Downloadable!]
    2. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria. [Downloadable!]
    3. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005. [Downloadable!]
      Other versions:
    4. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
      Other versions:
    5. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics 0402002, EconWPA, revised 01 Mar 2004. [Downloadable!]
    6. AndrŽ, NYEMBWE & Konstantin, KHOLODILIN, 2005. "North-South Asymmetric Relationships : Does the EMU Business Affect Small African Economies ?," Discussion Papers (ECON - Département des Sciences Economiques) 2005032, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    7. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, Department of Economics, University of Kent. [Downloadable!]
    8. Vincent Bouvatier, 2007. "Hot Money Inflows and Monetary Stability in China: How the People's Bank of China Took up the Challenge," Money Macro and Finance (MMF) Research Group Conference 2006 161, Money Macro and Finance Research Group. [Downloadable!]
    9. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization: The Money-Output Relationship Revisited," Working Papers 0403, Florida International University, Department of Economics. [Downloadable!]
    10. J. Breitung & D. Jagodzinski, . "Prognoseeigenschaften alternativer Indikatoren für die Konjunkturentwicklung in Deutschland," Sonderforschungsbereich 373 2002-36, Humboldt Universitaet Berlin.
    11. Vincent Bouvatier, 2006. "Hot money inflows in China : How the people's bank of China took up the challenge," Cahiers de la Maison des Sciences Economiques bla06011, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
    12. Vincent Bouvatier, 2006. "Hot Money Inflows in China : How the People's Bank of China Took up the Challenge," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00111153_v1, HAL. [Downloadable!]
    13. Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005. [Downloadable!]
    14. Jean-Marie Dufour & Denis Pelletier & Éric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO. [Downloadable!]
      Other versions:
    15. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    16. Jean-Marie Dufour & David Tessier, 2006. "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Working Papers 06-39, Bank of Canada. [Downloadable!]

  6. Saphores, J.D. & Khalaf, L. & Pelletier, D., 2000. "On Jumps and ARCH Effects in Natural Resource Prices. An Application to Stumpage Prices from Pacific Northwest National Forests," Papers 00-03, Laval - Recherche en Energie.
    Other versions:

    Cited by:

    1. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian, 2004. "Structural Change and Forecasting Long-Run Energy Prices," Working Papers 04-5, Bank of Canada. [Downloadable!]

Articles

  1. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 84-108. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Saphores, Jean-Daniel & Khalaf, Lynda & Pelletier, Denis, 2002. " On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 84(2), pages 387-400, May. [Downloadable!] (restricted)

    Cited by:

    1. McGough, Bruce & Plantinga, Andrew J. & Provencher, William, 2002. "The Dynamic Behavior of Efficient Timber Prices," Staff Paper Series 454, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
    2. Shan Chen & Margaret Insley, 2008. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Working Papers 08003, University of Waterloo, Department of Economics. [Downloadable!]
    3. Saphores, Jean-Daniel & Vincent, Jeffrey R. & Marochko, Valy & Abrudan, Ioan & Bouriaud, Laura & Zinnes, Clifford, 2006. "Detecting collusion in timber auctions : an application to Romania," Policy Research Working Paper Series 4105, The World Bank. [Downloadable!]

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This page was last updated on 2009-12-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.