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Information about:
Denis Pelletier

Personal Details | Affiliation | Works
This is information that was supplied by Denis Pelletier in registering through RePEc. If you are Denis Pelletier , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Denis
Middle Name:
Last Name: Pelletier
Suffix:

RePEc Short-ID: ppe105

Email:
Homepage: http://www4.ncsu.edu/~dpellet
Postal Address: Department of Economics North Carolina State University Box 8110 Raleigh, NC 27695-8110, USA
Phone: (919) 513-7408

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  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. Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association. [Downloadable!]

  3. 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!]

  4. William J. McCausland & Shirley Miller & Denis Pelletier, 2007. "A New Approach to Drawing States in State Space Models," Working Paper Series 014, North Carolina State University, Department of Economics, revised Aug 2007. [Downloadable!]
    Other versions:

  5. 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:

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

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

  8. 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:

  9. 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:

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:

  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:

  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:

  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)

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2007-01-13
  2. NEP-CMP: Computational Economics (1) 2003-04-27
  3. NEP-ECM: Econometrics (9) 2003-05-12 2003-09-28 2003-10-28 2004-08-16 2007-01-13 2007-03-17 2007-08-27 2008-02-16 2009-05-16 Author is listed
  4. NEP-ENE: Energy Economics (1) 2009-05-16
  5. NEP-ETS: Econometric Time Series (4) 2003-09-28 2004-08-16 2007-08-27 2008-02-16 Author is listed
  6. NEP-FIN: Finance (1) 2003-04-27
  7. NEP-FOR: Forecasting (1) 2007-01-13
  8. NEP-MIC: Microeconomics (1) 2002-04-15
  9. NEP-RES: Resource Economics (1) 2002-04-15
  10. NEP-RMG: Risk Management (4) 2003-04-27 2003-09-28 2003-10-28 2007-01-13 Author is listed
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This page was last updated on 2009-11-11.

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