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Denis Pelletier

Personal Details

First Name:Denis
Middle Name:
Last Name:Pelletier
RePEc Short-ID:ppe105
Department of Economics North Carolina State University Box 8110 Raleigh, NC 27695-8110, USA
(919) 513-7408
Terminal Degree:2004 Département de Sciences Économiques; Université de Montréal (from RePEc Genealogy)


Department of Economics
Poole College of Management
North Carolina State University

Raleigh, North Carolina (United States)

: (919) 515-3274

RePEc:edi:dencsus (more details at EDIRC)

Research output

Jump to: Working papers Articles

Working papers

  1. Robert L. Clark & Denis Pelletier, 2019. "Impact of Defaults in Retirement Saving Plans: Public Employee Plans," NBER Working Papers 26234, National Bureau of Economic Research, Inc.
  2. Robert L. Clark & Denis Pelletier, 2019. "Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?," NBER Working Papers 26263, National Bureau of Economic Research, Inc.
  3. Zhao, Jieyuan & Goodwin, Barry K. & Pelletier, Denis, 2012. "A New Approach to Investigate Market Integration: a Markov-Switching Autoregressive Model with Time-Varying Transition Probabilities," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124825, Agricultural and Applied Economics Association.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  10. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
  11. 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.
  12. 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.


  1. Hall, Alastair R. & Pelletier, Denis, 2011. "Nonnested Testing In Models Estimated Via Generalized Method Of Moments," Econometric Theory, Cambridge University Press, vol. 27(02), pages 443-456, April.
  2. McCausland, William J. & Miller, Shirley & Pelletier, Denis, 2011. "Simulation smoothing for state-space models: A computational efficiency analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 199-212, January.
  3. 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.
  4. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  5. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 84-108.
  6. Jean-Daniel Saphores & Lynda Khalaf & Denis Pelletier, 2002. "On Jumps and ARCH Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(2), pages 387-400.

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This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (10) 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 2012-06-25. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2003-09-28 2004-08-16 2007-08-27 2008-02-16
  3. NEP-RMG: Risk Management (4) 2003-04-27 2003-09-28 2003-10-28 2007-01-13
  4. NEP-AGE: Economics of Ageing (1) 2019-09-16
  5. NEP-BAN: Banking (1) 2007-01-13
  6. NEP-CMP: Computational Economics (1) 2003-04-27
  7. NEP-ENE: Energy Economics (1) 2009-05-16
  8. NEP-FOR: Forecasting (1) 2007-01-13
  9. NEP-LMA: Labor Markets - Supply, Demand, & Wages (1) 2019-09-16
  10. NEP-MIC: Microeconomics (1) 2002-04-15
  11. NEP-RES: Resource Economics (1) 2002-04-15


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