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Denis Pelletier

Personal Details

First Name:Denis
Middle Name:
Last Name:Pelletier
RePEc Short-ID:ppe105
[This author has chosen not to make the email address public]
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)
RePEc:edi:dencsus (more details at EDIRC)

Research output

Jump to: Working papers Articles

Working papers

  1. Robert L. Clark & Denis Pelletier & Beth Ritter, 2023. "An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC," NBER Working Papers 31478, 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. 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.
  4. Wei Wei & Denis Pelletier, 2015. "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers 2015-34, Department of Economics and Business Economics, Aarhus University.
  5. Cengiz Tunc & Denis Pelletier, 2013. "Endogenous Life-Cycle Housing Investment and Portfolio Allocation," Working Papers 1345, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  6. 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.
  7. 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.
  8. 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.
  9. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
  10. 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.
  11. McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007. "A New Approach to Drawing States in State Space Models," Cahiers de recherche 2007-06, Universite de Montreal, Departement de sciences economiques.
  12. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  13. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
  14. Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
  15. 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. Clark, Robert L. & Pelletier, Denis, 2022. "Impact of defaults on participation in state supplemental retirement savings plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 21(1), pages 22-37, January.
  2. Jean-Marie Dufour & Denis Pelletier, 2022. "Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1140-1152, June.
  3. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
  4. Atsushi Inoue & Lu Jin & Denis Pelletier, 2021. "Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures [Modelling Volatility by Variance Decomposition]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(1), pages 202-234.
  5. Denis Pelletier & Cengiz Tunc, 2019. "Endogenous Life‐Cycle Housing Investment and Portfolio Allocation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(4), pages 991-1019, June.
  6. Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S., 2018. "Inflation and equity mutual fund flows," Journal of Financial Markets, Elsevier, vol. 37(C), pages 52-69.
  7. Robert L. Clark & Aditi Pathak & Denis Pelletier, 2018. "Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel," Journal of Labor Research, Springer, vol. 39(4), pages 383-404, December.
  8. Denis Pelletier & Wei Wei, 2016. "The Geometric-VaR Backtesting Method," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 725-745.
  9. Hall, Alastair R. & Pelletier, Denis, 2011. "Nonnested Testing In Models Estimated Via Generalized Method Of Moments," Econometric Theory, Cambridge University Press, vol. 27(2), pages 443-456, April.
  10. Jeremy Berkowitz & Peter Christoffersen & Denis Pelletier, 2011. "Evaluating Value-at-Risk Models with Desk-Level Data," Management Science, INFORMS, vol. 57(12), pages 2213-2227, December.
  11. 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.
  12. 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.
  13. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  14. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 84-108.
  15. 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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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 16 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 (11) 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 2015-08-19. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2003-09-28 2004-08-16 2007-08-27 2008-02-16 2015-08-19. Author is listed
  3. NEP-RMG: Risk Management (4) 2003-04-27 2003-09-28 2003-10-28 2007-01-13
  4. NEP-AGE: Economics of Ageing (3) 2019-09-16 2019-09-30 2023-08-28
  5. NEP-LMA: Labor Markets - Supply, Demand, & Wages (2) 2019-09-16 2019-09-30
  6. NEP-BAN: Banking (1) 2007-01-13
  7. NEP-CMP: Computational Economics (1) 2003-04-27
  8. NEP-ENE: Energy Economics (1) 2009-05-16
  9. NEP-FOR: Forecasting (1) 2007-01-13
  10. NEP-MIC: Microeconomics (1) 2002-04-15
  11. NEP-MST: Market Microstructure (1) 2015-08-19
  12. NEP-ORE: Operations Research (1) 2015-08-19
  13. NEP-RES: Resource Economics (1) 2002-04-15


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