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Denis Pelletier

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Personal Details

First Name:Denis
Middle Name:
Last Name:Pelletier
RePEc Short-ID:ppe105
Postal Address:Department of Economics North Carolina State University Box 8110 Raleigh, NC 27695-8110, USA
Phone:(919) 513-7408
Location: Raleigh, North Carolina (United States)
Phone: (919) 515-3274
Handle: RePEc:edi:dencsus (more details at EDIRC)
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  1. 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.
  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.
  3. 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.
  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.
  5. 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.
  6. 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.
  7. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
  8. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
  9. 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.
  10. 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.
12 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 (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
  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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