Office: 4174 Nelson Hall

Phone number: (+1) 919 513 7408

Email: denis_pelletier@ncsu.edu

Curriculum vitae

Econometrics Workshop at NCSU

Publications

• "A Stochastic Price Duration Model for Estimating High-Frequency Volatility" (with Wei Wei), August 2023, forthcoming in Journal of Financial Econometrics.

• "Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application" (with Jean-Marie Dufour), Journal of Business and Economic Statistics, 40(3), 1140-1152, 2022. Online appendix.

• "Impact of Defaults on Participation in State Supplemental Retirement Savings Plans" (with Robert L. Clark), Journal of Pension Economics and Finance, 21(1), 22-37, 2022.

• "The Economic Effects of Volcanic Alerts: A Case Study of High-Treat USA Volcanoes" (with Justin Peers, Christopher Gregg, Michael Lindell, Franco Romerio, Andrew Joyner), Risk Analysis, 41(10), 1759-1781, 2021.

• "Local-linear estimation of time-varying-parameter GARCH models and associated risk measures" (with Atsushi Inoue and Lu Jin), Journal of Financial Econometrics, 19(1), 202-234, 2021. Online appendix.

• "Multivariate Stochastic Volatility using the HESSIAN Method" (with William J. McCausland and Shirley Miller), Econometrics and Statistics, 17, 76-94, 2021.

• "Endogenous Life-Cycle Housing Investment and Portfolio Allocation" (with Cengiz Tunc), Journal of Money, Credit and Banking, 51(4), June 2019.

• "Supplemental Retirement Savings Plans in the Public Sector: Participation and Contribution Decisions by School Personnel" (with Robert L. Clark and Aditi Pathak), Journal of Labor Research, 39(4), December 2018.

• "Inflation and Mutual Fund Flows" (with Srinivasan Krishnamurthy and Richard Warr), Journal of Financial Markets, 37, 52-69, January 2018.

• "The Geometric-VaR Backtesting Method" (with Wei Wei), Journal of Financial Econometrics, 14(4), 725-745, Fall 2016.

• "Evaluating Value-at-Risk Models with Desk-Level Data" (with Jeremy Berkowitz and Peter Christoffersen), Management Science, 57(12), 2213-2227, December 2011.

• "Non-Nested Testing in Models Estimated via Generalized Method of Moments" (with Alastair Hall), Econometric Theory, 27(2), 443-456, April 2011. A previous version is available here.

• "Simulation Smoothing for State-Space Models: A Computational Efficiency Analysis" (with William McCausland and Shirley Miller), Computational Statistics and Data Analysis, 55(1), 199-212, January 2011.

• "Short Run and Long Run Causality in Time Series: inference" (with Jean-Marie Dufour and Éric Renault), Journal of Econometrics, 132(2), 337-362, June 2006.

• "Regime Switching for Dynamic Correlations", Journal of Econometrics, 131(1-2), 445-473, March-April 2006.

• "Backtesting Value-at-Risk: A Duration-Based Approach" (with Peter Christoffersen), Journal of Financial Econometrics, 2(1), 84-108, Winter 2004.

• "On Jumps and ARCH Effects in Natural Resources Prices: An Application to Pacific Northwest Stumpage Prices" (with Jean-Daniel Saphores and Lynda Khalaf), American Journal of Agricultural Economics, 84(2), 387-400, May 2002.

Working Papers

• "An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC" (with Robert L. Clark and Beth M. Ritter), June 2023.

• "Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?" (with Robert L. Clark), April 2020.

• "Returns, Durations and Time Endogeneity" (with Qifeng Weng), May 2016.

• "A Jump-Diffusion Model with Stochastic Volatility and Durations" (with Wei Wei), August 2015.

• "Endogenous Life-Cycle Portfolio Allocation in the Presence of both Housing Investment and Tax-Deferred Accounts" (with Cengiz Tunc), May 2015.

• "The Realized RSDC Model" (with Aymard Kassi), April 2015.

• "Joint modeling of high-frequency price and duration data" (with Haiqing Zheng), May 2013.