Office: 4162 Nelson Hall
Phone number: (+1) 919 513 7408
Fax number: (+1) 919 515 5613
Email: denis_pelletier@ncsu.edu
Publications
"Multivariate Stochastic Volatility using the HESSIAN Method" (with William J. McCausland and Shirley Miller), forthcoming in Econometrics and Statistics, July 2020.
"Local-linear estimation of time-varying-parameter GARCH models and associated risk measures" (with Atsushi Inoue and Lu Jin), forthcoming in Journal of Financial Econometrics, June 2020. Online appendix.
"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
"Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application" (with Jean-Marie Dufour), July 2020. Online appendix.
"A Stochastic Price Duration Model for Estimating High-Frequency Volatility" (with Wei Wei), August 2019.
"Impact of Defaults in Retirement Savings Plans: Public Employee Plans" (with Robert L. Clark), September 2019.
"Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?" (with Robert L. Clark), April 2020.
"Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application"(with Jean-Marie Dufour), July 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.