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Denis Pelletier
North Carolina State University - Raleigh / United States
Economics & Econometrics / Economics
AD Scientific Index ID: 835525
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Denis Pelletier's MOST POPULAR ARTICLES
1-)
Backtesting value-at-risk: A duration-based approachP Christoffersen, D PelletierJournal of Financial Econometrics 2 (1), 84-108, 20046322004
2-)
Regime switching for dynamic correlationsD PelletierJournal of econometrics 131 (1-2), 445-473, 20065422006
3-)
Evaluating value-at-risk models with desk-level dataJ Berkowitz, P Christoffersen, D PelletierManagement Science 57 (12), 2213-2227, 20114772011
4-)
Short run and long run causality in time series: inferenceJM Dufour, D Pelletier, É RenaultJournal of Econometrics 132 (2), 337-362, 20061982006
5-)
Simulation smoothing for state–space models: A computational efficiency analysisWJ McCausland, S Miller, D PelletierComputational Statistics & Data Analysis 55 (1), 199-212, 20111582011
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