Denis Pelletier

Associate professor
Department of Economics, North Carolina State University

Office: 4162 Nelson Hall
Phone number: (+1) 919 513 7408
Fax number: (+1) 919 515 5613
Email: denis_pelletier@ncsu.edu
Curriculum vitae.

Teaching

• ECG562 Topics in Applied Econometrics
• ECG752 Time Series Econometrics
• ECG790I Asset Pricing

• Triangle Econometrics Workshop
• Econometrics workshop at NCSU
• 2009 Triangle Econometrics Conference

Papers and Publications

• "Simulation Smoothing for State-Space Models: A Computational Efficiency Analysis" (with William McCausland and Shirley Miller), working paper, December 2008.
• "Non-Nested Testing in Models Estimated via Generalized Method of Moments" (with Alastair Hall), working paper, June 2008. Previous version is available here.
• "Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application" (with Jean-Marie Dufour), working paper, October 2008.
• "Evaluating Value-at-Risk Models with Desk-Level Data" (with Jeremy Berkowitz and Peter Christoffersen), Forthcoming in Management Science.
• "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.

Awards

• Competitive Awards for Research on Risk Measurement and Disclosure. Given by The International Journal of Accounting and the KPMG & University of Illinois Business Measurement Research Program.