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
Curriculum vitae.


Econometrics Workshop


Working Papers

  • "Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application" (with Jean-Marie Dufour), May 2018.
  • A Stochastic Price Duration Model for Estimating High-Frequency Volatility (with Wei Wei), July 2018.
  • "Multivariate Stochastic Volatility with Copulas" (with William J. McCausland and Shirley Miller), June 2017.
  • "Returns, Durations and Time Endogeneity" (with Qifeng Weng), working paper, 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), working paper, April 2015.
  • "Joint modeling of high-frequency price and duration data" (with Haiqing Zheng), working paper, May 2013.
  • Denis playing pétanque