Denis Pelletier

Assistant Professor of Economics

Ph.D., University of Montreal, 2004

Graduate Faculty

Office Location: 4122 Nelson (Economics Wing)
Telephone Number: 919.513.7408
Fax Number: 919.515.5613
Email

Visit Denis Pelletier's Web Page

Research Specialties

Time Series Econometrics, Financial Economics

Selected Recent Publications

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

"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.

"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.