Denis Pelletier
Associate Professor, Graduate Faculty
Education: Ph.D., University of Montreal, 2004
Office Location: 4162 Nelson (Economics Wing)
Phone: 919.513.7408
http://www4.ncsu.edu/~dpellet/
Curriculum Vita
Department / Affiliations
Department of Economics
Research Specialties
Time Series Econometrics, Financial Economics
Selected Research 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.