Denis Pelletier

North Carolina State University - Department of Economics

Raleigh, NC 27695-8110

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 31,450

SSRN RANKINGS

Top 31,450

in Total Papers Downloads

1,505

SSRN CITATIONS
Rank 13,217

SSRN RANKINGS

Top 13,217

in Total Papers Citations

47

CROSSREF CITATIONS

24

Scholarly Papers (5)

Backtesting Value-at-Risk: A Duration-Based Approach

Number of pages: 27 Posted: 20 Jul 2003
Peter Christoffersen and Denis Pelletier
University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics
Downloads 773 (32,061)
Citation 33

Abstract:

Loading...

Backtesting Value-at-Risk: A Duration-Based Approach

Journal of Financial Econometrics, Vol. 2, pp. 84-108, 2004
Posted: 29 Feb 2008
Peter Christoffersen and Denis Pelletier
University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics

Abstract:

Loading...

GARCH, kurtosis, risk model evaluation

2.

Evaluating Value-at-Risk Models with Desk-Level Data

CREATES Research Paper Series 2009
Number of pages: 33 Posted: 05 May 2008
Jeremy Berkowitz, Peter Christoffersen and Denis Pelletier
University of Houston - Department of Finance, University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics
Downloads 730 (35,168)
Citation 49

Abstract:

Loading...

Risk Management, Backtesting, Volatility, Disclosure

3.

Impact of Defaults in Retirement Saving Plans: Public Employee Plans

NBER Working Paper No. w26234
Number of pages: 36 Posted: 09 Sep 2019
Robert L. Clark and Denis Pelletier
North Carolina State University - Poole College of Management and North Carolina State University - Department of Economics
Downloads 2 (662,289)
  • Add to Cart

Abstract:

Loading...

4.

Does Automatic Enrollment Increase Contributions to Supplement Retirement Programs by K-12 and University Employees?

NBER Working Paper No. w26263
Number of pages: 32 Posted: 18 Sep 2019
Robert L. Clark and Denis Pelletier
North Carolina State University - Poole College of Management and North Carolina State University - Department of Economics
Downloads 0 (691,345)
  • Add to Cart

Abstract:

Loading...

5.

On Jumps and Arch Effects in Natural Resource Prices: An Application to Pacific Northwest Stumpage Prices

American Journal of Agricultural Economics, Vol. 84, pp. 387-400, 2002
Posted: 23 Dec 2002
Jean-Daniel M. Saphores, Lynda Khalaf and Denis Pelletier
Université Laval - Département d'Économique, Université Laval - Département d'Économique and North Carolina State University - Department of Economics

Abstract:

Loading...