Denis Pelletier

North Carolina State University - Department of Economics

Raleigh, NC 27695-8110

United States

SCHOLARLY PAPERS

5

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1,751

SSRN CITATIONS
Rank 13,745

SSRN RANKINGS

Top 13,745

in Total Papers Citations

62

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 974 (29,590)
Citation 41

Abstract:

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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:

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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 770 (41,638)
Citation 55

Abstract:

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Risk Management, Backtesting, Volatility, Disclosure

3.

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

Number of pages: 32 Posted: 18 Sep 2019 Last Revised: 06 Oct 2021
Robert L. Clark and Denis Pelletier
North Carolina State University - Poole College of Management and North Carolina State University - Department of Economics
Downloads 4 (772,868)

Abstract:

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4.

Impact of Defaults in Retirement Saving Plans: Public Employee Plans

Number of pages: 36 Posted: 09 Sep 2019 Last Revised: 06 Sep 2021
Robert L. Clark and Denis Pelletier
North Carolina State University - Poole College of Management and North Carolina State University - Department of Economics
Downloads 3 (780,847)

Abstract:

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5.

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

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

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