Skip to main content

Poole College of Management

Think and Do The Extraordinary
Support the College
Think and Do The Extraordinary
Support the College
Directory Home

Denis Pelletier

Associate Professor of Economics

Department of Economics

Nelson Hall 4162



View CV


Ph.D., Economics, University of Montreal (2004)

Area(s) of Expertise

Time Series Econometrics, Financial Economics

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.