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Denis Pelletier

Associate Professor of Economics

Nelson Hall 4162


Department and Affiliations

Department of Economics

Area(s) of Expertise

Time Series Econometrics, Financial Economics

Research Areas

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.


View CV


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