| Backtesting value-at-risk: A duration-based approach P Christoffersen, D Pelletier Journal of Financial Econometrics 2 (1), 84-108, 2004 | 685 | 2004 |
| Regime switching for dynamic correlations D Pelletier Journal of econometrics 131 (1-2), 445-473, 2006 | 568 | 2006 |
| Evaluating value-at-risk models with desk-level data J Berkowitz, P Christoffersen, D Pelletier Management Science 57 (12), 2213-2227, 2011 | 517 | 2011 |
| Short run and long run causality in time series: inference JM Dufour, D Pelletier, É Renault Journal of Econometrics 132 (2), 337-362, 2006 | 194 | 2006 |
| Simulation smoothing for state–space models: A computational efficiency analysis WJ McCausland, S Miller, D Pelletier Computational Statistics & Data Analysis 55 (1), 199-212, 2011 | 152 | 2011 |
| Practical methods for modelling weak VARMA processes: identification, estimation and specification with a macroeconomic application JM Dufour, D Pelletier Manuscript, McGill University, 2008 | 87* | 2008 |
| On jumps and ARCH effects in natural resource prices: An application to Pacific Northwest stumpage prices JD Saphores, L Khalaf, D Pelletier American Journal of Agricultural Economics 84 (2), 387-400, 2002 | 70 | 2002 |
| The geometric-VaR backtesting method D Pelletier, W Wei Journal of financial econometrics 14 (4), 725-745, 2016 | 40 | 2016 |
| Nonnested testing in models estimated via generalized method of moments AR Hall, D Pelletier Econometric Theory 27 (2), 443-456, 2011 | 36 | 2011 |
| Linear methods for estimating varma models with a macroeconomic application JM Dufour, D Pelletier Joint Statistical Meetings-Busniess amd Economic Statistics Section, 2659-2664, 2002 | 25 | 2002 |
| Inflation and equity mutual fund flows S Krishnamurthy, D Pelletier, RS Warr Journal of Financial Markets 37, 52-69, 2018 | 19 | 2018 |
| Basis volatilities of corn and soybean in spatially separated markets: the effect of ethanol demand A Bekkerman, D Pelletier | 16 | 2009 |
| Endogenous Life‐Cycle Housing Investment and Portfolio Allocation D Pelletier, C Tunc Journal of Money, Credit and Banking 51 (4), 991-1019, 2019 | 13 | 2019 |
| Joint modeling of high-frequency price and duration data D Pelletier, H Zheng North Carolina State University working paper, 2012 | 11 | 2012 |
| Evaluating VaR models with desk-level data J Berkowitz, P Christoffersen, D Pelletier McGill University, 2006 | 8 | 2006 |
| Backtesting portfolio risk measures P Christoffersen, D Pelletier Working Paper, McGill University, Canada, 2002 | 8 | 2002 |
| The economic effects of volcanic alerts—a case study of high‐threat US Volcanoes JB Peers, CE Gregg, MK Lindell, D Pelletier, F Romerio, AT Joyner Risk analysis 41 (10), 1759-1781, 2021 | 7 | 2021 |
| Supplemental retirement savings plans in the public sector: participation and contribution decisions by school personnel RL Clark, A Pathak, D Pelletier Journal of Labor Research 39 (4), 383-404, 2018 | 7 | 2018 |
| Impact of Defaults in Retirement Saving Plans: Public Employee Plans RL Clark, D Pelletier National Bureau of Economic Research, 2019 | 6 | 2019 |
| A New approach to investigate market integration: A markov-switching autoregressive model with time-varying transition probabilities J Zhao, BK Goodwin, D Pelletier | 6 | 2012 |
William McCauslandAssociate professor of economics, Université de Montréal在 umontreal.ca 的电子邮件经过验证
