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On jumps and ARCH effects in natural resource prices : an application to stumpage prices from Pacific Northwest national forests
Saphores, Jean-Daniel; Khalaf, Lynda; Pelletier, Denis - 2000
Persistent link: https://www.econbiz.de/10001470050
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Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.; Pelletier, Denis - In: Journal of financial econometrics : official journal of … 2 (2004) 1, pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices
Saphores, Jean-Daniel; Khalaf, Lynda; Pelletier, Denis - In: American journal of agricultural economics 84 (2002) 2, pp. 387-400
Persistent link: https://www.econbiz.de/10001683998
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The geometric-VaR backtesting method
Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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Lagrange multiplier tests for normality against seminonparametric alternatives
Hall, Alastair R. - In: Journal of business & economic statistics : JBES ; a … 8 (1990) 4, pp. 417-426
Persistent link: https://www.econbiz.de/10001096543