Narrow search
Showing 1 - 6 of 6
Cover Image
A Jump-diffusion model with stochastic volatility and durations
Wei, Wei; Pelletier, Denis - 2015
Persistent link: https://www.econbiz.de/10011327726
Cover Image
On jumps and ARCH effects in natural resource prices : an application to Pacific Northwest stumpage prices
Saphores, Jean-Daniel M.; Khalaf, Lynda; Pelletier, Denis - In: American journal of agricultural economics 84 (2002) 2, pp. 387-400
Persistent link: https://www.econbiz.de/10001683998
Cover Image
On jumps and ARCH effects in natural resource prices : an application to stumpage prices from Pacific Northwest national forests
Saphores, Jean-Daniel M.; Khalaf, Lynda; Pelletier, Denis - 2000
Persistent link: https://www.econbiz.de/10001470050
Cover Image
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
Cover Image
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
Cover Image
Evaluating Value-at-Risk Models with Desk-Level Data
Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...
Persistent link: https://www.econbiz.de/10005037434