About

Denis Pelletier is a Professor of Economics and the Department Head at NC State University's Poole College of Management. He earned his Ph.D. in Economics from the University of Montreal in 2004. His areas of expertise include Time Series Econometrics and Financial Economics. Pelletier has contributed to retirement savings research by bringing econometrics expertise to the field. He was named as the Economics Department Chair at Poole College of Management in May 2021. His professional focus involves applying econometric methods to economic and financial data, and he is recognized for his leadership within the department.

Research topics

• Political Science
• Statistics
• Computer Science
• Mathematics
• Artificial Intelligence
• Applied mathematics
• Econometrics
• Mathematical analysis
• Law
• Geography
• Geology
• Archaeology
• Engineering
• Seismology
• Civil engineering

Selected publications

• Retirement Benefit Distributions for California Educators

  The Journal of Retirement · 2025-11-26

  article

  Distribution choices by individuals retiring from the California State Teachers’ Retirement System (CalSTRS) are examined for participants that retired between 2016 and 2023. Women are much more likely to select a member-only annuity while a larger proportion of men select a joint and survivor (J&S) annuity that provides survivor benefits. Being married is a dominant factor in the selection of J&S annuities. Greater final annual salary, older ages at retirement, and more years of service are associated with a greater probability of choosing a J&S annuity. We also find that benefit choices from the primary benefit plan are jointly determined with distributions chosen from the supplemental pension plan. Interestingly, about half of retirees select a lump sum distribution from the supplemental plan while receiving an annuity from their primary plan.

  PublisherDOI

• An analysis of benefit distributions selected by individuals covered by the PBGC: differences by sex and age

  Journal of Pensions Economics and Finance · 2024-11-18

  articleOpen access

  Abstract The Pension Benefit Guaranty Corporation (PBGC) becomes the trustee for private defined benefit plans that have defaulted. The PBGC pays retirement benefits as provided by the plan and that are consistent with federal guidelines concerning the type and amounts of distributions. In response to a Freedom of Information Request, the PBGC provided us with relevant information on all individuals who received retirement benefits from the PBGC in the last 10 years, over 250,000 retirees. Individuals requesting payouts from PBGC managed plans have the option of selecting either a single-life annuity or a joint-and-survivor (J&S) annuity. We examine the PBGC distributions chosen over the last decade and how they vary by age at retirement, sex, months of service, and other relevant variables. Key findings indicate that men are much more likely to choose a joint and survivor annuity compared to female claimants, and the difference increases with age. Conditional on selecting a J&S annuity, men are more likely to select a 100 percent survivor's annuity, while women tend to choose a 50 percent survivor's benefit.

  PublisherOA PDFDOI

• Retirement Benefit Distributions for California Educators

  National Bureau of Economic Research · 2024-06-01

  reportOpen access

  Distribution choices by individuals retiring from CalSTRS are examined for participants that retired between 2016 and 2023.Women are much more likely to select a member-only annuity while a larger proportion of men select a J&S annuity that provide survivor benefits.Being married is a dominant factor in the selection of J&S annuities.Greater final annual salary, older ages at retirement, and more years of service are associated with a greater probability of choosing a J&S annuity.We also find that benefit choices from the primary benefit plan are jointly determined with distributions chosen from the supplemental pension plan.Interestingly, about half of retirees select a lump sum distribution from the supplemental plan while receiving an annuity from their primary plan.

  PublisherOA PDFDOI

• Retirement Benefit Distributions for California Educators

  SSRN Electronic Journal · 2024-01-01

  articleOpen access
  PublisherDOI

• A Stochastic Price Duration Model for Estimating High-Frequency Volatility

  Journal of Financial Econometrics · 2023-10-23 · 4 citations

  article1st authorCorresponding

  Abstract We propose a stochastic price duration model to estimate high-frequency volatility. A price duration is directly linked to volatility from the passage time theory for Brownian motions, and it possesses several advantages over returns for estimating volatility. We employ price durations in a parametric model that directly specifies stochastic volatility dynamics. Our approach allows us to estimate intraday spot volatility and our empirical results suggest the presence of important intraday volatility dynamics. We conduct an extensive integrated variance forecast comparison, which demonstrates the superior performance of our proposed models compared with other duration-based or return-based estimators.

  PublisherDOI

• An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC

  National Bureau of Economic Research · 2023-07-01 · 1 citations

  reportOpen access

  The Pension Benefit Guarantee Corporation becomes the trustee for private defined benefit plans that have defaulted.The PBGC pays retirement benefits as provided by the plan and that are consistent with federal guidelines concerning the type and amounts of distributions.In response to a Freedom of Information Request, the PBGC provided us with relevant information on all individuals who received a retirement benefit from the PBGC in the last 10 years, over 250,000 retirees.We examine the PBGC distributions chosen over the last decade and how they vary by age at retirement, sex, months of service, and other relevant variables.Key findings indicate that men are much more likely to choose a joint and survivor annuity compared to female claimants and the difference increases with age.Conditional on selecting a J&S annuity, men are more likely to select a 100% survivor's annuity while women tend to choose a 50% survivor's benefit.

  PublisherOA PDFDOI

• An Analysis of Benefit Distribution Options Selected by Individuals Covered by the PBGC

  SSRN Electronic Journal · 2023-01-01

  articleOpen access
  PublisherDOI

• The Economic Effects of Volcanic Alerts—A Case Study of High‐Threat U.S. Volcanoes

  Risk Analysis · 2021 · 12 citations

  • Political Science
  • Geography
  • Geology

  A common concern about volcanic unrest is that the communication of information about increasing volcanic alert levels (VALs) to the public could cause serious social and economic impacts even if an eruption does not occur. To test this statement, this study examined housing prices and business patterns from 1974-2016 in volcanic regions with "very-high" threat designations from the U.S. Geological Survey (USGS)-Long Valley Caldera (LVC), CA (caldera); Mount St. Helens (MSH), Washington (stratovolcano); and Kīlauea, Hawai'i (shield volcano). To compare economic trends in nonvolcanic regions that are economically dependent on tourism, Steamboat Springs, CO, served as a control as it is a ski-tourism community much like Mammoth Lakes in LVC. Autoregressive distributed lag (ARDL) models predicted that housing prices were negatively affected by VALs at LVC from 1982-1983 and 1991-1997. While VALs associated with unrest and eruptions included in this study both had short-term indirect effects on housing prices and business indicators (e.g., number of establishments, employment, and salary), these notifications were not strong predictors of long-term economic trends. Our findings suggest that these indirect effects result from both eruptions with higher level VALs and from unrest involving lower-level VAL notifications that communicate a change in volcanic activity but do not indicate that an eruption is imminent or underway. This provides evidence concerning a systemic issue in disaster resilience. While disaster relief is provided by the U.S. federal government for direct impacts associated with disaster events that result in presidential major disaster declarations, there is limited or no assistance for indirect effects to businesses and homeowners that may follow volcanic unrest with no resulting direct physical losses. The fact that periods of volcanic unrest preceding eruption are often protracted in comparison to precursory periods for other hazardous events (e.g., earthquakes, hurricanes, flooding) makes the issue of indirect effects particularly important in regions susceptible to volcanic activity.

  PublisherDOI

• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application

  Journal of Business and Economic Statistics · 2021 · 39 citations

  Senior authorCorresponding
  • Computer Science
  • Artificial Intelligence
  • Applied mathematics

  We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimating VARMA models, we develop computationally simple methods which only require linear regressions. The asymptotic properties of the estimator are derived under weak hypotheses on the innovations (uncorrelated and strong mixing), in order to broaden the class of models to which it can be applied. Third, we present a modified information criterion which yields consistent estimates of the orders under the proposed representations. The estimation methods are studied by simulation. To demonstrate the importance of using VARMA models to study multivariate time series, we compare the impulse-response functions and the out-of-sample forecasts generated by VARMA and VAR models. The proposed methodology is applied to a six-variable macroeconomic model of monetary policy, based on the U.S. monthly data over the period 1962–1996. The results demonstrate the advantages of using the VARMA methodology for impulse response estimation and forecasting, in contrast with standard VAR models.

  PublisherDOI

• Impact of defaults on participation in state supplemental retirement savings plans

  Journal of Pensions Economics and Finance · 2021-01-13 · 9 citations

  articleSenior author

  Abstract This study examines the impact of the adoption of automatic enrollment provisions by the state of South Dakota for its supplemental retirement saving plan (SRP). In South Dakota, state and local government employees, including teachers, are covered by a defined benefit pension plan and by Social Security. Prior to the introduction of automatic enrollment, the proportion of newly hired employees who were contributing to the SRP was less than 5% in their first year of employment. After the introduction of automatic enrollment, over 90% of newly hired workers who were auto-enrolled were participating in the plan. Using a difference-in-difference approach we find that automatic enrollment changes differences in the participation rate by age, sex, and income. We also find that prior to the adoption of auto-enrollment, agencies that ultimately chose to implement this policy had higher participation rates compared to those that did not adopt auto-enrollment.

  PublisherDOI

Frequent coauthors

• Peter Christoffersen

  University of Toronto

  13 shared

• Robert L. Clark

  7 shared

• William J. McCausland

  Université de Montréal

  5 shared

• Lynda Khalaf

  4 shared

• Jean‐Daniel Saphores

  Irvine University

  4 shared

• Barry K. Goodwin

  North Carolina State University

  4 shared

• Jean‐Marie Dufour

  4 shared

• Jeremy Berkowitz

  4 shared

Education

• Ph.D., Business Administration

  University of North Carolina at Chapel Hill

  2001

• M.S., Business Administration

  University of North Carolina at Chapel Hill

  1997

• B.S., Business Administration

  University of North Carolina at Chapel Hill

  1995