Details about Arnaud Dufays

Access statistics for papers by Arnaud Dufays.

Last updated 2018-05-28. Update your information in the RePEc Author Service.

Short-id: pdu388

Working Papers

2017

1. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Post-Print, HAL View citations (6)
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (7)
   See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

2. A New Approach to Volatility Modeling: The High-Dimensional Markov Model
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2016) View citations (1)
3. Sparse Change-point HAR Models for Realized Variance
   Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques

2015

4. Evolutionary Sequential Monte Carlo Samplers for Change-point Models
   Cahiers de recherche, CIRPEE View citations (1)
   Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2015)
   See also Journal Article in Econometrics (2016)
5. Sparse Change-Point Time Series Models
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

2014

6. On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
   Working Paper Research, National Bank of Belgium View citations (1)
7. Specific Markov-switching behaviour for ARMA parameters
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)

2013

8. Commodities Inventory Effect
   CREA Discussion Paper Series, Center for Research in Economic Analysis, University of Luxembourg

2012

9. Commodities volatility and the theory of storage
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
10. Infinite-state Markov-switching for dynamic volatility and correlation models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)

2011

11. Estimating and forecasting structural breaks in financial time series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
12. Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    Cahiers de recherche, CIRPEE View citations (3)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (16)
    See also Journal Article in Journal of Econometrics (2014)

Journal Articles

2017

1. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 View citations (6)
   See also Working Paper (2017)

2016

2. Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
   Econometrics, 2016, 4, (1), 1-33
   See also Working Paper (2015)
3. Infinite-State Markov-Switching for Dynamic Volatility
   Journal of Financial Econometrics, 2016, 14, (2), 418-460 View citations (2)

2014

4. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
   Journal of Empirical Finance, 2014, 29, (C), 207-229 View citations (9)
5. Marginal likelihood for Markov-switching and change-point GARCH models
   Journal of Econometrics, 2014, 178, (P3), 508-522 View citations (22)
   See also Working Paper (2011)