Details about Arnaud Dufays

Access statistics for papers by Arnaud Dufays.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pdu388

Working Papers

2024

1. Selective linear segmentation for detecting relevant parameter changes
   Papers, arXiv.org
   See also Journal Article Selective Linear Segmentation for Detecting Relevant Parameter Changes*, Journal of Financial Econometrics, Oxford University Press (2022) View citations (3) (2022)

2023

2. Linking Frequentist and Bayesian Change-Point Methods
   MPRA Paper, University Library of Munich, Germany

2019

3. A new approach: the factorial hidden Markov volatility model
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

2018

4. Peer-Induced Beliefs Regarding College Participation
   Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques View citations (1)
   See also Journal Article Peer-induced beliefs regarding college participation, Economics of Education Review, Elsevier (2022) View citations (1) (2022)

2017

5. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Post-Print, HAL View citations (14)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (16)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (8)
   See also Journal Article Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (16) (2017)

2016

6. A New Approach to Volatility Modeling: The High-Dimensional Markov Model
   LIDAM Discussion Papers CORE, 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)
7. Sparse Change-point HAR Models for Realized Variance
   Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques
   See also Journal Article Sparse Change-point HAR Models for Realized Variance, Econometric Reviews, Taylor & Francis Journals (2019) View citations (1) (2019)

2015

8. 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 Evolutionary Sequential Monte Carlo Samplers for Change-Point Models, Econometrics, MDPI (2016) View citations (3) (2016)
9. Sparse Change-Point Time Series Models
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

2014

10. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
    See also Journal Article A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models, Journal of Empirical Finance, Elsevier (2014) View citations (23) (2014)
11. Marginal likelihood for Markov-switching and change-point GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (29)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (17)
    Cahiers de recherche, CIRPEE (2011) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (6)
    CIRANO Working Papers, CIRANO (2011) View citations (8)
    See also Journal Article Marginal likelihood for Markov-switching and change-point GARCH models, Journal of Econometrics, Elsevier (2014) View citations (38) (2014)
12. On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
    Working Paper Research, National Bank of Belgium View citations (1)
13. Specific Markov-switching behaviour for ARMA parameters
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in Working Papers, HAL (2014) View citations (4)

2013

14. Commodities Inventory Effect
    DEM Discussion Paper Series, Department of Economics at the University of Luxembourg View citations (1)
    Also in Working Papers, HAL (2013) View citations (1)

2012

15. Commodities volatility and the theory of storage
    Working Papers, HAL View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) View citations (5)
16. Infinite-state Markov-switching for dynamic volatility and correlation models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)

2011

17. Estimating and forecasting structural breaks in financial time series
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)

Journal Articles

2022

1. Peer-induced beliefs regarding college participation
   Economics of Education Review, 2022, 90, (C) View citations (1)
   See also Working Paper Peer-Induced Beliefs Regarding College Participation, Cahiers de recherche (2018) View citations (1) (2018)
2. Selective Linear Segmentation for Detecting Relevant Parameter Changes*
   (Risks and Portfolio Decisions Involving Hedge Funds)
   Journal of Financial Econometrics, 2022, 20, (4), 762-805 View citations (3)
   See also Working Paper Selective linear segmentation for detecting relevant parameter changes, Papers (2024) (2024)

2021

3. Modeling time-varying parameters using artificial neural networks: a GARCH illustration
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 311-343
4. Sparse change‐point VAR models
   Journal of Applied Econometrics, 2021, 36, (6), 703-727 View citations (1)

2020

5. Relevant parameter changes in structural break models
   Journal of Econometrics, 2020, 217, (1), 46-78 View citations (6)

2019

6. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
   Journal of Business & Economic Statistics, 2019, 37, (4), 696-709 View citations (10)
7. Sparse Change-point HAR Models for Realized Variance
   Econometric Reviews, 2019, 38, (8), 857-880 View citations (1)
   See also Working Paper Sparse Change-point HAR Models for Realized Variance, Cahiers de recherche (2016) (2016)

2018

8. Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
   Economics Letters, 2018, 170, (C), 122-126

2017

9. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 View citations (16)
   See also Working Paper Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Post-Print (2017) View citations (14) (2017)

2016

10. Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
    Econometrics, 2016, 4, (1), 1-33 View citations (3)
    See also Working Paper Evolutionary Sequential Monte Carlo Samplers for Change-point Models, Cahiers de recherche (2015) View citations (1) (2015)
11. Infinite-State Markov-Switching for Dynamic Volatility
    Journal of Financial Econometrics, 2016, 14, (2), 418-460 View citations (15)

2014

12. 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 (23)
    See also Working Paper A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models, LIDAM Reprints CORE (2014) View citations (21) (2014)
13. Marginal likelihood for Markov-switching and change-point GARCH models
    Journal of Econometrics, 2014, 178, (P3), 508-522 View citations (38)
    See also Working Paper Marginal likelihood for Markov-switching and change-point GARCH models, LIDAM Reprints CORE (2014) View citations (29) (2014)