Details about Arnaud Dufays

Access statistics for papers by Arnaud Dufays.

Last updated 2020-07-13. Update your information in the RePEc Author Service.

Short-id: pdu388

Working Papers

2019

1. 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 (1)

2018

2. Peer-Induced Beliefs Regarding College Participation
   Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques

2017

3. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Post-Print, HAL View citations (11)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (10)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (8)
   See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

4. 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)
5. 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 in Econometric Reviews (2019)

2015

6. 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)
7. 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

8. On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
   Working Paper Research, National Bank of Belgium View citations (1)
9. Specific Markov-switching behaviour for ARMA parameters
   Working Papers, HAL
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (4)

2013

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

2012

11. Commodities volatility and the theory of storage
    Working Papers, HAL View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) View citations (3)
12. 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 (16)

2011

13. 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)
14. Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    Cahiers de recherche, CIRPEE View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (17)
    CIRANO Working Papers, CIRANO (2011) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (3)
    See also Journal Article in Journal of Econometrics (2014)

Journal Articles

2020

1. Relevant parameter changes in structural break models
   Journal of Econometrics, 2020, 217, (1), 46-78 View citations (2)

2019

2. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
   Journal of Business & Economic Statistics, 2019, 37, (4), 696-709 View citations (2)
3. Sparse Change-point HAR Models for Realized Variance
   Econometric Reviews, 2019, 38, (8), 857-880 View citations (1)
   See also Working Paper (2016)

2018

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

2017

5. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 View citations (10)
   See also Working Paper (2017)

2016

6. Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
   Econometrics, 2016, 4, (1), 1-33 View citations (2)
   See also Working Paper (2015)
7. Infinite-State Markov-Switching for Dynamic Volatility
   Journal of Financial Econometrics, 2016, 14, (2), 418-460 View citations (7)

2014

8. 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 (16)
9. Marginal likelihood for Markov-switching and change-point GARCH models
   Journal of Econometrics, 2014, 178, (P3), 508-522 View citations (31)
   See also Working Paper (2011)