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Details about Arnaud Dufays

Homepage:https://sites.google.com/site/websiteofarnauddufays/
Workplace:Département d'Économique (Department of Economics), Université Laval (Laval University), (more information at EDIRC)

Access statistics for papers by Arnaud Dufays.

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

Short-id: pdu388


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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) Downloads View citations (7)

    See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

  1. 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) Downloads
    Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2016) Downloads View citations (1)
  2. Sparse Change-point HAR Models for Realized Variance
    Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques Downloads

2015

  1. Evolutionary Sequential Monte Carlo Samplers for Change-point Models
    Cahiers de recherche, CIRPEE Downloads View citations (1)
    Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2015) Downloads

    See also Journal Article in Econometrics (2016)
  2. Sparse Change-Point Time Series Models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)

2014

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

2013

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

2012

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

2011

  1. Estimating and forecasting structural breaks in financial time series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)
  2. Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (3)
    Also in CIRANO Working Papers, CIRANO (2011) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads 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 Downloads View citations (6)
    See also Working Paper (2017)

2016

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

2014

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