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
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Working Papers
2019
- 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
- Peer-Induced Beliefs Regarding College Participation
Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques
2017
- 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
- 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)
- 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
- 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)
- 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
- On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
Working Paper Research, National Bank of Belgium View citations (1)
- 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
- 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
- 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)
- 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
- 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)
- 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
- Relevant parameter changes in structural break models
Journal of Econometrics, 2020, 217, (1), 46-78 View citations (2)
2019
- 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)
- Sparse Change-point HAR Models for Realized Variance
Econometric Reviews, 2019, 38, (8), 857-880 View citations (1)
See also Working Paper (2016)
2018
- Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Economics Letters, 2018, 170, (C), 122-126
2017
- 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
- Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
Econometrics, 2016, 4, (1), 1-33 View citations (2)
See also Working Paper (2015)
- Infinite-State Markov-Switching for Dynamic Volatility
Journal of Financial Econometrics, 2016, 14, (2), 418-460 View citations (7)
2014
- 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)
- 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)
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