Arnaud Dufays
Arnaud Dufays
Researcher at Namur University
Verified email at ecn.ulaval.ca
Title
Cited by
Cited by
Year
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
842014
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
842014
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
L Bauwens, B De Backer, A Dufays
Journal of Empirical Finance 29, 207-229, 2014
392014
Commodities inventory effect
JF Carpantier, A Dufays
282013
Autoregressive moving average infinite hidden Markov-switching models
L Bauwens, JF Carpantier, A Dufays
Journal of Business & Economic Statistics 35 (2), 162-182, 2017
242017
Infinite-state Markov-switching for dynamic volatility
A Dufays
Jnl of Financial Econometrics 14 (2), 418-460, 2016
222016
Infinite-state Markov-switching for dynamic volatility and correlation models
A Dufays
CORE DP 2012 43, 2012
132012
Commodities volatility and the theory of storage
JF Carpantier, A Dufays
CORE Discussion Paper 2012/37, 2012
122012
A new approach to volatility modeling: the factorial hidden Markov volatility model
M Augustyniak, L Bauwens, A Dufays
Journal of Business & Economic Statistics 37 (4), 696-709, 2019
112019
Estimating and forecasting structural breaks in financial time series
L Bauwens, B De Backer, A Dufays
CORE, 2011
112011
Evolutionary sequential Monte Carlo samplers for change-point models
A Dufays
Econometrics 4 (1), 12, 2016
52016
Sparse change-point HAR models for realized variance
A Dufays, JVK Rombouts
Econometric Reviews, 2018
32018
Relevant parameter changes in structural break models
A Dufays, JVK Rombouts
Journal of Econometrics 217 (1), 46-78, 2020
22020
Peer-Induced Beliefs Regarding College Participation
V Boucher, FA Dedewanou, A Dufays
CRREP working paper serie 2018-17, 2018
22018
Frequentist and Bayesian change-point models: A missing link
D Ardia, A Dufays, CO Criado
Available at SSRN 3499824, 2019
12019
Sparse Change-Point VAR models
A Dufays, L Zhuo, J Rombouts, Y Song
Available at SSRN 3461692, 2019
12019
Sparse change-point time series models
A Dufays, J Rombouts
CORE Discussion Papers, 2015
12015
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
A Dufays
National Bank of Belgium Working Paper, 2014
12014
Specific Markov-switching behaviour for ARMA parameters
JF Carpantier, A Dufays
CORE Discussion Paper 2014/14, 2014
12014
Modeling time-varying parameters using artificial neural networks: a GARCH illustration
MN Donfack, A Dufays
Studies in Nonlinear Dynamics & Econometrics 1 (ahead-of-print), 2020
2020
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Articles 1–20