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
742014
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
742014
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
352014
Commodities inventory effect
JF Carpantier, A Dufays
252013
Autoregressive moving average infinite hidden Markov-switching models
L Bauwens, JF Carpantier, A Dufays
Journal of Business & Economic Statistics 35 (2), 162-182, 2017
222017
Infinite-state Markov-switching for dynamic volatility
A Dufays
Jnl of Financial Econometrics 14 (2), 418-460, 2016
192016
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
102012
Estimating and forecasting structural breaks in financial time series
L Bauwens, B De Backer, A Dufays
CORE, 2011
102011
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
62019
Evolutionary sequential Monte Carlo samplers for change-point models
A Dufays
Econometrics 4 (1), 12, 2016
42016
Frequentist and Bayesian Change-Point Models: A Missing Link
D Ardia, A Dufays, CO Criado
Available at SSRN 3499824, 2019
12019
Sparse Change-point HAR Models for Realized Variance
A Dufays, JVK Rombouts
Econometric Reviews 38 (8), 857-880, 2019
12019
Sparse Change-point VAR models
A Dufays, L Zhuo, J Rombouts, Y Song
Available at SSRN, 2019
12019
A new approach to volatility modeling: the high-dimensional Markov model
M Augustyniak, A Dufays, L Bauwens
CRREP working serie 9, 2016
12016
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
Relevant parameter changes in structural break models
A Dufays, JVK Rombouts
Journal of Econometrics, 2019
2019
Selective linear segmentation for detecting relevant parameter changes
A Dufays, H Aristide, A Coen
Alain, Selective linear segmentation for detecting relevant parameterá…, 2019
2019
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