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Arnaud Dufays
Arnaud Dufays
EDHEC Business school
Geverifieerd e-mailadres voor ecn.ulaval.ca
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Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
1242014
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
1242014
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
692014
Commodities inventory effect
JF Carpantier, A Dufays
332013
Infinite-state Markov-switching for dynamic volatility
A Dufays
Jnl of Financial Econometrics 14 (2), 418-460, 2016
312016
Autoregressive moving average infinite hidden Markov-switching models
L Bauwens, JF Carpantier, A Dufays
Journal of Business & Economic Statistics 35 (2), 162-182, 2017
292017
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
182019
Infinite-state Markov-switching for dynamic volatility and correlation models
A Dufays
CORE DP 2012 43, 2012
152012
Commodities volatility and the theory of storage
JF Carpantier, A Dufays
CORE Discussion Paper 2012/37, 2012
152012
Estimating and forecasting structural breaks in financial time series
L Bauwens, B De Backer, A Dufays
CORE, 2011
152011
Evolutionary sequential monte carlo samplers for change-point models
A Dufays
Econometrics 4 (1), 12, 2016
102016
Relevant parameter changes in structural break models
A Dufays, JVK Rombouts
Journal of econometrics 217 (1), 46-78, 2020
82020
Sparse change‐point VAR models
A Dufays, Z Li, JVK Rombouts, Y Song
Journal of Applied Econometrics 36 (6), 703-727, 2021
62021
Sparse change-point HAR models for realized variance
A Dufays, JVK Rombouts
Econometric Reviews, 2018
62018
Peer-induced beliefs regarding college participation
V Boucher, FA Dedewanou, A Dufays
CRREP working paper serie 2018-17, 2018
52018
Peer-induced beliefs regarding college participation
V Boucher, FA Dedewanou, A Dufays
Economics of Education Review 90, 102307, 2022
42022
Frequentist and bayesian change-point models: A missing link
D Ardia, A Dufays, CO Criado
SSRN Electron. J, 2019
42019
Fast filtering with large option panels: Implications for asset pricing
A Dufays, K Jacobs, Y Liu, J Rombouts
Journal of Financial and Quantitative Analysis, 1-32, 2023
32023
Selective linear segmentation for detecting relevant parameter changes
A Dufays, EA Houndetoungan, A Coën
Journal of Financial Econometrics 20 (4), 762-805, 2022
22022
Modeling time-varying parameters using artificial neural networks: a GARCH illustration
MN Donfack, A Dufays
Studies in Nonlinear Dynamics & Econometrics 25 (5), 311-343, 2021
22021
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Artikelen 1–20