Arnaud Dufays
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Arnaud |
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Dufays |
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Groupe EDHEC (École de Hautes Études Commerciales du Nord)
/ Département Comptabilité, Droit, Finance et Économie
Research profile
author of:
- Marginal Likelihood for Markov-switching and Change-point Garch Models (RePEc:aah:create:2011-41)
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts - Selective linear segmentation for detecting relevant parameter changes (RePEc:arx:papers:2402.05329)
by Arnaud Dufays & Aristide Houndetoungan & Alain Coen - Modeling time-varying parameters using artificial neural networks: a GARCH illustration (RePEc:bpj:sndecm:v:25:y:2021:i:5:p:311-343:n:5)
by Donfack Morvan Nongni & Dufays Arnaud - Marginal Likelihood for Markov-Switching and Change-Point Garch Models (RePEc:cir:cirwor:2011s-72)
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts - Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:cor:louvco:2011013)
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K. - Estimating and forecasting structural breaks in financial time series (RePEc:cor:louvco:2011055)
by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno - Commodities volatility and the theory of storage (RePEc:cor:louvco:2012037)
by CARPANTIER, Jean-François & DUFAYS, Arnaud - Infinite-state Markov-switching for dynamic volatility and correlation models (RePEc:cor:louvco:2012043)
by DUFAYS, Arnaud - Specific Markov-switching behaviour for ARMA parameters (RePEc:cor:louvco:2014014)
by CARPANTIER, Jean-François & DUFAYS, Arnaud - Autoregressive moving average infinite hidden markov-switching models (RePEc:cor:louvco:2015007)
by Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud - Sparse Change-Point Time Series Models (RePEc:cor:louvco:2015032)
by Dufays, A. & Rombouts, V. - A New Approach to Volatility Modeling : The High-Dimensional Markov Model (RePEc:cor:louvco:2016042)
by AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud - Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:cor:louvrp:2533)
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K. - A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models (RePEc:cor:louvrp:2641)
by BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud - Autoregressive moving average infinite hidden Markov-switching models (RePEc:cor:louvrp:2836)
by Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS - A new approach: the factorial hidden Markov volatility model (RePEc:cor:louvrp:3066)
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays - Peer-induced beliefs regarding college participation (RePEc:eee:ecoedu:v:90:y:2022:i:c:s0272775722000802)
by Boucher, Vincent & Dedewanou, F. Antoine & Dufays, Arnaud - Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space (RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126)
by Augustyniak, Maciej & Dufays, Arnaud - Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:eee:econom:v:178:y:2014:i:p3:p:508-522)
by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K. - Relevant parameter changes in structural break models (RePEc:eee:econom:v:217:y:2020:i:1:p:46-78)
by Dufays, Arnaud & Rombouts, Jeroen V.K. - A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models (RePEc:eee:empfin:v:29:y:2014:i:c:p:207-229)
by Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud - Evolutionary Sequential Monte Carlo Samplers for Change-Point Models (RePEc:gam:jecnmx:v:4:y:2016:i:1:p:12-:d:65253)
by Arnaud Dufays - Autoregressive Moving Average Infinite Hidden Markov-Switching Models (RePEc:hal:journl:hal-01795051)
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays - Specific Markov-switching behaviour for ARMA parameters (RePEc:hal:wpaper:hal-01821134)
by Jean-François Carpantier & Arnaud Dufays - Commodities Inventory Effect (RePEc:hal:wpaper:hal-01821144)
by Jean-François Carpantier & Arnaud Dufays - Commodities volatility and the theory of storage (RePEc:hal:wpaper:hal-01821149)
by Jean-François Carpantier & Arnaud Dufays - Commodities Inventory Effect (RePEc:luc:wpaper:13-07)
by Jean-François Carpantier & Arnaud Dufays - Evolutionary Sequential Monte Carlo Samplers for Change-point Models (RePEc:lvl:crrecr:1508)
by Arnaud Dufays - Sparse Change-point HAR Models for Realized Variance (RePEc:lvl:crrecr:1607)
by Arnaud Dufays & Jeroen V.K. Rombouts - A new approach to volatility modeling: the High-Dimensional Markov model (RePEc:lvl:crrecr:1609)
by Arnaud Dufays & Maciej Augustyniak & Luc Bauwens - Peer-Induced Beliefs Regarding College Participation (RePEc:lvl:crrecr:1817)
by Vincent Boucher & Finagnon A. Dedewanou & Arnaud Dufays - Marginal Likelihood for Markov-Switching and Change-Point GARCH Models (RePEc:lvl:lacicr:1138)
by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts - Evolutionary Sequential Monte Carlo Samplers for Change-point Models (RePEc:lvl:lacicr:1518)
by Arnaud Dufays - On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers (RePEc:nbb:reswpp:201409-263)
by Arnaud Dufays - Infinite-State Markov-Switching for Dynamic Volatility (RePEc:oup:jfinec:v:14:y:2016:i:2:p:418-460.)
by Arnaud Dufays - Selective Linear Segmentation for Detecting Relevant Parameter Changes
[Risks and Portfolio Decisions Involving Hedge Funds] (RePEc:oup:jfinec:v:20:y:2022:i:4:p:762-805.)
by Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën - Linking Frequentist and Bayesian Change-Point Methods (RePEc:pra:mprapa:119486)
by Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos - Sparse Change-point HAR Models for Realized Variance (RePEc:taf:emetrv:v:38:y:2019:i:8:p:857-880)
by Arnaud Dufays & Jeroen V. K. Rombouts - Autoregressive Moving Average Infinite Hidden Markov-Switching Models (RePEc:taf:jnlbes:v:35:y:2017:i:2:p:162-182)
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays - A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model (RePEc:taf:jnlbes:v:37:y:2019:i:4:p:696-709)
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays - Sparse change‐point VAR models (RePEc:wly:japmet:v:36:y:2021:i:6:p:703-727)
by Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song