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Dufays, Arnaud
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1

Linking Frequentist and Bayesian Change-Point Methods:

Ardia, David ; Dufays, Arnaud ; Ordás Criado, Carlos
Journal of Business & Economic Statistics.  , 2024
Link: https://doi.org/10.1080/..
 
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2

Fast Filtering with Large Option Panels: Implications for A..:

Dufays, Arnaud ; Jacobs, Kris ; Liu, Yuguo.
Journal of Financial and Quantitative Analysis.  , 2023
Link: https://doi.org/10.1017/..
 
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3

Peer-induced beliefs regarding college participation:

Boucher, Vincent ; Dedewanou, F. Antoine ; Dufays, Arnaud
Economics of Education Review.  90 (2022)  - p. 102307 , 2022
Link: https://doi.org/10.1016/..
 
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4

Sparse change‐point VAR models:

Dufays, Arnaud ; Li, Zhuo ; Rombouts, Jeroen V.K..
Journal of Applied Econometrics.  36 (2021)  6 - p. 703-727 , 2021
Link: https://doi.org/10.1002/..
 
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5

Modeling time-varying parameters using artificial neural ne..:

Donfack, Morvan Nongni ; Dufays, Arnaud
Studies in Nonlinear Dynamics & Econometrics.  25 (2020)  5 - p. 311-343 , 2020
Link: https://doi.org/10.1515/..
 
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6

Relevant parameter changes in structural break models:

Dufays, Arnaud ; Rombouts, Jeroen V.K.
Journal of Econometrics.  217 (2020)  1 - p. 46-78 , 2020
Link: https://doi.org/10.1016/..
 
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7

Selective Linear Segmentation for Detecting Relevant Parame..:

Dufays, Arnaud ; Houndetoungan, Elysee Aristide ; Coën, Alain
Journal of Financial Econometrics.  20 (2020)  4 - p. 762-805 , 2020
Link: https://doi.org/10.1093/..
 
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8

A New Approach to Volatility Modeling: The Factorial Hidden..:

Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud
Journal of Business & Economic Statistics.  37 (2018)  4 - p. 696-709 , 2018
Link: https://doi.org/10.1080/..
 
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9

Sparse Change-point HAR Models for Realized Variance:

Dufays, Arnaud ; Rombouts, Jeroen V. K.
Econometric Reviews.  38 (2018)  8 - p. 857-880 , 2018
Link: https://doi.org/10.1080/..
 
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10

Modeling macroeconomic series with regime-switching models ..:

Augustyniak, Maciej ; Dufays, Arnaud
Economics Letters.  170 (2018)  - p. 122-126 , 2018
Link: https://doi.org/10.1016/..
 
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11

Autoregressive moving average infinite hidden Markov-switch..:

, In: Journal of business & economic statistics
Bauwens, Luc ; Dufays, Arnaud ; Carpantier, Jean-François. (2017)  2 - p. 162-182
Copies: Zentrale;
 
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12

Autoregressive Moving Average Infinite Hidden Markov-Switch..:

Bauwens, Luc ; Carpantier, Jean-François ; Dufays, Arnaud
Journal of Business & Economic Statistics.  35 (2017)  2 - p. 162-182 , 2017
Link: https://doi.org/10.1080/..
 
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13

Autoregressive Moving Average Infinite Hidden Markov-Switch..:

Bauwens, Luc ; Carpantier, Jean-François ; Dufays, Arnaud
Journal of Business & Economic Statistics.  35 (2017)  2 - p. 162-182 , 2017
Link: https://www.jstor.org/st..
 
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14

Evolutionary Sequential Monte Carlo Samplers for Change-Poi..:

Dufays, Arnaud
Econometrics.  4 (2016)  1 - p. 12 , 2016
Link: https://doi.org/10.3390/..
 
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15

Infinite-State Markov-Switching for Dynamic Volatility:

Dufays, Arnaud
Journal of Financial Econometrics.  14 (2015)  2 - p. 418-460 , 2015
Link: https://doi.org/10.1093/..
 
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