6
H index
6
i10 index
148
Citations
Université Laval | 6 H index 6 i10 index 148 Citations RESEARCH PRODUCTION: 9 Articles 24 Papers RESEARCH ACTIVITY: 9 years (2011 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pdu388 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Arnaud Dufays. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 2 |
Journal of Business & Economic Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / HAL | 3 |
Year | Title of citing document |
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2024 | Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761. Full description at Econpapers || Download paper |
2023 | Can desegregation close the racial gap in high school coursework?. (2022). Sethi, Ritika. In: Papers. RePEc:arx:papers:2208.12321. Full description at Econpapers || Download paper |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
2023 | Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
2023 | A High-dimensional Multinomial Logit Model. (2023). Nibbering, Didier. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-19. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2011 | Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 46 |
2011 | Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2011 | Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
2011 | Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2011 | Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2012 | Commodities volatility and the theory of storage In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
2012 | Commodities volatility and the theory of storage.(2012) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2012 | Infinite-state Markov-switching for dynamic volatility and correlation models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
2014 | Specific Markov-switching behaviour for ARMA parameters In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
2014 | Specific Markov-switching behaviour for ARMA parameters.(2014) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2015 | Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
2017 | Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2015 | Sparse Change-Point Time Series Models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2016 | A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2016 | A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2019 | A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE. [Citation analysis] | paper | 2 |
2018 | Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2020 | Relevant parameter changes in structural break models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
2014 | A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 20 |
2016 | Evolutionary Sequential Monte Carlo Samplers for Change-Point Models In: Econometrics. [Full Text][Citation analysis] | article | 1 |
2015 | Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2015 | Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2013 | Commodities Inventory Effect In: Working Papers. [Citation analysis] | paper | 11 |
2013 | Commodities Inventory Effect.(2013) In: DEM Discussion Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2016 | Sparse Change-point HAR Models for Realized Variance In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 1 |
2019 | Sparse Change-point HAR Models for Realized Variance.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2018 | Peer-Induced Beliefs Regarding College Participation In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 1 |
2014 | On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers In: Working Paper Research. [Full Text][Citation analysis] | paper | 0 |
2016 | Infinite-State Markov-Switching for Dynamic Volatility In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 11 |
2019 | A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team