Arnaud Dufays : Citation Profile


Are you Arnaud Dufays?

Université Laval

6

H index

5

i10 index

100

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

RESEARCH ACTIVITY:

   9 years (2011 - 2020). See details.
   Cites by year: 11
   Journals where Arnaud Dufays has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 16 (13.79 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu388
   Updated: 2021-10-16    RAS profile: 2020-07-13    
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Relations with other researchers


Works with:

Bauwens, Luc (7)

Carpantier, Jean-François (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Arnaud Dufays.

Is cited by:

Maheu, John (16)

Billio, Monica (9)

YANG, QIAO (6)

Jin, Xin (4)

Casarin, Roberto (4)

Manera, Matteo (4)

Gatfaoui, Hayette (4)

Caporale, Guglielmo Maria (3)

Stentoft, Lars (3)

Carpantier, Jean-François (3)

Jensen, Mark (3)

Cites to:

Bauwens, Luc (24)

Koop, Gary (13)

Calvet, Laurent (11)

Rombouts, Jeroen (10)

Maheu, John (9)

Korobilis, Dimitris (9)

Engle, Robert (8)

Schorfheide, Frank (7)

Teräsvirta, Timo (7)

Bollerslev, Tim (7)

Song, Yong (6)

Main data


Where Arnaud Dufays has published?


Journals with more than one article published# docs
Journal of Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL3

Recent works citing Arnaud Dufays (2021 and 2020)


YearTitle of citing document
2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2020Bayesian analysis of periodic asymmetric power GARCH models. (2020). Nacer, Demmouche ; Abdelhakim, Aknouche ; Nassim, Touche ; Stefanos, Dimitrakopoulos. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:24:n:5.

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2021Disagreement on sunspots and soybeans futures price. (2021). Yu, Xiaohua ; Feil, Jan-Henning ; Wang, Hanjie. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2021Sequential Monte-Carlo algorithms for Bayesian model calibration – A review and method comparison?. (2021). Hartig, Florian ; Dormann, Carsten F ; Speich, Matthias. In: Ecological Modelling. RePEc:eee:ecomod:v:455:y:2021:i:c:s0304380021001708.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020Non-linearities, cyber attacks and cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319309377.

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2020A Bayesian quantile time series model for asset returns. (2020). Mitrodima, Gelly ; Griffin, Jim E. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105610.

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2021Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index. (2021). Moroke, Ntebogang ; Makatjane, Katleho. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:2:p:18-:d:523945.

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2020A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization. (2020). Mba, Jules Clement ; Mwambi, Sutene. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00346-4.

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2020Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations. (2020). Younas, Zahid Irshad ; Meloni, Mirko ; Jeleskovic, Vahidin . In: MAGKS Papers on Economics. RePEc:mar:magkse:202034.

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2021Testing for the Number of Regimes in Financial Time Series GARCH Volatility. (2021). Tahiri, Abdellah ; Mamode, Naushad Ali ; Bouzahir, Hassane ; Benaid, Brahim. In: International Journal of Applied Economics, Finance and Accounting. RePEc:oap:ijaefa:2021:p:82-94.

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2021Cryptocurrencies value?at?risk and expected shortfall: Do regime?switching volatility models improve forecasting?. (2021). MacIel, Leandro. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4840-4855.

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Works by Arnaud Dufays:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper33
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 33
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 33
paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 33
article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 33
paper
2011Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE.
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paper1
2012Commodities volatility and the theory of storage In: LIDAM Discussion Papers CORE.
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paper1
2012Commodities volatility and the theory of storage.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2012Infinite-state Markov-switching for dynamic volatility and correlation models In: LIDAM Discussion Papers CORE.
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paper12
2014Specific Markov-switching behaviour for ARMA parameters In: LIDAM Discussion Papers CORE.
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paper4
2014Specific Markov-switching behaviour for ARMA parameters.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
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paper13
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 13
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 13
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 13
article
2015Sparse Change-Point Time Series Models In: LIDAM Discussion Papers CORE.
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paper0
2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE.
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2016A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 0
paper
2019A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE.
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paper1
2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space In: Economics Letters.
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article0
2020Relevant parameter changes in structural break models In: Journal of Econometrics.
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article0
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models In: Journal of Empirical Finance.
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article16
2016Evolutionary Sequential Monte Carlo Samplers for Change-Point Models In: Econometrics.
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article1
2015Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2015Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2013Commodities Inventory Effect In: Working Papers.
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paper11
2013Commodities Inventory Effect.(2013) In: DEM Discussion Paper Series.
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This paper has another version. Agregated cites: 11
paper
2016Sparse Change-point HAR Models for Realized Variance In: Cahiers de recherche.
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paper0
2019Sparse Change-point HAR Models for Realized Variance.(2019) In: Econometric Reviews.
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This paper has another version. Agregated cites: 0
article
2018Peer-Induced Beliefs Regarding College Participation In: Cahiers de recherche.
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paper0
2014On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers In: Working Paper Research.
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paper0
2016Infinite-State Markov-Switching for Dynamic Volatility In: Journal of Financial Econometrics.
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article6
2019A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics.
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article1

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