Arnaud Dufays : Citation Profile


Are you Arnaud Dufays?

Université Laval

5

H index

3

i10 index

80

Citations

RESEARCH PRODUCTION:

5

Articles

18

Papers

RESEARCH ACTIVITY:

   6 years (2011 - 2017). See details.
   Cites by year: 13
   Journals where Arnaud Dufays has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 14 (14.89 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu388
   Updated: 2020-05-16    RAS profile: 2018-05-28    
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Relations with other researchers


Works with:

Bauwens, Luc (6)

Carpantier, Jean-François (5)

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 (18)

Billio, Monica (8)

YANG, QIAO (6)

Manera, Matteo (4)

Casarin, Roberto (4)

Jin, Xin (4)

Gatfaoui, Hayette (3)

Ardia, David (3)

Carpantier, Jean-François (3)

Fisher, Mark (3)

Jensen, Mark (3)

Cites to:

Bauwens, Luc (19)

Engle, Robert (12)

Rombouts, Jeroen (11)

Teräsvirta, Timo (10)

Bollerslev, Tim (9)

Calvet, Laurent (9)

Jagannathan, Ravi (6)

Maheu, John (6)

Haas, Markus (5)

Laurent, Sébastien (5)

Song, Yong (4)

Main data


Where Arnaud Dufays has published?


Recent works citing Arnaud Dufays (2018 and 2017)


YearTitle of citing document
2019Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350.

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2019A changepoint approach for the identification of financial extreme regimes. (2019). Leonelli, Manuele ; Lattanzi, Chiara. In: Papers. RePEc:arx:papers:1902.09205.

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

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2019Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection. (2019). Gonzalez, Gustavo Cabrera. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:203-219.

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2019Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach. (2019). Nonejad, Nima. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9835-4.

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2019A High-dimensional Multinomial Choice Model. (2019). Nibbering, Didier . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-19.

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2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series. (2017). Song, Yong ; Maheu, John. In: MPRA Paper. RePEc:pra:mprapa:79211.

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2018Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682.

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2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

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2018Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Aknouche, Abdelhakim ; Touche, Nassim ; Demmouche, Nacer. In: MPRA Paper. RePEc:pra:mprapa:91136.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: Working Paper series. RePEc:rim:rimwps:18-12.

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2018Markov-Switching Linked Autoregressive Model for Non-continuous Wind Direction Data. (2018). Zhan, Xiaoping ; Shimizu, Kunio ; Liu, Shuangzhe ; Ma, Tiefeng. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:23:y:2018:i:3:d:10.1007_s13253-018-0331-z.

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2017A Bayesian Infinite Hidden Markov Vector Autoregressive Model. (2017). van der Wel, Michel ; Nibbering, Didier ; Paap, Richard. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160107.

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2019The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series, Department of Economics, University of Utah. RePEc:uta:papers:2019_06.

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2019The multivariate simultaneous unobserved components model and identification via heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series. RePEc:uts:ecowps:2019/08.

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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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paper27
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: 27
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 27
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: 27
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: 27
paper
2011Estimating and forecasting structural breaks in financial time series In: CORE Discussion Papers.
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paper1
2012Commodities volatility and the theory of storage In: CORE Discussion Papers.
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paper1
2012Infinite-state Markov-switching for dynamic volatility and correlation models In: CORE Discussion Papers.
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paper14
2014Specific Markov-switching behaviour for ARMA parameters In: CORE Discussion Papers.
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paper4
2015Autoregressive moving average infinite hidden markov-switching models In: CORE Discussion Papers.
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paper11
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 11
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: 11
article
2015Sparse Change-Point Time Series Models In: CORE Discussion Papers.
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paper0
2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: CORE Discussion Papers.
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paper1
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: 1
paper
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models In: Journal of Empirical Finance.
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article9
2016Evolutionary Sequential Monte Carlo Samplers for Change-Point Models In: Econometrics.
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article0
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: 0
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: 0
paper
2013Commodities Inventory Effect In: CREA Discussion Paper Series.
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paper9
2016Sparse Change-point HAR Models for Realized Variance 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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2016Infinite-State Markov-Switching for Dynamic Volatility In: Journal of Financial Econometrics.
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article3

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