Arnaud Dufays : Citation Profile


Are you Arnaud Dufays?

Université Laval

6

H index

6

i10 index

145

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

RESEARCH ACTIVITY:

   9 years (2011 - 2020). See details.
   Cites by year: 16
   Journals where Arnaud Dufays has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 16 (9.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu388
   Updated: 2024-01-16    RAS profile: 2020-07-13    
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Relations with other researchers


Works with:

Bauwens, Luc (2)

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 (23)

Billio, Monica (9)

YANG, QIAO (6)

Osuntuyi, Ayokunle (4)

Manera, Matteo (4)

Gatfaoui, Hayette (4)

Casarin, Roberto (4)

Jin, Xin (4)

Carpantier, Jean-François (3)

Ardia, David (3)

Bluteau, Keven (3)

Cites to:

Bauwens, Luc (40)

Rombouts, Jeroen (19)

Maheu, John (16)

Bollerslev, Tim (15)

Koop, Gary (14)

Calvet, Laurent (11)

Geweke, John (11)

Korobilis, Dimitris (10)

Engle, Robert (10)

Hamilton, James (9)

Teräsvirta, Timo (9)

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 (2024 and 2023)


YearTitle of citing document
2023Can desegregation close the racial gap in high school coursework?. (2022). Sethi, Ritika. In: Papers. RePEc:arx:papers:2208.12321.

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2023Bayesian 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.

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2023Fast 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.

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2023.

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2023A 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.

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2023A 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.

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2023On 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.

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2023.

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2023.

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2023Bayesian 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.

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2023A High-dimensional Multinomial Logit Model. (2023). Nibbering, Didier. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-19.

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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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paper44
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 44
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 44
paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 44
article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 44
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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paper4
2012Commodities volatility and the theory of storage.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2012Infinite-state Markov-switching for dynamic volatility and correlation models In: LIDAM Discussion Papers CORE.
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paper17
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 nother version. Agregated cites: 4
paper
2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
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paper19
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 19
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 19
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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paper0
2016A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 0
paper
2019A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE.
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paper2
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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article5
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models In: Journal of Empirical Finance.
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article19
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 nother 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 nother 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 nother version. Agregated cites: 11
paper
2016Sparse Change-point HAR Models for Realized Variance In: Cahiers de recherche.
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paper1
2019Sparse Change-point HAR Models for Realized Variance.(2019) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 1
article
2018Peer-Induced Beliefs Regarding College Participation In: Cahiers de recherche.
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paper1
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: The Journal of Financial Econometrics.
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article11
2019A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics.
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article5

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