6
H index
6
i10 index
154
Citations
Arnaud Dufays : Citation Profile
Groupe EDHEC (École de Hautes Études Commerciales du Nord) | RESEARCH PRODUCTION: 12 Articles 28 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2011 - 2024). Relations with other researchers
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:
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Main data
Where Arnaud Dufays has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 2 |
| Journal of Business & Economic Statistics | 2 |
| Journal of Financial Econometrics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / HAL | 3 |
Recent works citing Arnaud Dufays (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 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 |
| 2024 | 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 |
| 2024 | Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework. (2024). Chang-Jin, Kim ; Shih-Tang, Hwu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:177-199:n:1. 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 |
| 2024 | Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731. 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 |
| 2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
| 2024 | Inference for Two-Stage Extremum Estimators. (2024). Maoude, Abdoul Haki ; Houndetoungan, Aristide. In: THEMA Working Papers. RePEc:ema:worpap:2024-01. 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 |
| 2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
Works by Arnaud Dufays:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 45 |
| 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: 45 | 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: 45 | paper | |
| 2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 45 | 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: 45 | 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: 45 | paper | |
| 2024 | Selective linear segmentation for detecting relevant parameter changes In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Selective Linear Segmentation for Detecting Relevant Parameter Changes*.(2022) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2021 | Modeling time-varying parameters using artificial neural networks: a GARCH illustration In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 20 |
| 2017 | Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | 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: 20 | 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 | |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE. [Citation analysis] | paper | 22 |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2019 | A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE. [Citation analysis] | paper | 2 |
| 2022 | Peer-induced beliefs regarding college participation In: Economics of Education Review. [Full Text][Citation analysis] | article | 2 |
| 2018 | Peer-Induced Beliefs Regarding College Participation.(2018) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 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 | 4 |
| 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 | 0 |
| 2019 | Sparse Change-point HAR Models for Realized Variance.(2019) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 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 | 13 |
| 2023 | Linking Frequentist and Bayesian Change-Point Methods In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
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