Arnaud Dufays : Citation Profile

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

7

H index

7

i10 index

171

Citations

RESEARCH PRODUCTION:

13

Articles

28

Papers

RESEARCH ACTIVITY:

   13 years (2011 - 2024). See details.
   Cites by year: 13
   Journals where Arnaud Dufays has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 18 (9.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu388
   Updated: 2026-01-17    RAS profile: 2024-07-05    
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Relations with other researchers

Works with:

Houndetoungan, Aristide (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 (25)

Billio, Monica (9)

Gatfaoui, Hayette (6)

YANG, QIAO (6)

Li, Chenxing (6)

Houndetoungan, Aristide (4)

Manera, Matteo (4)

Casarin, Roberto (4)

Osuntuyi, Ayokunle (4)

Jin, Xin (4)

Bluteau, Keven (3)

Cites to:

Bauwens, Luc (45)

Maheu, John (22)

Koop, Gary (19)

Rombouts, Jeroen (17)

Bollerslev, Tim (15)

Korobilis, Dimitris (14)

Geweke, John (13)

Fortin, Bernard (11)

Calvet, Laurent (11)

Song, Yong (11)

Engle, Robert (9)

Main data

Where Arnaud Dufays has published?

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

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

Recent works citing Arnaud Dufays (2025 and 2024)

YearTitle of citing document
2024Regime-Switching Density Forecasts Using Economists Scenarios. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2024). Wilms, Ines ; Hu, Yu Jeffrey ; Rombouts, Jeroen. In: Papers. RePEc:arx:papers:2303.01887.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030.

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2025Count Data Models with Heterogeneous Peer Effects under Rational Expectations. (2024). Houndetoungan, Aristide. In: Papers. RePEc:arx:papers:2405.17290.

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2025Quantile Peer Effect Models. (2025). Houndetoungan, Aristide. In: Papers. RePEc:arx:papers:2506.12920.

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2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

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2024Markov-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.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55.

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2025An infinite hidden Markov model with GARCH for short-term interest rates. (2025). Li, Chenxing ; Yang, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325005574.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2024Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: THEMA Working Papers. RePEc:ema:worpap:2024-01.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Cheng, XU ; Sangrey, Paul ; Renault, Eric. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2025An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates. (2025). Li, Chenxing ; Yang, Qiao. In: MPRA Paper. RePEc:pra:mprapa:123200.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2025Copula hidden Markov model with unknown number of states. (2025). Yu, Siyi ; Xie, Dejun ; Liu, Yujian. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:5:d:10.1007_s00180-024-01571-5.

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2025A Markov regime-switching event response model: beef price spread response to processing capacity shocks. (2025). Neill, Clinton L ; Boyer, Christopher N ; Park, Eunchun. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02677-x.

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2024Locally time-varying parameter regression. (2024). He, Zhongfang. In: Econometric Reviews. RePEc:taf:emetrv:v:43:y:2024:i:5:p:269-300.

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2024A high‐dimensional multinomial logit model. (2024). Nibbering, Didier. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:481-497.

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2024An infinite hidden Markov model with stochastic volatility. (2024). Maheu, John ; Li, Chenxing ; Yang, Qiao. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2187-2211.

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2025Regime‐Switching Density Forecasts Using Economists Scenarios. (2025). Moramarco, Graziano. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:833-845.

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Works by Arnaud Dufays:

YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
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: 48		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: 48		paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 48		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: 48		article
2011Marginal 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: 48		paper
2024Selective linear segmentation for detecting relevant parameter changes In: Papers.
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2022Selective Linear Segmentation for Detecting Relevant Parameter Changes*.(2022) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 2		article
2021Modeling time-varying parameters using artificial neural networks: a GARCH illustration In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2011Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2012Commodities volatility and the theory of storage In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper4
2012Commodities volatility and the theory of storage.(2012) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2012Infinite-state Markov-switching for dynamic volatility and correlation models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper17
2014Specific Markov-switching behaviour for ARMA parameters In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper4
2014Specific Markov-switching behaviour for ARMA parameters.(2014) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper22
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 22		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: 22		article
2015Sparse Change-Point Time Series Models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		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 nother version. Agregated cites: 0		paper
2014A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE.
[Citation analysis]		paper22
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 22		article
2019A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE.
[Citation analysis]		paper2
2022Peer-induced beliefs regarding college participation In: Economics of Education Review.
[Full Text][Citation analysis]		article3
2018Peer-Induced Beliefs Regarding College Participation.(2018) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 3		paper
2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space In: Economics Letters.
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2020Relevant parameter changes in structural break models In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2016Evolutionary Sequential Monte Carlo Samplers for Change-Point Models In: Econometrics.
[Full Text][Citation analysis]		article2
2015Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche.
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2015Evolutionary Sequential Monte Carlo Samplers for Change-point Models.(2015) In: Cahiers de recherche.
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2013Commodities Inventory Effect In: Working Papers.
[Citation analysis]		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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2019Sparse Change-point HAR Models for Realized Variance.(2019) In: Econometric Reviews.
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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.
[Full Text][Citation analysis]		article16
2023Linking Frequentist and Bayesian Change-Point Methods In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2019A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article10
2021Sparse change‐point VAR models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article2

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