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Arnaud Dufays

Personal Details

First Name:Arnaud
Middle Name:
Last Name:Dufays
Suffix:
RePEc Short-ID:pdu388
[This author has chosen not to make the email address public]
https://arnauddufays.com/
Terminal Degree:2013 Center for Operations Research and Econometrics (CORE); Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM); Université Catholique de Louvain (from RePEc Genealogy)

Affiliation

Département Comptabilité, Droit, Finance et Économie
Groupe EDHEC (École de Hautes Études Commerciales du Nord)

Lille/Paris, France
http://professoral.edhec.com/professeurs-chercheurs/comptabilite-droit-finance-et-economie/professeurs-et-chercheurs-comptabilite-droit-finance-et-economie--78892.kjsp
RePEc:edi:deedhfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Arnaud Dufays & Aristide Houndetoungan & Alain Coen, 2024. "Selective linear segmentation for detecting relevant parameter changes," Papers 2402.05329, arXiv.org.
  2. Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
  3. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019. "A new approach: the factorial hidden Markov volatility model," LIDAM Reprints CORE 3066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Vincent Boucher & Finagnon A. Dedewanou & Arnaud Dufays, 2018. "Peer-Induced Beliefs Regarding College Participation," Cahiers de recherche 1817, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  5. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  7. Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  10. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
  12. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," Working Papers hal-01821144, HAL.
  14. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," LIDAM Discussion Papers CORE 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.
  17. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Boucher, Vincent & Dedewanou, F. Antoine & Dufays, Arnaud, 2022. "Peer-induced beliefs regarding college participation," Economics of Education Review, Elsevier, vol. 90(C).
  2. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022. "Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
  3. Donfack Morvan Nongni & Dufays Arnaud, 2021. "Modeling time-varying parameters using artificial neural networks: a GARCH illustration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 311-343, December.
  4. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
  5. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
  6. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019. "A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 696-709, October.
  7. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
  8. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.
  9. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  10. Arnaud Dufays, 2016. "Infinite-State Markov-Switching for Dynamic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 418-460.
  11. Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
  12. Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 207-229.
  13. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Arnaud Dufays & Aristide Houndetoungan & Alain Coen, 2024. "Selective linear segmentation for detecting relevant parameter changes," Papers 2402.05329, arXiv.org.

    Cited by:

    1. Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
    2. Aristide Houndetoungan & Abdoul Haki Maoude, 2024. "Inference for Two-Stage Extremum Estimators," Papers 2402.05030, arXiv.org, revised Nov 2024.
    3. Aristide Houndetoungan & Abdoul Haki Maoude, 2024. "Inference for Two-Stage Extremum Estimators," THEMA Working Papers 2024-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.

  2. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019. "A new approach: the factorial hidden Markov volatility model," LIDAM Reprints CORE 3066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    2. Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.

  3. Vincent Boucher & Finagnon A. Dedewanou & Arnaud Dufays, 2018. "Peer-Induced Beliefs Regarding College Participation," Cahiers de recherche 1817, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.

    Cited by:

    1. Aristide Houndetoungan, 2024. "Count Data Models with Heterogeneous Peer Effects under Rational Expectations," Papers 2405.17290, arXiv.org.
    2. Ritika Sethi, 2022. "Can Desegregation Close the Racial Gap in High School Coursework?," Papers 2208.12321, arXiv.org, revised Jul 2023.

  4. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.

  5. Arnaud Dufays & Jeroen V.K. Rombouts, 2016. "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche 1607, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.

    Cited by:

    1. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.

  6. Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015. "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE 2015007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
    2. Jean HINDRIKS & Yukihiro NISHIMURA, 2016. "Equilibrium Leadership in Tax Competiton Models with Capital Ownership: A Rejoinder," LIDAM Reprints CORE 2758, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Mengheng Li & Ivan Mendieta-Munoz, 2019. "The multivariate simultaneous unobserved components model and identification via heteroskedasticity," Working Paper Series 2019/08, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Didier Nibbering, 2023. "A High-dimensional Multinomial Logit Model," Monash Econometrics and Business Statistics Working Papers 19/23, Monash University, Department of Econometrics and Business Statistics.
    5. Maheu, John M & Song, Yong, 2017. "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper 79211, University Library of Munich, Germany.
    6. Graziano Moramarco, 2021. "Regime-Switching Density Forecasts Using Economists' Scenarios," Papers 2110.13761, arXiv.org, revised Feb 2024.
    7. Hwu Shih-Tang & Kim Chang-Jin, 2024. "Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 177-199, April.
    8. Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute, revised 13 Oct 2017.
    9. Balandraud, Eric & Queyranne, Maurice & Tardella, Fabio, 2015. "Largest minimally inversion-complete and pair-complete sets of permutations," LIDAM Discussion Papers CORE 2015009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. I. G. Ukpong & K. G. Balcombe & I. M. Fraser & F. J. Areal, 2019. "Preferences for Mitigation of the Negative Impacts of the Oil and Gas Industry in the Niger Delta Region of Nigeria," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(2), pages 811-843, October.
    11. Didier Nibbering, 2024. "A high‐dimensional multinomial logit model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 481-497, April.
    12. Hou, Chenghan, 2017. "Infinite hidden markov switching VARs with application to macroeconomic forecast," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1025-1043.
    13. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    14. Chiara Lattanzi & Manuele Leonelli, 2019. "A changepoint approach for the identification of financial extreme regimes," Papers 1902.09205, arXiv.org.
    15. DESCHAMPS, Philippe J., 2016. "Bayesian Semiparametric Forecasts of Real Interest Rate Data," LIDAM Discussion Papers CORE 2016050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Vrins, F. & Jeanblanc, M., 2015. "The [phi]-Martingale," LIDAM Discussion Papers CORE 2015022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
    19. Didier Nibbering, 2019. "A High-dimensional Multinomial Choice Model," Monash Econometrics and Business Statistics Working Papers 19/19, Monash University, Department of Econometrics and Business Statistics.
    20. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
    21. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.

  7. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.

  8. Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1508, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.

    Cited by:

    1. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
    2. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    3. Speich, Matthias & Dormann, Carsten F. & Hartig, Florian, 2021. "Sequential Monte-Carlo algorithms for Bayesian model calibration – A review and method comparison✰," Ecological Modelling, Elsevier, vol. 455(C).

  9. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
    2. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.

  10. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.

    Cited by:

    1. Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  11. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Nick James & Roman Marchant & Richard Gerlach & Sally Cripps, 2019. "Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series," Papers 1902.03350, arXiv.org.
    3. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2020. "Non-linearities, cyber attacks and cryptocurrencies," Finance Research Letters, Elsevier, vol. 32(C).
    4. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
    5. Caporale, Guglielmo Maria & Zekokh, Timur, 2019. "Modelling volatility of cryptocurrencies using Markov-Switching GARCH models," Research in International Business and Finance, Elsevier, vol. 48(C), pages 143-155.
    6. Jules Clement Mba & Sutene Mwambi, 2020. "A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 199-214, June.
    7. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
    8. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    9. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    10. Vahidin Jeleskovic & Mirko Meloni & Zahid Irshad Younas, 2020. "Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations," MAGKS Papers on Economics 202034, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    11. Marius Galabe Sampid & Haslifah M Hasim & Hongsheng Dai, 2018. "Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-33, June.
    12. Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2021. "Disagreement on sunspots and soybeans futures price," Economic Modelling, Elsevier, vol. 95(C), pages 385-393.
    13. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    14. Katleho Makatjane & Ntebogang Moroke, 2021. "Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index," IJFS, MDPI, vol. 9(2), pages 1-18, March.
    15. Thabani Ndlovu & Delson Chikobvu, 2023. "A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates," Data, MDPI, vol. 8(7), pages 1-24, July.
    16. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
    17. Cristina Chinazzo & Vahidin Jeleskovic, 2024. "Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches," Papers 2401.02049, arXiv.org.
    18. Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo, 2018. "Forecasting risk with Markov-switching GARCH models:A large-scale performance study," International Journal of Forecasting, Elsevier, vol. 34(4), pages 733-747.
    19. Huang, Yirong & Luo, Yi, 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," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    20. Agosto, Arianna & Cerchiello, Paola & Pagnottoni, Paolo, 2022. "Sentiment, Google queries and explosivity in the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).
    21. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.

  12. Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," Working Papers hal-01821144, HAL.

    Cited by:

    1. CARPANTIER, Jean-François & SAMKHARADZE, Besik, 2012. "The asymmetric commodity inventory effect on the optimal hedge ratio," LIDAM Discussion Papers CORE 2012020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
    4. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
    5. Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
    6. Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
    7. PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Svetlana Borovkova & Diego Mahakena, 2015. "News, volatility and jumps: the case of natural gas futures," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1217-1242, July.

  13. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," LIDAM Discussion Papers CORE 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Jacques H. DREZE, 2016. "Existence and multiplicity of temporary equilibria under nominal price rigidities," LIDAM Reprints CORE 2814, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Huchet, Nicolas & Fam, Papa Gueye, 2016. "The role of speculation in international futures markets on commodity prices," Research in International Business and Finance, Elsevier, vol. 37(C), pages 49-65.
    3. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. ROELS, Guillaume & CHEVALIER, Philippe & WEI, Ying, 2012. "United we stand? Coordinating capacity investment and allocation in joint ventures," LIDAM Discussion Papers CORE 2012045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  14. DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
    2. Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. NESTEROV, Yurii & NEMIROVSKI, Arkadi, 2012. "Finding the stationary states of Markov chains by iterative methods," LIDAM Discussion Papers CORE 2012058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
    5. Sudipto Bhattacharya & Claude d'Aspremont & Sergei Guriev & Debapriya Sen & Yair Tauman, 2013. "Cooperation in R&D: patenting, licensing and contracting," Post-Print hal-03595518, HAL.
    6. John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
    7. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
    8. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
    9. Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
    10. Jean-François Carpantier & Arnaud Dufays, 2014. "Specific Markov-switching behaviour for ARMA parameters," Working Papers hal-01821134, HAL.
    11. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
    12. WUNSCH, Guillaume & MOUCHART, Michel & RUSSO, Federica, 2012. "Functions and mechanisms in structural-modelling explanations," LIDAM Discussion Papers CORE 2012056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    14. ROELS, Guillaume & CHEVALIER, Philippe & WEI, Ying, 2012. "United we stand? Coordinating capacity investment and allocation in joint ventures," LIDAM Discussion Papers CORE 2012045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  15. Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011. "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers 2011-41, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS, 2017. "Autoregressive moving average infinite hidden Markov-switching models," LIDAM Reprints CORE 2836, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    3. Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
    4. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
    5. DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
    7. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
    9. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    10. Karanasos, Menelaos & Paraskevopoulos, Alexandros G. & Menla Ali, Faek & Karoglou, Michail & Yfanti, Stavroula, 2014. "Modelling stock volatilities during financial crises: A time varying coefficient approach," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 113-128.
    11. Aknouche Abdelhakim & Demmouche Nacer & Dimitrakopoulos Stefanos & Touche Nassim, 2020. "Bayesian analysis of periodic asymmetric power GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-24, September.
    12. Augustyniak, Maciej, 2014. "Maximum likelihood estimation of the Markov-switching GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 61-75.
    13. Xiaoping Zhan & Tiefeng Ma & Shuangzhe Liu & Kunio Shimizu, 2018. "Markov-Switching Linked Autoregressive Model for Non-continuous Wind Direction Data," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 23(3), pages 410-425, September.
    14. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
    15. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
    16. Ardia, David & Bluteau, Keven & Rüede, Maxime, 2019. "Regime changes in Bitcoin GARCH volatility dynamics," Finance Research Letters, Elsevier, vol. 29(C), pages 266-271.
    17. Dohyun Chun & Donggyu Kim, 2021. "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers 2102.13404, arXiv.org.
    18. Jean-François Carpantier & Arnaud Dufays, 2014. "Specific Markov-switching behaviour for ARMA parameters," Working Papers hal-01821134, HAL.
    19. Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    20. Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
    21. Leandro Maciel, 2021. "Cryptocurrencies value‐at‐risk and expected shortfall: Do regime‐switching volatility models improve forecasting?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4840-4855, July.
    22. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
    23. D’Amato, Valeria & Levantesi, Susanna & Piscopo, Gabriella, 2022. "Deep learning in predicting cryptocurrency volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    24. Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    25. Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
    26. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
    27. Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
    28. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    29. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    30. Seuk Wai Phoong & Seuk Yen Phoong & Shi Ling Khek, 2022. "Systematic Literature Review With Bibliometric Analysis on Markov Switching Model: Methods and Applications," SAGE Open, , vol. 12(2), pages 21582440221, April.
    31. Donggyu Kim & Minseok Shin, 2023. "Volatility models for stylized facts of high‐frequency financial data," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 262-279, May.
    32. Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
    33. Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
    34. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
    35. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    36. Aknouche, Abdelhakim & Demmouche, Nacer & Touche, Nassim, 2018. "Bayesian MCMC analysis of periodic asymmetric power GARCH models," MPRA Paper 91136, University Library of Munich, Germany.
    37. Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Documents de travail du Centre d'Economie de la Sorbonne 16046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    38. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE 2641, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    39. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    40. Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
    41. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    42. Wee, Damien C.H. & Chen, Feng & Dunsmuir, William T.M., 2022. "Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo," Econometrics and Statistics, Elsevier, vol. 21(C), pages 50-68.
    43. Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo, 2018. "Forecasting risk with Markov-switching GARCH models:A large-scale performance study," International Journal of Forecasting, Elsevier, vol. 34(4), pages 733-747.
    44. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
    45. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    46. Griffin, Jim E. & Mitrodima, Gelly, 2020. "A Bayesian quantile time series model for asset returns," LSE Research Online Documents on Economics 105610, London School of Economics and Political Science, LSE Library.

  16. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
    2. DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Arnaud Dufays, 2015. "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche 1518, CIRPEE.
    4. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.

Articles

  1. Boucher, Vincent & Dedewanou, F. Antoine & Dufays, Arnaud, 2022. "Peer-induced beliefs regarding college participation," Economics of Education Review, Elsevier, vol. 90(C).
    See citations under working paper version above.
  2. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022. "Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
    See citations under working paper version above.
  3. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.

    Cited by:

    1. Schaefer, Kerstin J. & Tuitjer, Leonie & Levin-Keitel, Meike, 2021. "Transport disrupted – Substituting public transport by bike or car under Covid 19," Transportation Research Part A: Policy and Practice, Elsevier, vol. 153(C), pages 202-217.
    2. Yu Jeffrey Hu & Jeroen Rombouts & Ines Wilms, 2023. "Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms," Papers 2303.01887, arXiv.org, revised May 2024.
    3. Renata Tavanielli & Márcio Laurini, 2023. "Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market," Mathematics, MDPI, vol. 11(11), pages 1-28, June.
    4. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
    5. Wang, Chunan & Jiang, Changmin, 2022. "How do pandemics affect intercity air travel? Implications for traffic and environment," Transportation Research Part A: Policy and Practice, Elsevier, vol. 166(C), pages 330-353.

  4. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019. "A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 696-709, October.

    Cited by:

    1. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    2. Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Bjoern Schulte-Tillman & Mawuli Segnon & Bernd Wilfling, 2022. "Financial-market volatility prediction with multiplicative Markov-switching MIDAS components," CQE Working Papers 9922, Center for Quantitative Economics (CQE), University of Muenster.
    4. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    5. Zhang, Xiaoyuan & Zhang, Tianqi, 2023. "On pricing double-barrier options with Markov regime switching," Finance Research Letters, Elsevier, vol. 51(C).
    6. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.
    7. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  5. Arnaud Dufays & Jeroen V. K. Rombouts, 2019. "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 857-880, September.
    See citations under working paper version above.
  6. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
    See citations under working paper version above.
  7. Arnaud Dufays, 2016. "Infinite-State Markov-Switching for Dynamic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 418-460.

    Cited by:

    1. Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
    2. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    3. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    4. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
    5. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    6. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
    7. Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
    8. Yang, Qiao, 2019. "Stock returns and real growth: A Bayesian nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 53-69.
    9. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.

  8. Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
    See citations under working paper version above.
  9. Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014. "A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 207-229.
    See citations under working paper version above.
  10. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
    See citations under working paper version above.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (11) 2011-12-19 2012-01-03 2014-10-03 2014-12-24 2015-04-11 2015-09-18 2016-03-10 2017-01-29 2017-01-29 2024-02-05 2024-03-18. Author is listed
  2. NEP-ECM: Econometrics (10) 2011-12-19 2014-10-03 2014-12-24 2015-04-11 2015-09-18 2016-03-10 2017-01-29 2017-01-29 2024-02-05 2024-03-18. Author is listed
  3. NEP-ORE: Operations Research (9) 2011-12-19 2012-01-03 2014-10-03 2014-12-24 2015-04-11 2016-03-10 2017-01-29 2017-01-29 2017-02-12. Author is listed
  4. NEP-FOR: Forecasting (4) 2015-04-11 2016-03-10 2017-01-29 2017-02-12
  5. NEP-AGR: Agricultural Economics (1) 2013-06-30
  6. NEP-CMP: Computational Economics (1) 2014-10-03
  7. NEP-MST: Market Microstructure (1) 2013-06-30
  8. NEP-RMG: Risk Management (1) 2013-06-30
  9. NEP-URE: Urban and Real Estate Economics (1) 2018-10-01

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