Arnaud Dufays

Arnaud Dufays

Université Laval - Québec / Canada
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 5927579
Laval University
person_outline Arnaud Dufays's MOST POPULAR ARTICLES
1-) Marginal likelihood for Markov-switching and change-point GARCH modelsL Bauwens, A Dufays, JVK RomboutsJournal of Econometrics 178, 508-522, 20141262014
2-) A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH modelsL Bauwens, B De Backer, A DufaysJournal of Empirical Finance 29, 207-229, 2014752014
3-) Infinite-state Markov-switching for dynamic volatilityA DufaysJnl of Financial Econometrics 14 (2), 418-460, 2016
4-) Commodities inventory effectJF Carpantier, A Dufays
5-) Autoregressive moving average infinite hidden Markov-switching modelsL Bauwens, JF Carpantier, A DufaysJournal of Business & Economic Statistics 35 (2), 162-182, 2017302017