オープン アクセスを義務付けられた論文 - Arnaud Dufays詳細
一般公開: 10 件
A new approach to volatility modeling: The factorial hidden Markov volatility model
M Augustyniak, L Bauwens, A Dufays
Journal of Business & Economic Statistics 37 (4), 696-709, 2019
委任: Natural Sciences and Engineering Research Council of Canada, Social Sciences …
Relevant parameter changes in structural break models
A Dufays, JVK Rombouts
Journal of Econometrics 217 (1), 46-78, 2020
委任: National Fund for Scientific Research, Belgium, Social Sciences and …
Peer-induced beliefs regarding college participation
V Boucher, FA Dedewanou, A Dufays
Economics of Education Review 90, 102307, 2022
委任: US National Institutes of Health, Social Sciences and Humanities Research …
Selective linear segmentation for detecting relevant parameter changes
A Dufays, EA Houndetoungan, A Coën
Journal of Financial Econometrics 20 (4), 762-805, 2022
委任: National Fund for Scientific Research, Belgium, Social Sciences and …
Modeling time-varying parameters using artificial neural networks: a GARCH illustration
MN Donfack, A Dufays
Studies in Nonlinear Dynamics & Econometrics 25 (5), 311-343, 2021
委任: National Fund for Scientific Research, Belgium, Social Sciences and …
Frequentist and bayesian change-point models: A missing link
D Ardia, A Dufays, CO Criado
SSRN Electron. J, 2019
委任: Swiss National Science Foundation, Fonds de recherche du Quebec Societe et …
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
M Augustyniak, A Dufays
Economics Letters 170, 122-126, 2018
委任: Natural Sciences and Engineering Research Council of Canada, Social Sciences …
A new approach to volatility modeling: the high-dimensional Markov model
M Augustyniak, A Dufays, L Bauwens
CRREP working serie 9, 2016
委任: Natural Sciences and Engineering Research Council of Canada
Linking frequentist and Bayesian change-point methods
D Ardia, A Dufays, C Ordás Criado
Journal of Business & Economic Statistics 42 (4), 1155-1168, 2024
委任: Fonds de recherche du Quebec Societe et culture
Multifractal Volatility Models: Beyond the Binary Case
M Augustyniak, A Dufays, KAH Maoude
Available at SSRN 4960926, 2024
委任: Fonds de recherche du Québec - Nature et technologies
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