Jean-Marie Dufour

McGill University

William Dow Professor of Economics

Department of Economics, McGill University

Leacock Building Room 443, 855 Sherbrooke West

Montreal, Quebec H3A 2T7

Canada

http://www.jeanmariedufour.com

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SCHOLARLY PAPERS

16

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2,004

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30

Scholarly Papers (16)

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1.

Exchange Rates and Commodity Prices: Measuring Causality at Multiple Horizons

CIRANO - Scientific Publications 2013s-39
Number of pages: 36 Posted: 19 Dec 2013 Last Revised: 14 Oct 2015
Hui Jun Zhang, Jean-Marie Dufour and John W. Galbraith
University of Cambridge, McGill University and McGill University - Department of Economics
Downloads 503 (120,239)
Citation 7

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multi-horizon causality, causality measures, commodity prices, exchange rates, stock prices, high-frequency data, spurious causality, financial markets

2.

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

CIRANO Scientific Publication No. 2011s-27
Posted: 07 Mar 2011
Jean-Marie Dufour, René Garcia and Abderrahim Taamouti
McGill University, Université de Montréal and Universidad Carlos III de Madrid
Downloads 269 (241,566)
Citation 1

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Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility

3.

Multiple Horizon Causality in Network Analysis: Measuring Volatility Interconnections in Financial Markets

Number of pages: 73 Posted: 10 Mar 2016 Last Revised: 28 Oct 2016
Jean-Marie Dufour and Bixi Jian
McGill University and McGill University - Department of Economics
Downloads 260 (250,012)
Citation 1

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Network, Multiple Horizon Causality Measures, LASSO, Financial Systemic Risk, Network Connectedness, Implied Volatility

4.

Identification-Robust Estimation and Testing of the Zero-Beta CAPM

CIRANO - Scientific Publications 2011s-21
Posted: 14 Feb 2011
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA), McGill University and Université Laval - Département d'Économique
Downloads 182 (351,480)
Citation 6

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capital asset pricing model, CAPM, Black, mean-variance efficiency, non-normality, weak identification, Fieller, multivariate linear regression, uniform linear hypothesis, exact test, Monte Carlo test, bootstrap, nuisance parameters, GARCH, portfolio repacking

5.

Factor-Augmented VARMA Models with Macroeconomic Applications

Number of pages: 47 Posted: 12 May 2013
Jean-Marie Dufour and Dalibor Stevanovi
McGill University and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 121 (492,552)
Citation 4

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factor analysis, VARMA process, forecasting, structural analysis

6.

Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors

CIRANO Scientific Publication No. 2011s-24
Posted: 07 Mar 2011
Elise Coudin and Jean-Marie Dufour
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and McGill University
Downloads 108 (536,541)
Citation 1

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sign test, median regression, Hodges-Lehmann estimator, p-value, least absolute deviations, quantile regression, simultaneous inference, Monte Carlo tests, projection methods, nonnormality, heteroskedasticity, serial dependence, GARCH, stochastic volatility

7.

An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices

CIRANO Scientific Publication No. 2011s-22
Number of pages: 39 Posted: 07 Mar 2011
Marie-Claude Beaulieu, Lynda Khalaf, Maral Kichian and Jean-Marie Dufour
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA), Carleton University, Government of Canada - Bank of Canada and McGill University
Downloads 95 (586,731)

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structural change, time-varying parameter, energy prices, coal, gas, crude oil, unidentified nuisance parameter, exact test, Monte Carlo test, Kalman filter, normality test

8.

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Downloads 85 (628,637)

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Number of pages: 22 Posted: 01 Jan 2017
Jean-Marie Dufour and Richard Luger
McGill University and Université Laval
Downloads 43 (908,718)

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Mixture distributions, Markov chains, Regime switching, Parametric bootstrap, Monte Carlo tests, Exact inference

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

CRREP working paper 2017-01
Number of pages: 22 Posted: 30 Mar 2018 Last Revised: 13 May 2018
Jean-Marie Dufour and Richard Luger
McGill University and Université Laval
Downloads 42 (918,082)

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Mixture distributions, Markov chains, Regime switching, Parametric bootstrap, Monte Carlo tests, Exact inference

9.

Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models

CIRANO Scientific Publication No. 2011s-25
Posted: 07 Mar 2011
Jean-Marie Dufour and Tarek Jouini
McGill University and affiliation not provided to SSRN
Downloads 75 (680,335)
Citation 3

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echelon form, linear estimation, generalized least squares, GLS, two-step linear estimation, three-step linear estimation, asymptotically efficient, maximum likelihood, ML, stationary process, invertible process, Kronecker indices, simulation

10.

Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory

Number of pages: 55 Posted: 04 Jan 2017
Firmin Doko Tchatoka and Jean-Marie Dufour
University of Adelaide and McGill University
Downloads 63 (741,385)

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Exogeneity; Durbin-Wu-Hausman Test; Weak Instrument; Incomplete Model; Non-Gaussian; Weak Identification; Identification Robust; Finite-Sample Theory; Pivotal; Invariance; Monte Carlo Test; Power

11.

Semiparametric Innovation-Based Tests of Orthogonality and Causality between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions

CIRANO Scientific Publication No. 2011s-23
Posted: 07 Mar 2011
Chafik Bouhaddioui, Chafik Bouhaddioui and Jean-Marie Dufour
affiliation not provided to SSRNaffiliation not provided to SSRN and McGill University
Downloads 52 (814,678)

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Infinite-order cointegrated vector autoregressive process, independence, causality, residual cross-correlation, consistency, asymptotic power

12.

Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators In Median Regressions with Heterogeneous Dependent Errors

Number of pages: 49 Posted: 22 Feb 2017 Last Revised: 24 Feb 2017
Elise Coudin and Jean-Marie Dufour
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and McGill University
Downloads 47 (853,481)
Citation 1

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Sign-based methods; median regression; test inversion; Hodges-Lehmann estimators; confidence distributions; p-value function; least absolute deviation estimators; quantile regressions; sign test; simultaneous inference; Monte Carlo tests; projection methods; non-normality; heteroskedasticity; serial

13.

Practical Estimation Methods for High-Dimensional Multivariate Stochastic Volatility Models

Number of pages: 69 Posted: 03 Jan 2025
Jean-Marie Dufour and Md Nazmul Ahsan
McGill University and Canada Mortgage and Housing Corporation (CMHC)
Downloads 42 (896,222)

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Simple methods, matrix variate regression, Monte Carlo tests, multivariate stochastic volatility, asymptotic distribution.

14.

Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models

CIRANO - Scientific Publications 2014s-17
Number of pages: 34 Posted: 03 Mar 2014
Firmin Doko Tchatoka and Jean-Marie Dufour
University of Tasmania - School of Economics and Finance and McGill University
Downloads 41 (905,173)
Citation 3

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Identification-robust confidence sets, endogeneity, AR-type statistic, projection-based techniques, partial exogeneity test

15.

Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability

CIRANO - Scientific Publications 2013s-40
Number of pages: 24 Posted: 06 Mar 2014
Jean-Marie Dufour, Lynda Khalaf and Marcel C. Voia
McGill University, Carleton University and Carleton University
Downloads 35 (962,693)
Citation 3

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Monte Carlo test, induced test, test combination, simultaneous inference, Variance ratio

16.

Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality

Number of pages: 108 Posted: 24 Oct 2024
Endong Wang and Jean-Marie Dufour
McGill University and McGill University
Downloads 26 (1,061,258)

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Multi-horizon projection model, Generalized impulse response, Causality, Two-stage estimation, Statistical inference