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

SCHOLARLY PAPERS

14

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18

Scholarly Papers (14)

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 410 (70,245)
Citation 1

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

2.

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 188 (159,858)
Citation 1

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

3.

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 - CIREQ - Département de sciences économiques and Universidad Carlos III de Madrid
Downloads 172 (173,051)

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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

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 96 (270,750)
Citation 1

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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.

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
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA), Carleton University, Government of Canada - Bank of Canada and McGill University
Downloads 46 (400,069)

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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

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 34 (446,763)

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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.

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 30 (464,949)
Citation 1

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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

8.

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 29 (469,752)

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factor analysis, VARMA process, forecasting, structural analysis

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 16 (562,944)

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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 9 (610,522)

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

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 22 (507,582)

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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.

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 14 (554,411)

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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

12.

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 and Jean-Marie Dufour
affiliation not provided to SSRN and McGill University
Downloads 12 (566,654)

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

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 9 (610,522)
Citation 3

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

Identification‐Robust Inference for Endogeneity Parameters in Linear Structural Models

The Econometrics Journal, Vol. 17, Issue 1, pp. 165-187, 2014
Number of pages: 23 Posted: 19 Feb 2014
Firmin Doko Tchatoka and Jean-Marie Dufour
University of Tasmania - School of Economics and Finance and McGill University
Downloads 1 (681,101)
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AR‐type statistic, Endogeneity, Identification‐robust confidence sets, Partial exogeneity test, Projection‐based techniques

14.

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 7 (598,155)
Citation 4

Abstract:

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