Arnaud Dufays

Université catholique de Louvain, CORE

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

4

DOWNLOADS

187

SSRN CITATIONS
Rank 46,200

SSRN RANKINGS

Top 46,200

in Total Papers Citations

12

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

CIRANO - Scientific Publication No. 2011s-72
Number of pages: 36 Posted: 29 Nov 2011
Luc Bauwens, Arnaud Dufays and J. V. K. Rombouts
Université catholique de Louvain, Université catholique de Louvain, CORE and HEC Montreal
Downloads 127 (278,759)
Citation 15

Abstract:

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Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC

2.

A Bayesian Method of Change-Point Estimation with Recurrent Regimes: Application to GARCH Models

Number of pages: 41 Posted: 09 May 2017
Luc Bauwens, Bruno De Backer and Arnaud Dufays
Université catholique de Louvain, National Bank of Belgium and Université catholique de Louvain, CORE
Downloads 26 (601,373)
Citation 6

Abstract:

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Bayesian Inference, MCMC, Structural Breaks, Recurrent Regimes, Marginal Likelihood, GARCH, Forecasting

3.

Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Number of pages: 47 Posted: 09 May 2017 Last Revised: 11 May 2017
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 26 (601,373)
Citation 7

Abstract:

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ARMA, Bayesian inference, Dirichlet process, Forecasting

4.

Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Number of pages: 17 Posted: 11 May 2017
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 8 (733,801)

Abstract:

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