Arnaud Dufays

CeReFiM. Université de Namur.

Rempart de la Vierge 8

Namur, Namur 5000

Belgium

Université Laval

2214 Pavillon J-A. DeSeve

Quebec, Quebec G1K 7P4

Canada

SCHOLARLY PAPERS

8

DOWNLOADS

407

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Sparse Change-Point VAR models

Number of pages: 62 Posted: 10 Oct 2019
Arnaud Dufays, Li Zhuo, Jeroen Rombouts and Yong Song
CeReFiM. Université de Namur., University of Melbourne - Faculty of Business and Economics, ESSEC Business School and University of Melbourne
Downloads 95 (336,651)

Abstract:

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Shrinkage prior, Structural breaks, Change-point model, Time-varying parameters, Forecasting, Relevant parameter change

2.

Selective Linear Segmentation For Detecting Relevant Parameter Changes

Number of pages: 68 Posted: 10 Oct 2019
CeReFiM. Université de Namur., Université Laval, Department of Economics and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 79 (376,768)

Abstract:

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change-point, structural change, time-varying parameter, model selection, Hedge funds

3.

Frequentist and Bayesian Change-Point Models: A Missing Link

Number of pages: 46 Posted: 08 Jan 2020 Last Revised: 11 Mar 2020
David Ardia, Arnaud Dufays and Carlos Ordás Criado
HEC Montreal - Department of Decision Sciences, CeReFiM. Université de Namur. and Université Laval - Département d'Économique
Downloads 73 (393,944)

Abstract:

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change point, model selection, model combination, structural change

4.

Evolutionary Sequential Monte Carlo Samplers for Change-Point Models

CRREP Working Paper 2015-08
Number of pages: 36 Posted: 09 Sep 2015 Last Revised: 29 Mar 2018
Arnaud Dufays
CeReFiM. Université de Namur.
Downloads 51 (470,124)
Citation 1

Abstract:

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Bayesian inference, Sequential Monte Carlo, Annealed Importance sampling, Change-point models, Differential Evolution, GARCH models

5.

A New Approach to Volatility Modeling: The High-Dimensional Markov Model

CRREP working serie 2016-09
Number of pages: 50 Posted: 30 Mar 2018 Last Revised: 25 Apr 2018
Maciej Augustyniak, Arnaud Dufays and Luc Bauwens
University of Montreal - Department of Mathematics and Statistics, CeReFiM. Université de Namur. and Université catholique de Louvain
Downloads 50 (474,091)

Abstract:

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Volatility, Markov-switching, Persistence, Leverage effect

6.

Peer-Induced Beliefs Regarding College Participation

CRREP working paper serie 2018-17
Number of pages: 41 Posted: 28 Sep 2018
Université Laval, Université Laval - Département d'Économique and CeReFiM. Université de Namur.
Downloads 27 (588,494)

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Social Networks, Beliefs Updating, College Participation, Heterogeneous Peer Effects

7.

Measuring uncertainty and uncertainty dispersion from a large set of model predictions

Number of pages: 37 Posted: 07 Sep 2021
David Ardia and Arnaud Dufays
HEC Montreal - Department of Decision Sciences and CeReFiM. Université de Namur.
Downloads 19 (642,850)

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Uncertainty, Uncertainty dispersion, Risk predictions, Model risk, Heterogeneity, Mixture models.

8.

Sparse Change-Point Har Models for Realized Variance

CRREP working paper 2016-07
Number of pages: 32 Posted: 30 Mar 2018
Arnaud Dufays and J. V. K. Rombouts
CeReFiM. Université de Namur. and HEC Montreal
Downloads 13 (687,048)
Citation 1

Abstract:

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Realized variance, Bayesian inference, Time series, Shrinkage prior, Change-point model, Online forecasting