Arnaud Dufays

EDHEC Business school

24 Avenue Gustave Delory

Roubaix, 59100

France

SCHOLARLY PAPERS

9

DOWNLOADS

815

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Linking Frequentist and Bayesian Change-Point Methods

Number of pages: 51 Posted: 08 Jan 2020 Last Revised: 09 Jun 2022
David Ardia, Arnaud Dufays and Carlos Ordás Criado
HEC Montreal - Department of Decision Sciences, EDHEC Business school and Université Laval - Département d'Économique
Downloads 232 (192,726)

Abstract:

Loading...

change-point, model selection/combination, structural change, minimum description length

2.

Sparse Change-Point VAR models

Number of pages: 62 Posted: 10 Oct 2019
Arnaud Dufays, Li Zhuo, Jeroen Rombouts and Yong Song
EDHEC Business school, University of Melbourne - Faculty of Business and Economics, ESSEC Business School and University of Melbourne
Downloads 139 (300,075)

Abstract:

Loading...

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

3.

Selective Linear Segmentation For Detecting Relevant Parameter Changes

Number of pages: 68 Posted: 10 Oct 2019
EDHEC Business school, Cy Cergy Paris Université - THEMA and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 94 (394,586)

Abstract:

Loading...

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

4.

Fast Filtering with Large Option Panels: Implications for Asset Pricing

Number of pages: 66 Posted: 06 Apr 2022
Arnaud Dufays, Kris Jacobs, Yuguo Liu and Jeroen Rombouts
EDHEC Business school, University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and ESSEC Business School
Downloads 92 (399,918)

Abstract:

Loading...

Option Valuation, Particle MCMC, Posterior Density, Option Panels, Risk Premia.

5.

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 EDHEC Business school
Downloads 80 (435,102)

Abstract:

Loading...

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

6.

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, EDHEC Business school and Université catholique de Louvain
Downloads 59 (510,429)

Abstract:

Loading...

Volatility, Markov-switching, Persistence, Leverage effect

7.

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
EDHEC Business school
Downloads 55 (527,271)
Citation 1

Abstract:

Loading...

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

8.

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 EDHEC Business school
Downloads 44 (579,075)

Abstract:

Loading...

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

9.

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
EDHEC Business school and HEC Montreal
Downloads 20 (737,411)
Citation 1

Abstract:

Loading...

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