Arnaud Dufays

EDHEC Business school

24 Avenue Gustave Delory

Roubaix, 59100

France

SCHOLARLY PAPERS

9

DOWNLOADS

1,221

SSRN CITATIONS

9

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Linking Frequentist and Bayesian Change-Point Methods

Journal of Business & Economic Statistics, Forthcoming
Number of pages: 36 Posted: 08 Jan 2020 Last Revised: 19 Dec 2023
David Ardia, Arnaud Dufays and Carlos Ordás Criado
HEC Montreal - Department of Decision Sciences, EDHEC Business school and Université Laval - Département d'Économique
Downloads 286 (198,865)

Abstract:

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

2.

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 243 (233,964)
Citation 3

Abstract:

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

3.

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 201 (279,811)
Citation 2

Abstract:

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

4.

Selective Linear Segmentation For Detecting Relevant Parameter Changes

Arnaud Dufays, Elysee Aristide Houndetoungan, Alain Coën, Selective Linear Segmentation for Detecting Relevant Parameter Change s, Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 762–805
Number of pages: 72 Posted: 10 Oct 2019 Last Revised: 08 Feb 2024
Arnaud Dufays, Aristide Houndetoungan and Alain Coen
EDHEC Business school, Cy Cergy Paris Université - THEMA and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 116 (440,126)
Citation 2

Abstract:

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

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 112 (451,841)

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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 90 (524,241)

Abstract:

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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 70 (607,046)
Citation 1

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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 67 (621,175)

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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 36 (812,279)
Citation 1

Abstract:

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