Concepedia

Arnaud Dufays

AD

9

Publications

292

Citations

9

H-Index

2011

Active since

Affiliations

UCLouvain(Current)

Université Laval

CY Cergy Paris Université

École Supérieure des Sciences Économiques et Commerciales

Arnaud Dufays is an author at UCLouvain specializing in engineering, statistics, and business.

Top concepts

StatisticsEngineeringBusinessForecastingEconometricsFinanceEconomicsProbabilityAsset PricingVolatility Modeling

Publications per year

2011–2019

9

Publications

9

Marginal likelihood for Markov-switching and change-point GARCH models

Luc Bauwens, Arnaud Dufays, Jeroen V.K. Rombouts · Journal of Econometrics · 2013 · 99 citations

Engineering, Markov Kernel, Statistical Inference +4

A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models

Luc Bauwens, Bruno De Backer, Arnaud Dufays · Journal of Empirical Finance · 2014 · 54 citations

Bayesian Statistics, Engineering, Bayesian Method +12

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

Luc Bauwens, Arnaud Dufays, Jeroen V.K. Rombouts · SSRN Electronic Journal · 2011 · 37 citations · Full text

Engineering, Markov Kernel, Statistical Inference +4

Infinite-State Markov-Switching for Dynamic Volatility

Arnaud Dufays · Journal of Financial Econometrics · 2015 · 27 citations

Computational Time, Engineering, Dynamic Volatility +18

Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Luc Bauwens, Jean-François Carpantier, Arnaud Dufays · Journal of Business and Economic Statistics · 2015 · 22 citations

Regime Switch, Stochastic Hybrid System, Economics +15

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