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Displaying 14 results.
    • Journal article
    A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
    Augustyniak, Maciej Bauwens, Luc[UCL] Dufays, Arnaud (2019) Journal of Business & Economic Statistics — Vol. 37, no.4, p. 696-709 (2019)
    • WorkingPaper
    On the conjugacy of off-line and online Sequential Monte Carlo Samplers
    Dufays, Arnaud[UCL] (2014)
    • WorkingPaper
    A New Approach to Volatility Modeling : the High-Dimensional Markov Model
    Augustyniak, Maciej Bauwens, Luc[UCL] Dufays, Arnaud (2016)
    • WorkingPaper
    SPARSE CHANGE-POINT TIME SERIES MODELS
    Dufays, Arnaud[UCL] Rombouts, Jeroen V.K. (2015)
    • Journal article
    Marginal likelihood for Markov-switching and change-point GARCH models
    Bauwens, Luc[UCL] Dufays, Arnaud[UCL] Rombouts, Jeroen (2014) Journal of Econometrics — Vol. 178, Part 3, p. 508-522 (2014)
    • Dissertation
    Modeling structural changes in volatility
    Dufays, Arnaud[UCL] (2013)
    • Journal article
    Autoregressive moving average infinite hidden Markov-switching models
    Bauwens, Luc[UCL] Carpentier, Jean-François Dufays, Arnaud (2017) Journal of Business and Economic Statistics — Vol. 35, no.2, p. 162-182 (2017)
    • Journal article
    A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models
    Bauwens, Luc[UCL] De Backer, Bruno[UCL] Dufays, Arnaud[UCL] (2014) Journal of Empirical Finance — Vol. 29, p. 207-229 (2014)
    • WorkingPaper
    Specific Markov-switching behaviour for ARMA parameters
    Carpantier, Jean-François Dufays, Arnaud (2014)
    • WorkingPaper
    Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Bauwens, Luc[UCL] Carpantier, Jean-Francois Dufays, Arnaud[UCL] (2015)
    • WorkingPaper
    Commodities volatility and the theory of storage
    Carpantier, Jean-François[UCL] Dufays, Arnaud[UCL] (2012)
    • WorkingPaper
    Marginal likelihood for Markov-switching and change-point GARCH models
    Bauwens, Luc[UCL] Dufays, Arnaud[UCL] Rombouts, Jeroen (2011)
    • WorkingPaper
    Estimating and forecasting structural breaks in financial time series
    Bauwens, Luc[UCL] Dufays, Arnaud[UCL] de Backer, Bruno (2011)
    • WorkingPaper
    Infinite-state Markov-switching for dynamic volatility and correlation models
    Dufays, Arnaud[UCL] (2012)