Arnaud Dufays

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Person:1787718

Available identifiers

zbMath Open dufays.arnaudMaRDI QIDQ1787718

List of research outcomes





PublicationDate of PublicationType
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model2024-11-08Paper
Autoregressive Moving Average Infinite Hidden Markov-Switching Models2024-10-09Paper
Modeling time-varying parameters using artificial neural networks: a GARCH illustration2023-04-27Paper
Sparse Change-point HAR Models for Realized Variance2022-03-04Paper
Relevant parameter changes in structural break models2020-06-18Paper
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space2018-10-05Paper
Marginal likelihood for Markov-switching and change-point GARCH models2014-08-07Paper

Research outcomes over time

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