List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model Journal of Business and Economic Statistics | 2024-11-08 | Paper |
| Autoregressive Moving Average Infinite Hidden Markov-Switching Models Journal of Business and Economic Statistics | 2024-10-09 | Paper |
| Modeling time-varying parameters using artificial neural networks: a GARCH illustration Studies in Nonlinear Dynamics & Econometrics | 2023-04-27 | Paper |
| Sparse change-point HAR models for realized variance Econometric Reviews | 2022-03-04 | Paper |
| Relevant parameter changes in structural break models Journal of Econometrics | 2020-06-18 | Paper |
| Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space Economics Letters | 2018-10-05 | Paper |
| Marginal likelihood for Markov-switching and change-point GARCH models Journal of Econometrics | 2014-08-07 | Paper |
Research outcomes over time
This page was built for person: Arnaud Dufays
