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Autoregressive moving average infinite hidden Markov-switching models

Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 162-182

Persistent link: https://www.econbiz.de/10011704161

Estimating and forecasting structural breaks in financial time series

Bauwens, Luc; Dufays, Arnaud; De Backer, Bruno - 2011

Persistent link: https://www.econbiz.de/10009390347

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

Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229

Persistent link: https://www.econbiz.de/10011300484

Modeling time-varying parameters using artificial neural networks : a GARCH illustration

Donfack, Morvan Nongni; Dufays, Arnaud - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 311-343

Persistent link: https://www.econbiz.de/10012806535

Sparse change-point HAR Models for Realized Variance

Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Econometric reviews 38 (2019) 8, pp. 857-880

Persistent link: https://www.econbiz.de/10012181370

Measuring uncertainty and uncertainty dispersion from a large set of model predictions

Ardia, David; Dufays, Arnaud - 2021

We construct measures of uncertainty and its dispersion exploiting the heterogeneity of a large set of model predictions. The approach is forward-looking, can be computed in real-time, and can be applied at any frequency. We illustrate the methodology with expected shortfall predictions of...

Persistent link: https://www.econbiz.de/10013213867