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Another look at factors explaining quality of financial analysts ́forecasts : evidence from the Asian emerging markets

Coën, Alain; Desfleurs, Aurélie; L'Her, Jean-François; … - In: Journal of multinational financial management 15 (2005) 4/5, pp. 414-434

Persistent link: https://www.econbiz.de/10003103146

International evidence on the relative importance of the determinants of earnings forecast accuracy

Coën, Alain; Desfleurs, Aurélie; L'Her, Jean-François - In: Journal of economics & business 61 (2009) 6, pp. 453-471

Persistent link: https://www.econbiz.de/10003902534

The informational dimensions of the Amihud (2002) illiquidity measure : evidence from the M&A market

Coën, Alain; La Bruslerie, Hubert de - In: Finance research letters 29 (2019), pp. 23-29

Persistent link: https://www.econbiz.de/10012417696

The relative performance of green REITs : evidence from financial analysts' forecasts and abnormal returns

Coën, Alain; Desfleurs, Aurélie - In: Finance research letters 45 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014576863

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

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

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