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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
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009504878
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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Specific Markov-switching behaviour for ARMA parameters
Carpantier, Jean-François; Dufays, Arnaud - 2014
Persistent link: https://www.econbiz.de/10010385182
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009382620
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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
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Specific Markov-switching behaviour for ARMA parameters
Carpantier, Jean-François; Dufays, Arnaud - 2014
Persistent link: https://www.econbiz.de/10010483766
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Sparse change-point time series models
Dufays, Arnaud; Rombouts, Jeroen V. K. - 2015
Persistent link: https://www.econbiz.de/10011579133
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Estimating and forecasting structural breaks in financial time series
Bauwens, Luc; Dufays, Arnaud; De Backer, Bruno - 2011
Persistent link: https://www.econbiz.de/10009390347
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A new approach to volatility modeling : the high-dimensional Markov Model
Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - 2016
Persistent link: https://www.econbiz.de/10011894434