Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Arnaud Dufays"'
Autor:
Arnaud Dufays
Publikováno v:
Econometrics, Vol 4, Iss 1, p 12 (2016)
Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain
Externí odkaz:
https://doaj.org/article/67008b2f333b4320b24b815cdaf1ee23
Publikováno v:
Journal of Applied Econometrics. 36:703-727
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model which determines which parameters truly vary when a break is detected. By d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26773bd9b83a7863d179cf3bf0a7a616
https://doi.org/10.1002/jae.2844
https://doi.org/10.1002/jae.2844
Publikováno v:
Journal of Financial Econometrics. 20:762-805
Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8cfa3792b2c52ae98f082c6d90e69f23
https://doi.org/10.1093/jjfinec/nbaa032
https://doi.org/10.1093/jjfinec/nbaa032
Autor:
Arnaud Dufays, Morvan Nongni Donfack
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 25:311-343
We propose a new volatility process in which parameters vary over time according to an artificial neural network (ANN). We prove the process’s stationarity as well as the global identification of the parameters. Since ANNs require economic series a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c27efbf33cdaf5bc151383443cc26461
https://doi.org/10.1515/snde-2019-0091
https://doi.org/10.1515/snde-2019-0091
Autor:
Jeroen V.K. Rombouts, Arnaud Dufays
Publikováno v:
Journal of Econometrics. 217:46-78
Structural break time series models, which are commonly used in macroeconomics and finance, capture unknown structural changes by allowing for abrupt changes to model parameters. However, many specifications suffer from an over-parametrization issue,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::158cc5ded058631e35b7d762330571ea
https://doi.org/10.1016/j.jeconom.2019.10.008
https://doi.org/10.1016/j.jeconom.2019.10.008
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8c2f758922fca010fef92f07fd097dd
https://doi.org/10.2139/ssrn.4066005
https://doi.org/10.2139/ssrn.4066005
Autor:
Arnaud Dufays
This chapter evaluates Bayesian inference, which refers to the Bayesian statistical method for estimating the parameters of a model and for testing a hypothesis. It relies on subjective statistics and extensively uses Bayes’s theorem. In the early
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7e14a35d8bfb01abd12937b84ba6b3b4
https://doi.org/10.1093/hepl/9780198850298.003.0003
https://doi.org/10.1093/hepl/9780198850298.003.0003
Autor:
David Ardia, Arnaud Dufays
Publikováno v:
SSRN Electronic Journal.
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 methodolog
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19c02629e89bd1a8ba356786dc89e34f
https://doi.org/10.2139/ssrn.3917085
https://doi.org/10.2139/ssrn.3917085
Publikováno v:
Journal of Business & Economic Statistics, Vol. 37, no.4, p. 696-709 (2019)
A new process—the factorial hidden Markov volatility (FHMV) model—is proposed to model financial returns or realized variances. Its dynamics are driven by a latent volatility process specified as a product of three components: a Markov chain cont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0e36e33c589d13a8f85016f3d726ae4
https://doi.org/10.1080/07350015.2017.1415910
https://doi.org/10.1080/07350015.2017.1415910
Autor:
Arnaud Dufays, Jeroen V.K. Rombouts
Publikováno v:
Econometric Reviews. 38:857-880
Change-point time series specifications constitute flexible models that capture unknown structural changes by allowing for switches in the model parameters. Nevertheless most models suffer from an ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f61ac68637b971f0fd62fcff564f8b30
https://doi.org/10.1080/07474938.2018.1454366
https://doi.org/10.1080/07474938.2018.1454366