Arnaud Dufays  ph. D. in Economics and Management Science Assistant professor at Université Laval (ULaval)
2216 Pavillon J.A.DeSève, G1V 0A6, Québec, Canada Office +1 (418) 6562131  Poste 7749


Research Interests : Econometrics, Finance and Bayesian inferencePh.D. thesis : Modeling structural changes in volatility (Thesis advisor : Luc Bauwens)
It is well known by economists that forecasting
time series is difficult for many reasons, among which the changing
(institutional, technological…) environment and behaviour of agents of the
economic system. Changes may be slow and progressive or quick and abrupt, and
generate the nonstationarity of many time series in the long run, such as
changes in their trend or volatility. Ignoring these breaks by assuming
constant parameters in econometric models, typically leads to forecasts that
are far from realizations. The thesis focuses on detecting and estimating structural breaks in volatility of
financial time series.
Master thesis : Forecasting Time Series Subject To Multiple Structural Breaks (Promotor : Luc Bauwens) The thesis theoretically and pratically (in matlab) develops an autoregressive model that deals with structural breaks in parameters (mean and variance). By embedding a hierarchical structure, the model uses information on the magnitude and the frequency of structural breaks exhibited by the time series to forecast structural breaks. It documents the paper of Pesaran, Pettenuzo and Timmerman's (2006) and deepens their results by adding some discussions on the Monte carlo standard error. It also investigates the possibility of having structural break in the frequency of structural break itself. A selfcontained theory for understanding the main concept of Bayesian inferences by MarkovChain Monte carlo (MCMC) lies in appendix.
Recent papers :
 Bauwens, L., Dufays, A., Rombouts, J.V.K. (2011), Marginal Likelihood Computation for Markov Switching and Changepoint GARCH Models.
 Bauwens, L., Dufays, A., De Backer, B. (2011), Estimating and forecasting structural breaks in financial time series.
 Carpantier, JF. and Dufays, A. (2012), Commodities Volatility and the Theory of Storage.
 Dufays, A. (2012), InfiniteState MarkovSwitching for Dynamic Volatility and Correlation Models.
 Dufays, A. (2015), Evolutionary Sequential Monte Carlo for Changepoint models
 Bauwens, L. and Carpantier, JF. and Dufays, A. (2015), Autoregressive Moving Average Autoregressive infinite Markovswitching models
 Dufays, A. (2016), Evolutionary Sequential Monte Carlo Samplers for ChangePoint Models

