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Marginal likelihood for Markov-switching and change-point GARCH models. (2011). Rombouts, Jeroen ; Dufays, Arnaud ; Bauwens, Luc ; Rombouts, Jeroen V. K., .
In: CORE Discussion Papers.
RePEc:cor:louvco:2011013.

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  1. Evolutionary Sequential Monte Carlo Samplers for Change-Point Models. (2016). Dufays, Arnaud.
    In: Econometrics.
    RePEc:gam:jecnmx:v:4:y:2016:i:1:p:12-:d:65253.

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  2. Evolutionary Sequential Monte Carlo Samplers for Change-point Models. (2015). Dufays, Arnaud.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1518.

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  3. Evolutionary Sequential Monte Carlo Samplers for Change-point Models. (2015). Dufays, Arnaud.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1508.

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  4. Sparse Change-Point Time Series Models. (2015). Dufays, Arnaud ; Rombouts, V.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2015032.

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  5. Autoregressive moving average infinite hidden markov-switching models. (2015). Dufays, Arnaud ; Carpantier, Jean-François ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2015007.

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  6. Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Maheu, John ; Jin, Xin.
    In: Working Paper series.
    RePEc:rim:rimwps:36_14.

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  7. On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers. (2014). Dufays, Arnaud.
    In: Working Paper Research.
    RePEc:nbb:reswpp:201409-263.

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  8. Specific Markov-switching behaviour for ARMA parameters. (2014). Carpantier, Jean-François.
    In: CREA Discussion Paper Series.
    RePEc:luc:wpaper:14-07.

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  9. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. (2014). Dufays, Arnaud ; Bauwens, Luc ; de Backer, Bruno .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:207-229.

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  10. Maximum likelihood estimation of the Markov-switching GARCH model. (2014). Augustyniak, Maciej.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:61-75.

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  11. Bayesian option pricing using mixed normal heteroskedasticity models. (2014). Stentoft, Lars ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:588-605.

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  12. Specific Markov-switching behaviour for ARMA parameters. (2014). Dufays, Arnaud ; Carpantier, Jean-François.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2014014.

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  13. �Markov Switching Models for Volatility: Filtering, Approximation and Duality�. (2013). Billio, Monica ; Cavicchioli, Maddalena.
    In: Working Papers.
    RePEc:ven:wpaper:2013:24.

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  14. Efficient Gibbs Sampling for Markov Switching GARCH Models. (2012). Osuntuyi, Ayokunle ; Casarin, Roberto ; Billio, Monica.
    In: Working Papers.
    RePEc:ven:wpaper:2012:35.

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  15. Infinite-state Markov-switching for dynamic volatility and correlation models. (2012). Dufays, Arnaud.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2012043.

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  16. Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2011058.

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  17. Estimating and forecasting structural breaks in financial time series. (2011). Dufays, Arnaud ; Bauwens, Luc ; de Backer, Bruno .
    In: CORE Discussion Papers.
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  47. European business cycles: new indices and analysis of their synchronicity. (2001). Assenmacher, Katrin ; Dueker, Michael.
    In: Working Papers.
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  48. Aggregate Price Shocks and Financial Instability: An Historical Analysis. (2000). Wheelock, David ; Dueker, Michael ; Bordo, Michael.
    In: NBER Working Papers.
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  49. Aggregate Price Shocks and Financial Instability: An Historical Analysis. (2000). Wheelock, David ; Dueker, Michael ; Bordo, Michael.
    In: NBER Historical Working Papers.
    RePEc:nbr:nberhi:0125.

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  50. Bayesian Analysis of Switching ARCH Models. (2000). Kaufmann, Sylvia ; Fruhwirth-Schnattaer, Sylvia.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1381.

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