Arnaud Dufays

Associate Professor

Main contributions

Economics of Education Review (2022), Journal of Applied Econometrics (2021), Journal of Econometrics (2013 ; 2020), Journal of Business and Economic Statistics (2017;2018), Journal of Financial Econometrics (2016 ; 2020), Studies in Nonlinear Dynamics & Econometrics (2020), Economic Letters (2018), Journal of Business and Economic Statistics (2018), Econometric Reviews (2018), Econometrics (2016), Journal of Empirical Finance (2014),

Discipline: Data Science
Faculty: Data Science, Economics & Finance


Arnaud Dufays is currently associate professor in Data Science. He holds a PhD in management science from Catholic University of Louvain. His research interests include Bayesian econometrics and advanced statistical modelling of time series. In particular, he has developed multiple methods for detecting instabilities in time series. This allows to make better predictions and leads to better understanding of the dynamic of series.  More specifically, focusing on financial and macroeconomic time series, he develops models and estimation methods to capture instabilities in contexts of path dependence, of large sample, etc. Arnaud Dufays has published papers in prestigious academic journals such as Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Financial Econometrics, studies in Nonlinear Dynamics and Econometrics, Econometric Reviews, Journal of Empirical Finance and Econometrics. Arnaud Dufays has previous experience in several international universities. He has spent three years as an assistant professor at Laval University, two years as a F.R.S.-FNRS research at Namur University and one year at ESSEC Business school as an invited professor. During these experiences, he had the opportunity to teach at the undergraduate, graduate and PhD level.

Publications of Arnaud Dufays

08.05.2024 - Article in a peer reviewed journal

Fast Filtering with Large Option Panels: Implications for Asset Pricing

Rombouts Jeroen, Jacobs Kris, Liu Yuguo, Arnaud Dufays

Journal of Financial and Quantitative Analysis, May 2024, Pages 1 - 32

15.12.2023 - Article in a peer reviewed journal

Linking Frequentist and Bayesian Change-Point Methods

Arnaud Dufays, David Ardia, Carlos Ordas Criado

Journal of Business and Economic Statistics, December 2023

13.04.2023 - EDHEC publication

4 questions à Arnaud Dufays sur le rôle des relations sociales dans la motivation à poursuivre des études supérieures

Arnaud Dufays

EDHEC VOX, April 2023

22.08.2022 - Article in a peer reviewed journal

Peer-induced beliefs regarding college participation

Arnaud Dufays, Vincent Boucher, F. Antoine Dedewanou

Economics of Education Review, Volume 90, October 2022, Pages 1 - 15

09.07.2021 - Article in a peer reviewed journal

Sparse change-point VAR models

Arnaud Dufays, Rombouts Jeroen, Yong Song, Zhuo Li

Journal of Applied Econometrics, Volume 36, November 2021, Pages 703 - 727