Corps professoral et chercheurs

DUFAYS Arnaud, PhD

Professeur Associé

Discipline : Data Science

EDHEC Business School
24, avenue Gustave Delory
CS 50411
59057 Roubaix Cedex 1
Tél.: + 33 (0)3 20 15 45 00
Fax: + 33 (0)3 20 15 45 01

Email : [email protected]



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.

Principales contributions académiques

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

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