Access Statistics for Arnaud Dufays

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 32 0 0 5 56
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 77 0 2 7 129
A new approach: the factorial hidden Markov volatility model 0 0 0 0 1 3 10 10
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 0 6 16
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 1 1 5 16
Autoregressive moving average infinite hidden markov-switching models 0 0 2 51 0 2 8 99
Commodities Inventory Effect 0 0 0 148 1 1 9 661
Commodities Inventory Effect 0 0 0 0 0 1 4 9
Commodities volatility and the theory of storage 0 0 0 0 0 4 15 27
Commodities volatility and the theory of storage 0 0 1 65 1 3 9 199
Estimating and forecasting structural breaks in financial time series 0 0 10 99 0 5 30 324
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 32 0 2 8 60
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 1 9 22
Infinite-state Markov-switching for dynamic volatility and correlation models 0 1 2 47 2 3 6 126
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 19 2 2 7 175
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 30 0 0 3 100
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 52 2 8 17 126
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 1 2 8 73
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 1 53 0 0 3 68
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 4 7 23
Sparse Change-Point Time Series Models 0 0 1 51 1 2 11 66
Sparse Change-point HAR Models for Realized Variance 0 0 1 21 0 2 9 38
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 0 1 4
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 0 3 47
Total Working Papers 0 1 18 839 12 48 200 2,474


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models 0 0 4 16 0 2 10 81
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 1 3 3 0 1 6 6
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 3 0 1 9 34
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 1 1 0 2 8 25
Infinite-State Markov-Switching for Dynamic Volatility 0 1 4 9 0 1 6 27
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 1 55 3 5 9 222
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 1 1 5 1 4 8 28
Relevant parameter changes in structural break models 0 1 1 1 0 4 10 10
Sparse Change-point HAR Models for Realized Variance 0 0 0 0 0 0 5 14
Total Journal Articles 0 4 15 93 4 20 71 447


Statistics updated 2021-01-03