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 Bayesian method of change-point estimation with recurrent regimes: application to GARCH models 0 0 0 0 0 0 0 3
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 1 34 1 1 2 64
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 0 1 3 151
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 0 1 24
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 1 2 23
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 0 2 23
Autoregressive moving average infinite hidden markov-switching models 1 1 1 52 3 3 4 114
Commodities Inventory Effect 0 0 0 0 0 2 3 20
Commodities Inventory Effect 0 0 1 152 0 1 3 676
Commodities volatility and the theory of storage 0 0 0 0 1 1 3 56
Commodities volatility and the theory of storage 0 0 1 71 0 0 4 219
Estimating and forecasting structural breaks in financial time series 0 0 0 106 0 1 1 348
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 0 0 24
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 0 0 68
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 0 51 1 1 2 143
Linking Frequentist and Bayesian Change-Point Methods 0 0 1 25 0 1 9 40
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 0 0 183
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 31 0 0 0 105
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 0 1 1 160
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 0 0 0 0
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 1 1 1 75
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 1 1 1 74
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 0 0 24
Selective linear segmentation for detecting relevant parameter changes 0 0 6 7 0 1 8 9
Sparse Change-Point Time Series Models 0 0 0 51 0 0 0 74
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 1 1 2 46
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 0 0 10
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 1 3 54
Total Working Papers 1 1 11 907 9 19 55 2,810

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 0 23 0 0 1 105
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 9 2 2 4 21
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 1 6 0 1 5 49
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 0 0 0 31
Infinite-State Markov-Switching for Dynamic Volatility 0 0 0 16 1 1 1 40
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 62 0 0 1 247
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 0 0 1 41
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 3 15 0 0 5 41
Peer-induced beliefs regarding college participation 0 1 1 1 0 2 5 10
Relevant parameter changes in structural break models 0 0 1 6 0 1 5 33
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 0 1 0 0 2 9
Sparse Change-point HAR Models for Realized Variance 0 1 1 1 1 4 4 20
Sparse change‐point VAR models 0 0 0 3 0 0 2 20
Total Journal Articles 0 2 8 155 4 11 36 667

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Statistics updated 2025-03-03