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 0 34 0 0 2 65
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 1 2 3 153
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 0 1 25
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 1 2 3 25
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 0 2 25
Autoregressive moving average infinite hidden markov-switching models 0 0 1 52 1 1 4 115
Commodities Inventory Effect 0 0 0 0 0 0 2 20
Commodities Inventory Effect 0 0 1 153 1 3 5 680
Commodities volatility and the theory of storage 0 1 3 74 0 2 7 226
Commodities volatility and the theory of storage 0 0 0 0 2 3 9 64
Estimating and forecasting structural breaks in financial time series 1 1 1 107 1 4 6 353
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 0 1 25
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 1 1 3 71
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 1 52 1 5 8 150
Linking Frequentist and Bayesian Change-Point Methods 0 0 2 27 3 7 13 52
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 2 3 3 186
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 1 1 1 32 3 4 4 109
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 1 2 4 163
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 2 3 4 4
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 1 2 5 79
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 1 2 3 76
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 1 1 3 27
Selective linear segmentation for detecting relevant parameter changes 0 0 1 8 0 4 8 16
Sparse Change-Point Time Series Models 0 0 0 51 1 4 4 78
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 1 4 6 51
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 2 3 5 15
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 2 4 5 58
Total Working Papers 2 3 11 917 29 66 123 2,914

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 3 26 1 6 9 114
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 1 1 10 1 3 8 27
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 0 1 4 52
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 0 1 3 34
Infinite-State Markov-Switching for Dynamic Volatility 0 0 1 17 0 2 5 44
Marginal likelihood for Markov-switching and change-point GARCH models 1 1 2 64 3 6 12 259
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 0 1 5 46
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 0 15 2 3 6 47
Peer-induced beliefs regarding college participation 0 0 1 1 1 1 4 12
Relevant parameter changes in structural break models 0 0 0 6 1 2 4 36
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 1 1 2 0 1 2 11
Sparse Change-point HAR Models for Realized Variance 0 0 3 3 2 2 8 24
Sparse change‐point VAR models 0 0 0 3 2 2 4 24
Total Journal Articles 1 3 12 165 13 31 74 730

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-12-06