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 11 12 12 15
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 34 1 3 5 68
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 3 4 5 156
A new approach: the factorial hidden Markov volatility model 0 0 0 0 4 5 6 30
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 4 5 6 29
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 2 2 4 27
Autoregressive moving average infinite hidden markov-switching models 0 0 1 52 6 9 12 123
Commodities Inventory Effect 0 0 0 0 5 5 5 25
Commodities Inventory Effect 0 0 1 153 7 12 15 691
Commodities volatility and the theory of storage 0 0 0 0 2 6 13 68
Commodities volatility and the theory of storage 0 0 3 74 2 4 11 230
Estimating and forecasting structural breaks in financial time series 0 1 1 107 2 6 10 358
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 2 6 8 76
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 4 5 6 30
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 1 52 4 5 12 154
Linking Frequentist and Bayesian Change-Point Methods 0 0 2 27 3 9 18 58
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 5 11 12 195
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 1 1 32 0 4 5 110
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 5 7 9 169
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 3 5 9 83
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 3 5 7 7
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 3 5 7 80
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 7 10 12 36
Selective linear segmentation for detecting relevant parameter changes 0 0 1 8 3 3 10 19
Sparse Change-Point Time Series Models 0 0 0 51 3 4 7 81
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 5 9 14 59
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 5 9 12 22
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 4 7 9 63
Total Working Papers 0 2 11 917 108 177 261 3,062

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 2 3 11 116
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 10 1 5 12 31
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 2 4 7 56
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 8 15 18 49
Infinite-State Markov-Switching for Dynamic Volatility 0 0 1 17 2 4 9 48
Marginal likelihood for Markov-switching and change-point GARCH models 0 1 2 64 2 5 14 261
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 7 9 14 55
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 1 1 16 8 14 18 59
Peer-induced beliefs regarding college participation 0 1 1 2 1 4 5 15
Relevant parameter changes in structural break models 0 0 0 6 5 7 9 42
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 1 2 2 5 7 16
Sparse Change-point HAR Models for Realized Variance 0 0 2 3 2 6 9 28
Sparse change‐point VAR models 0 0 0 3 5 7 9 29
Total Journal Articles 0 3 12 167 47 88 142 805

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Statistics updated 2026-02-12