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 28 31
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 34 1 3 10 75
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 3 4 14 165
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 0 9 34
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 0 7 30
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 0 2 27
Autoregressive moving average infinite hidden markov-switching models 0 0 0 52 0 1 15 129
Commodities Inventory Effect 0 0 0 0 0 1 9 29
Commodities Inventory Effect 0 0 0 153 0 0 19 696
Commodities volatility and the theory of storage 0 0 0 0 0 2 16 77
Commodities volatility and the theory of storage 1 1 1 75 1 4 16 241
Estimating and forecasting structural breaks in financial time series 0 0 3 109 0 2 16 366
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 0 13 38
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 56 64 134
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 0 52 0 0 14 160
Linking Frequentist and Bayesian Change-Point Methods 0 0 0 27 0 1 23 70
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 0 13 196
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 1 32 0 0 16 121
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 1 1 56 0 2 21 182
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 0 0 11 12
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 0 2 14 91
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 0 0 19 94
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 1 1 19 45
Selective linear segmentation for detecting relevant parameter changes 0 0 0 8 0 2 10 24
Sparse Change-Point Time Series Models 0 0 0 51 1 3 12 86
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 0 1 16 63
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 0 20 32
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 0 11 65
Total Working Papers 1 2 6 921 7 85 457 3,313

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 1 2 28 1 3 17 126
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 10 1 5 22 46
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 0 1 16 68
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 0 0 23 56
Infinite-State Markov-Switching for Dynamic Volatility 0 0 2 19 0 0 9 52
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 4 67 0 0 13 267
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 1 3 21 66
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 1 1 2 17 2 3 27 72
Peer-induced beliefs regarding college participation 0 0 1 2 0 0 8 19
Relevant parameter changes in structural break models 0 2 3 9 0 3 24 58
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 1 2 0 0 12 22
Sparse Change-point HAR Models for Realized Variance 0 0 0 3 0 3 14 36
Sparse change‐point VAR models 0 0 0 3 0 2 12 34
Total Journal Articles 1 4 16 178 5 23 218 922

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Statistics updated 2026-10-11