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 0 1 8 72
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 0 3 10 161
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 1 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 14 128
Commodities Inventory Effect 0 0 0 153 0 1 19 696
Commodities Inventory Effect 0 0 0 0 1 2 9 29
Commodities volatility and the theory of storage 0 0 1 74 1 1 14 238
Commodities volatility and the theory of storage 0 0 0 0 0 2 14 75
Estimating and forecasting structural breaks in financial time series 0 0 3 109 1 2 16 365
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 0 8 78
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 1 13 38
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 0 52 0 0 15 160
Linking Frequentist and Bayesian Change-Point Methods 0 0 1 27 1 4 28 70
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 1 13 196
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 1 32 0 2 16 121
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 1 1 21 181
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 0 1 12 89
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 0 1 11 12
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 0 0 20 94
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 3 19 44
Selective linear segmentation for detecting relevant parameter changes 0 0 0 8 0 1 10 22
Sparse Change-Point Time Series Models 0 0 0 51 0 0 9 83
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 0 1 15 62
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 3 20 32
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 0 11 65
Total Working Papers 0 0 6 919 5 33 391 3,233

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 1 2 4 28 1 2 18 124
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 10 3 6 20 44
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 0 2 17 67
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 10 52
Marginal likelihood for Markov-switching and change-point GARCH models 0 1 4 67 0 2 14 267
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 0 0 19 63
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 1 16 1 4 27 70
Peer-induced beliefs regarding college participation 0 0 1 2 0 2 8 19
Relevant parameter changes in structural break models 0 1 1 7 0 3 21 55
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 1 1 12 34
Sparse change‐point VAR models 0 0 0 3 1 1 13 33
Total Journal Articles 1 4 15 175 7 23 214 906

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Statistics updated 2026-08-07