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 5 16 28 31
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 34 3 3 7 71
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 0 2 7 158
A new approach: the factorial hidden Markov volatility model 0 0 0 0 1 3 9 33
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 1 7 30
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 0 3 27
Autoregressive moving average infinite hidden markov-switching models 0 0 0 52 1 4 13 127
Commodities Inventory Effect 0 0 1 153 1 4 19 695
Commodities Inventory Effect 0 0 0 0 0 2 7 27
Commodities volatility and the theory of storage 0 0 0 0 3 5 13 73
Commodities volatility and the theory of storage 0 0 2 74 2 7 15 237
Estimating and forecasting structural breaks in financial time series 1 2 3 109 2 5 15 363
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 2 10 78
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 2 7 13 37
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 0 52 5 6 15 160
Linking Frequentist and Bayesian Change-Point Methods 0 0 2 27 3 8 26 66
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 0 12 195
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 1 32 2 9 14 119
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 4 11 20 180
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 1 5 13 88
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 1 4 11 11
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 3 14 20 94
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 4 5 17 41
Selective linear segmentation for detecting relevant parameter changes 0 0 0 8 1 2 10 21
Sparse Change-Point Time Series Models 0 0 0 51 2 2 9 83
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 1 2 15 61
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 2 11 65
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 2 7 17 29
Total Working Papers 1 2 9 919 49 138 376 3,200

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 4 6 17 122
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 10 3 7 16 38
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 5 9 16 65
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 1 7 23 56
Infinite-State Markov-Switching for Dynamic Volatility 1 2 3 19 3 4 12 52
Marginal likelihood for Markov-switching and change-point GARCH models 1 2 3 66 2 4 16 265
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 4 8 21 63
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 1 16 4 7 25 66
Peer-induced beliefs regarding college participation 0 0 1 2 2 2 6 17
Relevant parameter changes in structural break models 0 0 0 6 6 10 19 52
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 1 2 1 6 12 22
Sparse Change-point HAR Models for Realized Variance 0 0 0 3 3 5 11 33
Sparse change‐point VAR models 0 0 0 3 1 3 12 32
Total Journal Articles 2 4 13 171 39 78 206 883

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Statistics updated 2026-05-06