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 1 1 64
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 0 0 3 151
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 0 0 24
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 0 2 23
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 1 2 24
Autoregressive moving average infinite hidden markov-switching models 0 1 1 52 0 3 4 114
Commodities Inventory Effect 0 0 1 152 0 0 3 676
Commodities Inventory Effect 0 0 0 0 0 0 2 20
Commodities volatility and the theory of storage 0 0 0 0 3 5 6 60
Commodities volatility and the theory of storage 1 1 2 72 1 3 6 222
Estimating and forecasting structural breaks in financial time series 0 0 0 106 0 0 1 348
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 0 0 68
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 0 0 24
Infinite-state Markov-switching for dynamic volatility and correlation models 0 1 1 52 0 3 4 145
Linking Frequentist and Bayesian Change-Point Methods 0 0 0 25 0 0 7 40
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 0 0 183
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 31 0 0 0 105
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 0 0 1 160
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 0 1 1 75
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 0 0 0 0
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 0 1 1 74
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 0 0 24
Selective linear segmentation for detecting relevant parameter changes 1 1 1 8 1 2 6 11
Sparse Change-Point Time Series Models 0 0 0 51 0 0 0 74
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 0 1 2 46
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 2 2 12
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 0 2 54
Total Working Papers 2 4 6 910 5 23 56 2,824

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 0 23 0 0 0 105
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 9 1 3 4 22
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 0 0 4 49
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 2 2 2 33
Infinite-State Markov-Switching for Dynamic Volatility 0 0 0 16 0 1 1 40
Marginal likelihood for Markov-switching and change-point GARCH models 0 1 1 63 1 2 3 249
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 1 1 2 42
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 3 15 0 0 5 41
Peer-induced beliefs regarding college participation 0 0 1 1 1 1 5 11
Relevant parameter changes in structural break models 0 0 1 6 0 0 5 33
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 0 1 0 1 2 10
Sparse Change-point HAR Models for Realized Variance 2 2 3 3 2 3 6 22
Sparse change‐point VAR models 0 0 0 3 0 0 1 20
Total Journal Articles 2 3 10 158 8 14 40 677

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Statistics updated 2025-05-12