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 2 65
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 0 0 2 151
A new approach: the factorial hidden Markov volatility model 0 0 0 0 0 0 1 25
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 0 1 23
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 0 2 25
Autoregressive moving average infinite hidden markov-switching models 0 0 1 52 0 0 3 114
Commodities Inventory Effect 0 0 0 0 0 0 2 20
Commodities Inventory Effect 0 1 1 153 0 1 2 677
Commodities volatility and the theory of storage 0 0 0 0 0 0 7 61
Commodities volatility and the theory of storage 1 1 4 74 1 2 7 225
Estimating and forecasting structural breaks in financial time series 0 0 0 106 1 1 3 350
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 0 2 2 70
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 0 0 1 25
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 1 52 1 1 4 146
Linking Frequentist and Bayesian Change-Point Methods 0 1 2 27 2 6 11 47
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 1 2 161
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 0 0 1 1
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 0 0 3 77
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 1 1 2 75
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 2 2 26
Selective linear segmentation for detecting relevant parameter changes 0 0 1 8 2 3 6 14
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 47
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 0 0 1 54
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 0 0 2 12
Total Working Papers 1 3 10 915 8 22 71 2,856

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 2 3 26 1 3 4 109
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 9 0 2 6 24
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 1 3 4 52
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 0 0 2 33
Infinite-State Markov-Switching for Dynamic Volatility 0 0 1 17 1 2 4 43
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 1 63 1 4 7 254
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 0 3 5 45
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 0 1 15 1 3 7 45
Peer-induced beliefs regarding college participation 0 0 1 1 0 0 4 11
Relevant parameter changes in structural break models 0 0 0 6 0 1 3 34
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 0 1 0 0 1 10
Sparse Change-point HAR Models for Realized Variance 0 0 3 3 0 0 6 22
Sparse change‐point VAR models 0 0 0 3 0 2 2 22
Total Journal Articles 0 2 11 162 5 23 55 704

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Statistics updated 2025-10-06