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 11 23 23 26
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 34 0 3 4 68
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 81 1 4 6 157
A new approach: the factorial hidden Markov volatility model 0 0 0 0 1 6 7 31
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 1 5 7 30
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 2 4 27
Autoregressive moving average infinite hidden markov-switching models 0 0 0 52 2 10 11 125
Commodities Inventory Effect 0 0 1 153 2 13 17 693
Commodities Inventory Effect 0 0 0 0 2 7 7 27
Commodities volatility and the theory of storage 0 0 3 74 2 6 13 232
Commodities volatility and the theory of storage 0 0 0 0 1 5 13 69
Estimating and forecasting structural breaks in financial time series 0 0 1 107 2 7 12 360
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 33 1 6 9 77
Evolutionary Sequential Monte Carlo Samplers for Change-point Models 0 0 0 4 2 7 8 32
Infinite-state Markov-switching for dynamic volatility and correlation models 0 0 1 52 0 4 11 154
Linking Frequentist and Bayesian Change-Point Methods 0 0 2 27 2 8 20 60
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 21 0 9 12 195
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 1 32 5 6 10 115
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 55 6 12 15 175
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 3 7 11 86
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 0 2 5 9 9
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers 0 0 0 54 8 12 14 88
Peer-Induced Beliefs Regarding College Participation 0 0 0 6 0 9 12 36
Selective linear segmentation for detecting relevant parameter changes 0 0 1 8 1 4 11 20
Sparse Change-Point Time Series Models 0 0 0 51 0 3 7 81
Sparse Change-point HAR Models for Realized Variance 0 0 0 21 1 9 14 60
Specific Markov-switching behaviour for ARMA parameters 0 0 0 0 4 11 16 26
Specific Markov-switching behaviour for ARMA parameters 0 0 0 39 2 7 11 65
Total Working Papers 0 0 10 917 62 210 314 3,124

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 2 4 13 118
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 0 0 1 10 3 7 13 34
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 6 2 6 9 58
Evolutionary Sequential Monte Carlo Samplers for Change-Point Models 0 0 0 2 6 21 24 55
Infinite-State Markov-Switching for Dynamic Volatility 0 0 1 17 0 4 8 48
Marginal likelihood for Markov-switching and change-point GARCH models 1 1 3 65 2 4 16 263
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space 0 0 0 10 3 12 17 58
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 0 1 1 16 0 12 18 59
Peer-induced beliefs regarding college participation 0 1 1 2 0 3 5 15
Relevant parameter changes in structural break models 0 0 0 6 2 8 11 44
Selective Linear Segmentation for Detecting Relevant Parameter Changes* 0 0 1 2 4 9 11 20
Sparse Change-point HAR Models for Realized Variance 0 0 2 3 1 5 9 29
Sparse change‐point VAR models 0 0 0 3 1 6 10 30
Total Journal Articles 1 3 13 168 26 101 164 831

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Statistics updated 2026-03-04