Details about John M. Maheu

Access statistics for papers by John M. Maheu.

Last updated 2009-09-07. Update your information in the RePEc Author Service.

Short-id: pma144

Working Papers

2009

1. Bayesian semiparametric stochastic volatility modeling
   Working Paper Series, Rimini Centre for Economic Analysis
   Also in Working Paper, Federal Reserve Bank of Atlanta (2008) View citations
   Working Papers, University of Toronto, Department of Economics (2008)
2. Do high-frequency measures of volatility improve forecasts of return distributions?
   Working Paper Series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Toronto, Department of Economics (2008) View citations
3. Extracting bull and bear markets from stock returns
   Working Papers, University of Toronto, Department of Economics
4. Real Time Detection of Structural Breaks in GARCH Models
   Working Paper Series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Toronto, Department of Economics (2008)

2008

5. Forecasting Realized Volatility: A Bayesian Model Averaging Approach
   Working Papers, University of Toronto, Department of Economics
   See also Journal Article in Journal of Applied Econometrics (2009)
6. Improving Forecasts of Inflation using the Term Structure of Interest Rates
   Working Papers, University of Toronto, Department of Economics

2007

7. Are there Structural Breaks in Realized Volatility?
   Working Papers, University of Toronto, Department of Economics View citations
   See also Journal Article in Journal of Financial Econometrics (2008)
8. How useful are historical data for forecasting the long-run equity return distribution?
   Working Papers, University of Toronto, Department of Economics
   Also in Working Paper Series, Rimini Centre for Economic Analysis (2007) View citations
   See also Journal Article in Journal of Business & Economic Statistics (2009)
9. Learning, Forecasting and Structural Breaks
   Working Papers, University of Toronto, Department of Economics View citations
   Also in Cahiers de recherche, CIRPEE (2004) View citations
   See also Journal Article in Journal of Applied Econometrics (2008)
10. Modeling foreign exchange rates with jumps
    Working Papers, University of Toronto, Department of Economics

2005

11. The long-run relationship between market risk and return
    Working Papers, University of Toronto, Department of Economics

2003

12. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
    CIRANO Working Papers, CIRANO
    See also Journal Article in Journal of Finance (2004)

2001

13. Nonlinear Features of Realized FX Volatility
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in The Review of Economics and Statistics (2002)

2000

14. Volatility Dynamics Under Duration-Dependent Mixing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    See also Journal Article in Journal of Empirical Finance (2000)

1999

15. A Semi-Markov Approach to Modeling Volatility Dynamics
    Rotman School of Management - Finance, Rotman School of Management, University of Toronto

Journal Articles

2009

1. Forecasting realized volatility: a Bayesian model-averaging approach
   Journal of Applied Econometrics, 2009, 24, (5), 709-733
   See also Working Paper (2008)
2. How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
   Journal of Business & Economic Statistics, 2009, 27, 95-112
   See also Working Paper (2007)

2008

3. Are There Structural Breaks in Realized Volatility?
   Journal of Financial Econometrics, 2008, 6, (3), 326-360 View citations
   See also Working Paper (2007)
4. Learning, forecasting and structural breaks
   Journal of Applied Econometrics, 2008, 23, (5), 553-583 View citations
   See also Working Paper (2007)

2007

5. Components of Market Risk and Return
   Journal of Financial Econometrics, 2007, 5, (4), 560-590 View citations

2004

6. News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
   Journal of Finance, 2004, 59, (2), 755-793 View citations
   See also Working Paper (2003)

2002

7. Conditional Jump Dynamics in Stock Market Returns
   Journal of Business & Economic Statistics, 2002, 20, (3), 377-89 View citations
8. Nonlinear Features of Realized FX Volatility
   The Review of Economics and Statistics, 2002, 84, (4), 668-681 View citations
   See also Working Paper (2001)

2000

9. Identifying Bull and Bear Markets in Stock Returns
   Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations
10. Volatility dynamics under duration-dependent mixing
    Journal of Empirical Finance, 2000, 7, (3-4), 345-372 View citations
    See also Working Paper (2000)