Details about John M. Maheu

Access statistics for papers by John M. Maheu.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pma144

Working Papers

2023

1. Bayesian Forecasting in Economics and Finance: A Modern Review
   Papers, arXiv.org
2. Bayesian Forecasting in the 21st Century: A Modern Review
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2022

3. An Infinite Hidden Markov Model with Stochastic Volatility
   MPRA Paper, University Library of Munich, Germany

2020

4. A Multivariate GARCH-Jump Mixture Model
   MPRA Paper, University Library of Munich, Germany
5. Bull and Bear Markets During the COVID-19 Pandemic
   MPRA Paper, University Library of Munich, Germany
   Also in Papers, arXiv.org (2020)
   See also Journal Article in Finance Research Letters (2021)

2018

6. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices
   Working Paper series, Rimini Centre for Economic Analysis
   Also in MPRA Paper, University Library of Munich, Germany (2017) View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2019)
7. Oil Price Shocks and Economic Growth: The Volatility Link
   MPRA Paper, University Library of Munich, Germany
   Also in MPRA Paper, University Library of Munich, Germany (2018)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (5)
   See also Journal Article in International Journal of Forecasting (2020)

2017

8. An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2018)

2016

9. Bayesian Nonparametric Estimation of Ex-post Variance
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in The Journal of Financial Econometrics (2021)
10. Nonparametric Dynamic Conditional Beta
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article in The Journal of Financial Econometrics (2021)

2015

11. An Infinite Hidden Markov Model for Short-term Interest Rates
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2015) View citations (3)
    See also Journal Article in Journal of Empirical Finance (2016)
12. Improving Markov switching models using realized variance
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2018)

2014

13. Bayesian Semiparametric Modeling of Realized Covariance Matrices
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (1)
    See also Journal Article in Journal of Econometrics (2016)
14. Modeling Covariance Breakdowns in Multivariate GARCH
    MPRA Paper, University Library of Munich, Germany
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014)
    See also Journal Article in Journal of Econometrics (2016)
15. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (6)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (2)
    See also Journal Article in JRFM (2018)

2012

16. A New Structural Break Model with Application to Canadian Inflation Forecasting
    Working Papers, University of Toronto, Department of Economics
    Also in MPRA Paper, University Library of Munich, Germany (2012)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (2)
    See also Journal Article in International Journal of Forecasting (2014)
17. Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
18. Bayesian Semiparametric Multivariate GARCH Modeling
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Working Papers, University of Toronto, Department of Economics (2012) View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (2)
    See also Journal Article in Journal of Econometrics (2013)
19. Do Jumps Contribute to the Dynamics of the Equity Premium?
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article in Journal of Financial Economics (2013)
20. Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    Also in Working Papers, University of Toronto, Department of Economics (2012) View citations (1)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (1)
    See also Journal Article in Journal of Econometrics (2014)
21. Modelling Realized Covariances and Returns
    Working Paper series, Rimini Centre for Economic Analysis View citations (10)
    Also in Working Papers, University of Toronto, Department of Economics (2010) View citations (12)
    Working Paper series, Rimini Centre for Economic Analysis (2011)
    See also Journal Article in The Journal of Financial Econometrics (2013)

2011

22. Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
    Working Papers, University of Toronto, Department of Economics

2010

23. Components of bull and bear markets: bull corrections and bear rallies
    Working Papers, University of Toronto, Department of Economics View citations (7)
    See also Components of Bull and Bear Markets: Bull Corrections and Bear Rallies, Journal of Business & Economic Statistics, Taylor & Francis Journals View citations (36)
24. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
    Working Papers, University of Toronto, Department of Economics

2009

25. Bayesian Semiparametric Stochastic Volatility Modeling
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (5)
    See also Journal Article in Journal of Econometrics (2010)
26. Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
    Working Paper series, Rimini Centre for Economic Analysis View citations (11)
    Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (6)
    See also Journal Article in Journal of Econometrics (2011)
27. Extracting bull and bear markets from stock returns
    Working Papers, University of Toronto, Department of Economics View citations (11)
28. Modelling Realized Covariances
    Working Papers, University of Toronto, Department of Economics View citations (4)
29. Real Time Detection of Structural Breaks in GARCH Models
    Staff Working Papers, Bank of Canada View citations (3)
    Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2010)

2008

30. A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation
31. 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)
32. Improving Forecasts of Inflation using the Term Structure of Interest Rates
    Working Papers, University of Toronto, Department of Economics

2007

33. Are there Structural Breaks in Realized Volatility?
    Working Papers, University of Toronto, Department of Economics View citations (8)
    See also Journal Article in The Journal of Financial Econometrics (2008)
34. How useful are historical data for forecasting the long-run equity return distribution?
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
    Also in Working Papers, University of Toronto, Department of Economics (2007) View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
35. Learning, Forecasting and Structural Breaks
    Working Papers, University of Toronto, Department of Economics View citations (8)
    Also in Cahiers de recherche, CIRPEE (2004) View citations (16)
    See also Journal Article in Journal of Applied Econometrics (2008)
36. Modeling foreign exchange rates with jumps
    Working Papers, University of Toronto, Department of Economics View citations (2)

2003

37. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
    CIRANO Working Papers, CIRANO View citations (10)

2001

38. Nonlinear Features of Realized FX Volatility
    CIRANO Working Papers, CIRANO View citations (19)
    See also Journal Article in The Review of Economics and Statistics (2002)

2000

39. Volatility Dynamics Under Duration-Dependent Mixing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (9)
    See also Journal Article in Journal of Empirical Finance (2000)

1999

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

Journal Articles

2022

1. Infinite Markov pooling of predictive distributions
   Journal of Econometrics, 2022, 228, (2), 302-321 View citations (4)

2021

2. Bayesian Nonparametric Estimation of Ex Post Variance*
   (Out of Sample Forecasts of Quadratic Variation)
   The Journal of Financial Econometrics, 2021, 19, (5), 823-859
   See also Working Paper (2016)
3. Bull and bear markets during the COVID-19 pandemic
   Finance Research Letters, 2021, 42, (C) View citations (4)
   See also Working Paper (2020)
4. Nonparametric Dynamic Conditional Beta*
   The Journal of Financial Econometrics, 2021, 19, (4), 583-613 View citations (1)
   See also Working Paper (2016)

2020

5. Oil price shocks and economic growth: The volatility link
   International Journal of Forecasting, 2020, 36, (2), 570-587 View citations (17)
   See also Working Paper (2018)

2019

6. Bayesian parametric and semiparametric factor models for large realized covariance matrices
   Journal of Applied Econometrics, 2019, 34, (5), 641-660 View citations (10)
   See also Working Paper (2018)

2018

7. An efficient Bayesian approach to multiple structural change in multivariate time series
   Journal of Applied Econometrics, 2018, 33, (2), 251-270 View citations (7)
   See also Working Paper (2017)
8. Improving Markov switching models using realized variance
   Journal of Applied Econometrics, 2018, 33, (3), 297-318 View citations (8)
   See also Working Paper (2015)
9. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
   JRFM, 2018, 11, (3), 1-29 View citations (3)
   See also Working Paper (2014)

2016

10. An infinite hidden Markov model for short-term interest rates
    Journal of Empirical Finance, 2016, 38, (PA), 202-220 View citations (10)
    See also Working Paper (2015)
11. Bayesian semiparametric modeling of realized covariance matrices
    Journal of Econometrics, 2016, 192, (1), 19-39 View citations (21)
    See also Working Paper (2014)
12. Modeling covariance breakdowns in multivariate GARCH
    Journal of Econometrics, 2016, 194, (1), 1-23 View citations (2)
    See also Working Paper (2014)

2014

13. A new structural break model, with an application to Canadian inflation forecasting
    International Journal of Forecasting, 2014, 30, (1), 144-160 View citations (8)
    See also Working Paper (2012)
14. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
    Journal of Econometrics, 2014, 178, (P3), 523-538 View citations (14)
    See also Working Paper (2012)

2013

15. Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (4), 345-372 View citations (5)
    See also Working Paper (2012)
16. Bayesian semiparametric multivariate GARCH modeling
    Journal of Econometrics, 2013, 176, (1), 3-17 View citations (21)
    See also Working Paper (2012)
17. Do jumps contribute to the dynamics of the equity premium?
    Journal of Financial Economics, 2013, 110, (2), 457-477 View citations (24)
    See also Working Paper (2012)
18. Modeling Realized Covariances and Returns
    The Journal of Financial Econometrics, 2013, 11, (2), 335-369 View citations (46)
    See also Working Paper (2012)

2012

19. Intraday dynamics of volatility and duration: Evidence from Chinese stocks
    Pacific-Basin Finance Journal, 2012, 20, (3), 329-348 View citations (12)

2011

20. Do high-frequency measures of volatility improve forecasts of return distributions?
    Journal of Econometrics, 2011, 160, (1), 69-76 View citations (78)
    See also Working Paper (2009)

2010

21. Bayesian semiparametric stochastic volatility modeling
    Journal of Econometrics, 2010, 157, (2), 306-316 View citations (66)
    See also Working Paper (2009)
22. Real time detection of structural breaks in GARCH models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2628-2640 View citations (27)
    See also Working Paper (2009)

2009

23. Forecasting realized volatility: a Bayesian model-averaging approach
    Journal of Applied Econometrics, 2009, 24, (5), 709-733 View citations (46)
    See also Working Paper (2008)
24. How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
    Journal of Business & Economic Statistics, 2009, 27, 95-112 View citations (28)
    See also Working Paper (2007)

2008

25. Are There Structural Breaks in Realized Volatility?
    The Journal of Financial Econometrics, 2008, 6, (3), 326-360 View citations (66)
    See also Working Paper (2007)
26. Learning, forecasting and structural breaks
    Journal of Applied Econometrics, 2008, 23, (5), 553-583 View citations (44)
    See also Working Paper (2007)

2007

27. Components of Market Risk and Return
    The Journal of Financial Econometrics, 2007, 5, (4), 560-590 View citations (21)

2005

28. Can GARCH Models Capture Long-Range Dependence?
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 1-43 View citations (24)

2002

29. Conditional Jump Dynamics in Stock Market Returns
    Journal of Business & Economic Statistics, 2002, 20, (3), 377-89 View citations (160)
30. Nonlinear Features of Realized FX Volatility
    The Review of Economics and Statistics, 2002, 84, (4), 668-681 View citations (57)
    See also Working Paper (2001)

2000

31. Identifying Bull and Bear Markets in Stock Returns
    Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (205)
32. Volatility dynamics under duration-dependent mixing
    Journal of Empirical Finance, 2000, 7, (3-4), 345-372 View citations (10)
    See also Working Paper (2000)

Chapters

2008

1. Chapter 12 Modeling Foreign Exchange Rates with Jumps
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 449-475