Details about John M. Maheu
Access statistics for papers by John M. Maheu.
Last updated 2024-09-05. Update your information in the RePEc Author Service.
Short-id: pma144
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Working Papers
2023
- Bayesian Forecasting in Economics and Finance: A Modern Review
Papers, arXiv.org  View citations (2)
See also Journal Article Bayesian forecasting in economics and finance: A modern review, International Journal of Forecasting, Elsevier (2024) (2024)
- Bayesian Forecasting in the 21st Century: A Modern Review
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Identification and Forecasting of Bull and Bear Markets using Multivariate Returns
MPRA Paper, University Library of Munich, Germany
See also Journal Article Identification and forecasting of bull and bear markets using multivariate returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) (2024)
2022
- An Infinite Hidden Markov Model with Stochastic Volatility
MPRA Paper, University Library of Munich, Germany
See also Journal Article An infinite hidden Markov model with stochastic volatility, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) (2024)
2020
- A Multivariate GARCH-Jump Mixture Model
MPRA Paper, University Library of Munich, Germany
- 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 Bull and bear markets during the COVID-19 pandemic, Finance Research Letters, Elsevier (2021) View citations (4) (2021)
2018
- 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 Bayesian parametric and semiparametric factor models for large realized covariance matrices, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (13) (2019)
- 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 Oil price shocks and economic growth: The volatility link, International Journal of Forecasting, Elsevier (2020) View citations (17) (2020)
2017
- 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 An efficient Bayesian approach to multiple structural change in multivariate time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (8) (2018)
2016
- Bayesian Nonparametric Estimation of Ex-post Variance
MPRA Paper, University Library of Munich, Germany View citations (1)
See also Journal Article Bayesian Nonparametric Estimation of Ex Post Variance*, Journal of Financial Econometrics, Oxford University Press (2021) (2021)
- Nonparametric Dynamic Conditional Beta
MPRA Paper, University Library of Munich, Germany View citations (5)
See also Journal Article Nonparametric Dynamic Conditional Beta*, Journal of Financial Econometrics, Oxford University Press (2021) View citations (1) (2021)
2015
- An Infinite Hidden Markov Model for Short-term Interest Rates
MPRA Paper, University Library of Munich, Germany View citations (3)
Also in Working Paper series, Rimini Centre for Economic Analysis (2015) View citations (2)
See also Journal Article An infinite hidden Markov model for short-term interest rates, Journal of Empirical Finance, Elsevier (2016) View citations (10) (2016)
- Improving Markov switching models using realized variance
MPRA Paper, University Library of Munich, Germany View citations (3)
See also Journal Article Improving Markov switching models using realized variance, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (9) (2018)
2014
- Bayesian Semiparametric Modeling of Realized Covariance Matrices
MPRA Paper, University Library of Munich, Germany View citations (1)
Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (1)
See also Journal Article Bayesian semiparametric modeling of realized covariance matrices, Journal of Econometrics, Elsevier (2016) View citations (22) (2016)
- Modeling Covariance Breakdowns in Multivariate GARCH
Working Paper series, Rimini Centre for Economic Analysis
Also in MPRA Paper, University Library of Munich, Germany (2014)
See also Journal Article Modeling covariance breakdowns in multivariate GARCH, Journal of Econometrics, Elsevier (2016) View citations (2) (2016)
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (2)
MPRA Paper, University Library of Munich, Germany (2013) View citations (6)
See also Journal Article Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, JRFM, MDPI (2018) View citations (3) (2018)
2012
- A New Structural Break Model with Application to Canadian Inflation Forecasting
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2012)
Working Papers, University of Toronto, Department of Economics (2012)
See also Journal Article A new structural break model, with an application to Canadian inflation forecasting, International Journal of Forecasting, Elsevier (2014) View citations (10) (2014)
- 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 Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (5) (2013)
- 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 Bayesian semiparametric multivariate GARCH modeling, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)
- 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 Do jumps contribute to the dynamics of the equity premium?, Journal of Financial Economics, Elsevier (2013) View citations (26) (2013)
- Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Working Papers, University of Toronto, Department of Economics View citations (1)
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (1)
Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (1)
See also Journal Article Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture, Journal of Econometrics, Elsevier (2014) View citations (16) (2014)
- 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 (13)
Working Paper series, Rimini Centre for Economic Analysis (2011)
See also Journal Article Modeling Realized Covariances and Returns, Journal of Financial Econometrics, Oxford University Press (2013) View citations (47) (2013)
2011
- Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Working Papers, University of Toronto, Department of Economics
2010
- Components of bull and bear markets: bull corrections and bear rallies
Working Papers, University of Toronto, Department of Economics View citations (7)
See also Journal Article Components of Bull and Bear Markets: Bull Corrections and Bear Rallies, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (39) (2012)
- Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
Working Papers, University of Toronto, Department of Economics
2009
- Bayesian Semiparametric Stochastic Volatility Modeling
Working Paper series, Rimini Centre for Economic Analysis
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (5)
Working Papers, University of Toronto, Department of Economics (2008) View citations (3)
See also Journal Article Bayesian semiparametric stochastic volatility modeling, Journal of Econometrics, Elsevier (2010) View citations (68) (2010)
- 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 Do high-frequency measures of volatility improve forecasts of return distributions?, Journal of Econometrics, Elsevier (2011) View citations (78) (2011)
- Extracting bull and bear markets from stock returns
Working Papers, University of Toronto, Department of Economics View citations (11)
- Modelling Realized Covariances
Working Papers, University of Toronto, Department of Economics View citations (4)
- Real Time Detection of Structural Breaks in GARCH Models
Working Paper series, Rimini Centre for Economic Analysis View citations (3)
Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (4)
Staff Working Papers, Bank of Canada (2009) View citations (3)
See also Journal Article Real time detection of structural breaks in GARCH models, Computational Statistics & Data Analysis, Elsevier (2010) View citations (27) (2010)
2008
- 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
- Forecasting Realized Volatility: A Bayesian Model Averaging Approach
Working Papers, University of Toronto, Department of Economics
See also Journal Article Forecasting realized volatility: a Bayesian model-averaging approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) View citations (48) (2009)
- Improving Forecasts of Inflation using the Term Structure of Interest Rates
Working Papers, University of Toronto, Department of Economics
2007
- Are there Structural Breaks in Realized Volatility?
Working Papers, University of Toronto, Department of Economics View citations (8)
See also Journal Article Are There Structural Breaks in Realized Volatility?, Journal of Financial Econometrics, Oxford University Press (2008) View citations (68) (2008)
- 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 How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (29) (2009)
- 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 Learning, forecasting and structural breaks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (47) (2008)
- Modeling foreign exchange rates with jumps
Working Papers, University of Toronto, Department of Economics View citations (2)
2003
- News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
CIRANO Working Papers, CIRANO View citations (10)
2001
- Nonlinear Features of Realized FX Volatility
CIRANO Working Papers, CIRANO View citations (19)
See also Journal Article Nonlinear Features of Realized FX Volatility, The Review of Economics and Statistics, MIT Press (2002) View citations (57) (2002)
2000
- Volatility Dynamics Under Duration-Dependent Mixing
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (10)
See also Journal Article Volatility dynamics under duration-dependent mixing, Journal of Empirical Finance, Elsevier (2000) View citations (10) (2000)
1999
- A Semi-Markov Approach to Modeling Volatility Dynamics
Rotman School of Management - Finance, Rotman School of Management, University of Toronto
Journal Articles
2024
- An infinite hidden Markov model with stochastic volatility
Journal of Forecasting, 2024, 43, (6), 2187-2211
See also Working Paper An Infinite Hidden Markov Model with Stochastic Volatility, MPRA Paper (2022) (2022)
- Bayesian forecasting in economics and finance: A modern review
International Journal of Forecasting, 2024, 40, (2), 811-839
See also Working Paper Bayesian Forecasting in Economics and Finance: A Modern Review, Papers (2023) View citations (2) (2023)
- Identification and forecasting of bull and bear markets using multivariate returns
Journal of Applied Econometrics, 2024, 39, (5), 723-745
See also Working Paper Identification and Forecasting of Bull and Bear Markets using Multivariate Returns, MPRA Paper (2023) (2023)
2022
- Infinite Markov pooling of predictive distributions
Journal of Econometrics, 2022, 228, (2), 302-321 View citations (5)
2021
- Bayesian Nonparametric Estimation of Ex Post Variance*
(Out of Sample Forecasts of Quadratic Variation)
Journal of Financial Econometrics, 2021, 19, (5), 823-859
See also Working Paper Bayesian Nonparametric Estimation of Ex-post Variance, MPRA Paper (2016) View citations (1) (2016)
- Bull and bear markets during the COVID-19 pandemic
Finance Research Letters, 2021, 42, (C) View citations (4)
See also Working Paper Bull and Bear Markets During the COVID-19 Pandemic, MPRA Paper (2020) (2020)
- Nonparametric Dynamic Conditional Beta*
Journal of Financial Econometrics, 2021, 19, (4), 583-613 View citations (1)
See also Working Paper Nonparametric Dynamic Conditional Beta, MPRA Paper (2016) View citations (5) (2016)
2020
- 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 Oil Price Shocks and Economic Growth: The Volatility Link, MPRA Paper (2018) (2018)
2019
- Bayesian parametric and semiparametric factor models for large realized covariance matrices
Journal of Applied Econometrics, 2019, 34, (5), 641-660 View citations (13)
See also Working Paper Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices, Working Paper series (2018) (2018)
2018
- An efficient Bayesian approach to multiple structural change in multivariate time series
Journal of Applied Econometrics, 2018, 33, (2), 251-270 View citations (8)
See also Working Paper An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series, MPRA Paper (2017) View citations (1) (2017)
- Improving Markov switching models using realized variance
Journal of Applied Econometrics, 2018, 33, (3), 297-318 View citations (9)
See also Working Paper Improving Markov switching models using realized variance, MPRA Paper (2015) View citations (3) (2015)
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
JRFM, 2018, 11, (3), 1-29 View citations (3)
See also Working Paper Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, Working Paper series (2014) View citations (2) (2014)
2016
- 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 An Infinite Hidden Markov Model for Short-term Interest Rates, MPRA Paper (2015) View citations (3) (2015)
- Bayesian semiparametric modeling of realized covariance matrices
Journal of Econometrics, 2016, 192, (1), 19-39 View citations (22)
See also Working Paper Bayesian Semiparametric Modeling of Realized Covariance Matrices, MPRA Paper (2014) View citations (1) (2014)
- Modeling covariance breakdowns in multivariate GARCH
Journal of Econometrics, 2016, 194, (1), 1-23 View citations (2)
See also Working Paper Modeling Covariance Breakdowns in Multivariate GARCH, Working Paper series (2014) (2014)
2014
- A new structural break model, with an application to Canadian inflation forecasting
International Journal of Forecasting, 2014, 30, (1), 144-160 View citations (10)
See also Working Paper A New Structural Break Model with Application to Canadian Inflation Forecasting, Working Paper series (2012) View citations (2) (2012)
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Journal of Econometrics, 2014, 178, (P3), 523-538 View citations (16)
See also Working Paper Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture, Working Papers (2012) View citations (1) (2012)
2013
- 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 Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models, Working Paper series (2012) View citations (1) (2012)
- Bayesian semiparametric multivariate GARCH modeling
Journal of Econometrics, 2013, 176, (1), 3-17 View citations (23)
See also Working Paper Bayesian Semiparametric Multivariate GARCH Modeling, Working Paper series (2012) View citations (2) (2012)
- Do jumps contribute to the dynamics of the equity premium?
Journal of Financial Economics, 2013, 110, (2), 457-477 View citations (26)
See also Working Paper Do Jumps Contribute to the Dynamics of the Equity Premium?, Working Paper series (2012) View citations (1) (2012)
- Modeling Realized Covariances and Returns
Journal of Financial Econometrics, 2013, 11, (2), 335-369 View citations (47)
See also Working Paper Modelling Realized Covariances and Returns, Working Paper series (2012) View citations (10) (2012)
2012
- Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
Journal of Business & Economic Statistics, 2012, 30, (3), 391-403 View citations (39)
See also Working Paper Components of bull and bear markets: bull corrections and bear rallies, Working Papers (2010) View citations (7) (2010)
- Intraday dynamics of volatility and duration: Evidence from Chinese stocks
Pacific-Basin Finance Journal, 2012, 20, (3), 329-348 View citations (12)
2011
- 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 Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?, Working Paper series (2009) View citations (11) (2009)
2010
- Bayesian semiparametric stochastic volatility modeling
Journal of Econometrics, 2010, 157, (2), 306-316 View citations (68)
See also Working Paper Bayesian Semiparametric Stochastic Volatility Modeling, Working Paper series (2009) (2009)
- 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 Real Time Detection of Structural Breaks in GARCH Models, Working Paper series (2009) View citations (3) (2009)
2009
- Forecasting realized volatility: a Bayesian model-averaging approach
Journal of Applied Econometrics, 2009, 24, (5), 709-733 View citations (48)
See also Working Paper Forecasting Realized Volatility: A Bayesian Model Averaging Approach, Working Papers (2008) (2008)
- How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
Journal of Business & Economic Statistics, 2009, 27, 95-112 View citations (29)
See also Working Paper How useful are historical data for forecasting the long-run equity return distribution?, Working Paper series (2007) View citations (3) (2007)
2008
- Are There Structural Breaks in Realized Volatility?
Journal of Financial Econometrics, 2008, 6, (3), 326-360 View citations (68)
See also Working Paper Are there Structural Breaks in Realized Volatility?, Working Papers (2007) View citations (8) (2007)
- Learning, forecasting and structural breaks
Journal of Applied Econometrics, 2008, 23, (5), 553-583 View citations (47)
See also Working Paper Learning, Forecasting and Structural Breaks, Working Papers (2007) View citations (8) (2007)
2007
- Components of Market Risk and Return
Journal of Financial Econometrics, 2007, 5, (4), 560-590 View citations (21)
2005
- Can GARCH Models Capture Long-Range Dependence?
Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 43 View citations (25)
2002
- Conditional Jump Dynamics in Stock Market Returns
Journal of Business & Economic Statistics, 2002, 20, (3), 377-89 View citations (172)
- Nonlinear Features of Realized FX Volatility
The Review of Economics and Statistics, 2002, 84, (4), 668-681 View citations (57)
See also Working Paper Nonlinear Features of Realized FX Volatility, CIRANO Working Papers (2001) View citations (19) (2001)
2000
- Identifying Bull and Bear Markets in Stock Returns
Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (209)
- Volatility dynamics under duration-dependent mixing
Journal of Empirical Finance, 2000, 7, (3-4), 345-372 View citations (10)
See also Working Paper Volatility Dynamics Under Duration-Dependent Mixing, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (10) (2000)
Chapters
2008
- 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
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