Details about John M. Maheu
Access statistics for papers by John M. Maheu.
Last updated 2021-01-11. Update your information in the RePEc Author Service.
Short-id: pma144
Jump to Journal Articles
Working Papers
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)
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 in Journal of Applied Econometrics (2019)
- Oil Price Shocks and Economic Growth: The Volatility Link
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2018)
MPRA Paper, University Library of Munich, Germany (2018)
See also Journal Article in International Journal of Forecasting (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 in Journal of Applied Econometrics (2018)
2016
- Bayesian Nonparametric Estimation of Ex-post Variance
MPRA Paper, University Library of Munich, Germany
- Nonparametric Dynamic Conditional Beta
MPRA Paper, University Library of Munich, Germany View citations (4)
2015
- An Infinite Hidden Markov Model for Short-term Interest Rates
MPRA Paper, University Library of Munich, Germany View citations (2)
Also in Working Paper series, Rimini Centre for Economic Analysis (2015) View citations (1)
See also Journal Article in Journal of Empirical Finance (2016)
- Improving Markov switching models using realized variance
MPRA Paper, University Library of Munich, Germany View citations (2)
See also Journal Article in Journal of Applied Econometrics (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 in Journal of Econometrics (2016)
- 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)
- 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 (3)
See also Journal Article in Journal of Risk and Financial Management (2018)
2012
- 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)
- Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Working Paper series, Rimini Centre for Economic Analysis
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (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 in Journal of Econometrics (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 in Journal of Financial Economics (2013)
- 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 FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (1)
Working Papers, University of Toronto, Department of Economics (2012) View citations (1)
See also Journal Article in Journal of Econometrics (2014)
- Modelling Realized Covariances and Returns
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
Also in Working Paper series, Rimini Centre for Economic Analysis (2011)
Working Papers, University of Toronto, Department of Economics (2010) View citations (5)
See also Journal Article in Journal of Financial Econometrics (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 (6)
See also Journal Article in Journal of Business & Economic Statistics (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 Working Papers, University of Toronto, Department of Economics (2008) View citations (3)
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (4)
See also Journal Article in Journal of Econometrics (2010)
- Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
Working Paper series, Rimini Centre for Economic Analysis View citations (5)
Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (6)
See also Journal Article in Journal of Econometrics (2011)
- Extracting bull and bear markets from stock returns
Working Papers, University of Toronto, Department of Economics View citations (10)
- 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 (1)
Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (4)
Staff Working Papers, Bank of Canada (2009) View citations (2)
See also Journal Article in Computational Statistics & Data Analysis (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 in Journal of Applied Econometrics (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 (7)
See also Journal Article in Journal of Financial Econometrics (2008)
- How useful are historical data for forecasting the long-run equity return distribution?
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
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)
- Learning, Forecasting and Structural Breaks
Working Papers, University of Toronto, Department of Economics View citations (4)
Also in Cahiers de recherche, CIRPEE (2004) View citations (16)
See also Journal Article in Journal of Applied Econometrics (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 (5)
2001
- Nonlinear Features of Realized FX Volatility
CIRANO Working Papers, CIRANO View citations (18)
See also Journal Article in The Review of Economics and Statistics (2002)
2000
- Volatility Dynamics Under Duration-Dependent Mixing
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
See also Journal Article in Journal of Empirical Finance (2000)
1999
- A Semi-Markov Approach to Modeling Volatility Dynamics
Rotman School of Management - Finance, Rotman School of Management, University of Toronto
Journal Articles
2020
- Oil price shocks and economic growth: The volatility link
International Journal of Forecasting, 2020, 36, (2), 570-587 View citations (3)
See also Working Paper (2018)
2019
- Bayesian parametric and semiparametric factor models for large realized covariance matrices
Journal of Applied Econometrics, 2019, 34, (5), 641-660 View citations (1)
See also Working Paper (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 (2)
See also Working Paper (2017)
- Improving Markov switching models using realized variance
Journal of Applied Econometrics, 2018, 33, (3), 297-318 View citations (3)
See also Working Paper (2015)
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
Journal of Risk and Financial Management, 2018, 11, (3), 1-29
See also Working Paper (2014)
2016
- An infinite hidden Markov model for short-term interest rates
Journal of Empirical Finance, 2016, 38, (PA), 202-220 View citations (3)
See also Working Paper (2015)
- Bayesian semiparametric modeling of realized covariance matrices
Journal of Econometrics, 2016, 192, (1), 19-39 View citations (12)
See also Working Paper (2014)
- Modeling covariance breakdowns in multivariate GARCH
Journal of Econometrics, 2016, 194, (1), 1-23 View citations (1)
See also Working Paper (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 (7)
See also Working Paper (2012)
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Journal of Econometrics, 2014, 178, (P3), 523-538 View citations (7)
See also Working Paper (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 (2)
See also Working Paper (2012)
- Bayesian semiparametric multivariate GARCH modeling
Journal of Econometrics, 2013, 176, (1), 3-17 View citations (13)
See also Working Paper (2012)
- Do jumps contribute to the dynamics of the equity premium?
Journal of Financial Economics, 2013, 110, (2), 457-477 View citations (17)
See also Working Paper (2012)
- Modeling Realized Covariances and Returns
Journal of Financial Econometrics, 2013, 11, (2), 335-369 View citations (34)
See also Working Paper (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 (24)
See also Working Paper (2010)
- Intraday dynamics of volatility and duration: Evidence from Chinese stocks
Pacific-Basin Finance Journal, 2012, 20, (3), 329-348 View citations (8)
2011
- Do high-frequency measures of volatility improve forecasts of return distributions?
Journal of Econometrics, 2011, 160, (1), 69-76 View citations (65)
See also Working Paper (2009)
2010
- Bayesian semiparametric stochastic volatility modeling
Journal of Econometrics, 2010, 157, (2), 306-316 View citations (50)
See also Working Paper (2009)
- Real time detection of structural breaks in GARCH models
Computational Statistics & Data Analysis, 2010, 54, (11), 2628-2640 View citations (17)
See also Working Paper (2009)
2009
- Forecasting realized volatility: a Bayesian model-averaging approach
Journal of Applied Econometrics, 2009, 24, (5), 709-733 View citations (38)
See also Working Paper (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 (23)
See also Working Paper (2007)
2008
- Are There Structural Breaks in Realized Volatility?
Journal of Financial Econometrics, 2008, 6, (3), 326-360 View citations (56)
See also Working Paper (2007)
- Learning, forecasting and structural breaks
Journal of Applied Econometrics, 2008, 23, (5), 553-583 View citations (30)
See also Working Paper (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), 1-43 View citations (19)
2002
- Conditional Jump Dynamics in Stock Market Returns
Journal of Business & Economic Statistics, 2002, 20, (3), 377-89 View citations (137)
- Nonlinear Features of Realized FX Volatility
The Review of Economics and Statistics, 2002, 84, (4), 668-681 View citations (47)
See also Working Paper (2001)
2000
- Identifying Bull and Bear Markets in Stock Returns
Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (175)
- Volatility dynamics under duration-dependent mixing
Journal of Empirical Finance, 2000, 7, (3-4), 345-372 View citations (8)
See also Working Paper (2000)
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