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Details about John M. Maheu

E-mail:
Homepage:http://profs.degroote.mcmaster.ca/ads/maheujm/
Phone:905-525-9140 ext. 26198
Postal address:DeGroote School of Business, McMaster University, 1280 Main Street West, Hamilton, ON, Canada L8S4M4
Workplace:DeGroote School of Business, McMaster University, (more information at EDIRC)
Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by John M. Maheu.

Last updated 2019-09-30. Update your information in the RePEc Author Service.

Short-id: pma144


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Working Papers

2018

  1. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2017) Downloads

    See also Journal Article in Journal of Applied Econometrics (2019)
  2. Oil Price Shocks and Economic Growth: The Volatility Link
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads
    MPRA Paper, University Library of Munich, Germany (2018) Downloads

2017

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

2016

  1. Bayesian Nonparametric Estimation of Ex-post Variance
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Nonparametric Dynamic Conditional Beta
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2015

  1. An Infinite Hidden Markov Model for Short-term Interest Rates
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2016)
  2. Improving Markov switching models using realized variance
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2018)

2014

  1. Bayesian Semiparametric Modeling of Realized Covariance Matrices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2016)
  2. Modeling Covariance Breakdowns in Multivariate GARCH
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads

    See also Journal Article in Journal of Econometrics (2016)
  3. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) Downloads View citations (1)

    See also Journal Article in Journal of Risk and Financial Management (2018)

2012

  1. A New Structural Break Model with Application to Canadian Inflation Forecasting
    Working Papers, University of Toronto, Department of Economics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads
    Working Paper series, Rimini Centre for Economic Analysis (2012) Downloads View citations (2)

    See also Journal Article in International Journal of Forecasting (2014)
  2. Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
  3. Bayesian Semiparametric Multivariate GARCH Modeling
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Papers, University of Toronto, Department of Economics (2012) Downloads View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2013)
  4. Do Jumps Contribute to the Dynamics of the Equity Premium?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2013)
  5. Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    Working Papers, University of Toronto, Department of Economics Downloads View citations (1)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) Downloads View citations (1)
    Working Paper series, Rimini Centre for Economic Analysis (2012) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2014)
  6. Modelling Realized Covariances and Returns
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (6)
    Also in Working Papers, University of Toronto, Department of Economics (2010) Downloads View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads

    See also Journal Article in Journal of Financial Econometrics (2013)

2011

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

2010

  1. Components of bull and bear markets: bull corrections and bear rallies
    Working Papers, University of Toronto, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2012)
  2. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market
    Working Papers, University of Toronto, Department of Economics Downloads

2009

  1. Bayesian Semiparametric Stochastic Volatility Modeling
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    Also in Working Papers, University of Toronto, Department of Economics (2008) Downloads View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2010)
  2. Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (5)
    Also in Working Papers, University of Toronto, Department of Economics (2008) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2011)
  3. Extracting bull and bear markets from stock returns
    Working Papers, University of Toronto, Department of Economics Downloads View citations (10)
  4. Modelling Realized Covariances
    Working Papers, University of Toronto, Department of Economics Downloads View citations (4)
  5. Real Time Detection of Structural Breaks in GARCH Models
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in Staff Working Papers, Bank of Canada (2009) Downloads View citations (2)
    Working Papers, University of Toronto, Department of Economics (2008) Downloads View citations (4)

    See also Journal Article in Computational Statistics & Data Analysis (2010)

2008

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

2007

  1. Are there Structural Breaks in Realized Volatility?
    Working Papers, University of Toronto, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2008)
  2. How useful are historical data for forecasting the long-run equity return distribution?
    Working Papers, University of Toronto, Department of Economics Downloads View citations (4)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  3. Learning, Forecasting and Structural Breaks
    Working Papers, University of Toronto, Department of Economics Downloads View citations (4)
    Also in Cahiers de recherche, CIRPEE (2004) Downloads View citations (16)

    See also Journal Article in Journal of Applied Econometrics (2008)
  4. Modeling foreign exchange rates with jumps
    Working Papers, University of Toronto, Department of Economics Downloads View citations (2)

2003

  1. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
    CIRANO Working Papers, CIRANO Downloads View citations (4)

2001

  1. Nonlinear Features of Realized FX Volatility
    CIRANO Working Papers, CIRANO Downloads View citations (18)
    See also Journal Article in The Review of Economics and Statistics (2002)

2000

  1. Volatility Dynamics Under Duration-Dependent Mixing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
    See also Journal Article in Journal of Empirical Finance (2000)

1999

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

Journal Articles

2019

  1. Bayesian parametric and semiparametric factor models for large realized covariance matrices
    Journal of Applied Econometrics, 2019, 34, (5), 641-660 Downloads View citations (1)
    See also Working Paper (2018)

2018

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

2016

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

2014

  1. A new structural break model, with an application to Canadian inflation forecasting
    International Journal of Forecasting, 2014, 30, (1), 144-160 Downloads View citations (6)
    See also Working Paper (2012)
  2. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
    Journal of Econometrics, 2014, 178, (P3), 523-538 Downloads View citations (6)
    See also Working Paper (2012)

2013

  1. 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 Downloads View citations (2)
    See also Working Paper (2012)
  2. Bayesian semiparametric multivariate GARCH modeling
    Journal of Econometrics, 2013, 176, (1), 3-17 Downloads View citations (13)
    See also Working Paper (2012)
  3. Do jumps contribute to the dynamics of the equity premium?
    Journal of Financial Economics, 2013, 110, (2), 457-477 Downloads View citations (14)
    See also Working Paper (2012)
  4. Modeling Realized Covariances and Returns
    Journal of Financial Econometrics, 2013, 11, (2), 335-369 Downloads View citations (29)
    See also Working Paper (2012)

2012

  1. Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
    Journal of Business & Economic Statistics, 2012, 30, (3), 391-403 Downloads View citations (18)
    See also Working Paper (2010)
  2. Intraday dynamics of volatility and duration: Evidence from Chinese stocks
    Pacific-Basin Finance Journal, 2012, 20, (3), 329-348 Downloads View citations (6)

2011

  1. Do high-frequency measures of volatility improve forecasts of return distributions?
    Journal of Econometrics, 2011, 160, (1), 69-76 Downloads View citations (60)
    See also Working Paper (2009)

2010

  1. Bayesian semiparametric stochastic volatility modeling
    Journal of Econometrics, 2010, 157, (2), 306-316 Downloads View citations (49)
    See also Working Paper (2009)
  2. Real time detection of structural breaks in GARCH models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2628-2640 Downloads View citations (16)
    See also Working Paper (2009)

2009

  1. Forecasting realized volatility: a Bayesian model-averaging approach
    Journal of Applied Econometrics, 2009, 24, (5), 709-733 Downloads View citations (33)
    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 Downloads View citations (22)
    See also Working Paper (2007)

2008

  1. Are There Structural Breaks in Realized Volatility?
    Journal of Financial Econometrics, 2008, 6, (3), 326-360 Downloads View citations (55)
    See also Working Paper (2007)
  2. Learning, forecasting and structural breaks
    Journal of Applied Econometrics, 2008, 23, (5), 553-583 Downloads View citations (27)
    See also Working Paper (2007)

2007

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

2005

  1. Can GARCH Models Capture Long-Range Dependence?
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 1-43 Downloads View citations (18)

2002

  1. Conditional Jump Dynamics in Stock Market Returns
    Journal of Business & Economic Statistics, 2002, 20, (3), 377-89 View citations (124)
  2. Nonlinear Features of Realized FX Volatility
    The Review of Economics and Statistics, 2002, 84, (4), 668-681 Downloads View citations (42)
    See also Working Paper (2001)

2000

  1. Identifying Bull and Bear Markets in Stock Returns
    Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (162)
  2. Volatility dynamics under duration-dependent mixing
    Journal of Empirical Finance, 2000, 7, (3-4), 345-372 Downloads View citations (8)
    See also Working Paper (2000)
 
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