Dr. John Maheu
Professor / Distinguished Business Research Professor
Finance & Business Economics
CONTACT INFORMATION
JOURNAL PUBLICATIONS
July 2023
Bayesian Forecasting In Economics And Finance: A Modern Review
JOURNAL : INTERNATIONAL JOURNAL OF FORECASTING
CONTRIBUTORS: Gael m Martin, David t Frazier, Worapree Maneesoonthorn, Rubén Loaiza-maya, Florian Huber, Gary Koop, John Maheu, Didier Nibbering, Anastasios Panagiotelis
June 2022
Infinite Markov Pooling Of Predictive Distributions
JOURNAL : JOURNAL OF ECONOMETRICS
CONTRIBUTORS: Xin Jin, John Maheu, Qiao Yang
October 2021
Bull And Bear Markets During The Covid-19 Pandemic
JOURNAL : FINANCE RESEARCH LETTERS
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Yong Song
October 2018
Special Issue On Risk Management
JOURNAL : ECONOMETRICS AND STATISTICS
CONTRIBUTORS: John Maheu, Marc Paolella, Tak kuen Siu, Mike kp So
April 2018
Improving Markov Switching Models Using Realized Variance
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: Jia Liu, John Maheu
March 2018
An Efficient Bayesian Approach To Multiple Structural Change In Multivariate Time Series
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: John Maheu, Yong Song
August 2016
Special Issue On Bayesian Econometrics
JOURNAL : COMPUTATIONAL STATISTICS & DATA ANALYSIS
CONTRIBUTORS: Luc Bauwens, Gary Koop, John Maheu, Yasuhiro Omori
May 2016
Bayesian Semiparametric Modeling Of Realized Covariance Matrices
JOURNAL : JOURNAL OF ECONOMETRICS
CONTRIBUTORS: Xin Jin, John Maheu
2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John Maheu, Qiao Yang
August 2014
Cfenetwork: The Annals Of Computational And Financial Econometrics 2nd Issue
JOURNAL : COMPUTATIONAL STATISTICS & DATA ANALYSIS
CONTRIBUTORS: Erricos j Kontoghiorghes, Herman k Van dijk, David a Belsley, Tim Bollerslev, Francis x Diebold, Jean-marie Dufour, Robert Engle, Andrew Harvey, Siem jan Koopman, Hashem Pesaran, Peter cb Phillips, Richard j Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy ws Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James g Mackinnon, Stefan Mittnik, Yasuhiro Omori, Dsg Pollock, Tommaso Proietti, Jeroen vk Rombouts, Olivier Scaillet, Willi Semmler, Mike kp So, Mark Steel, Robert Taylor, Elias Tzavalis, Jean-michel Zakoian, H peter Boswijk, Alessandra Luati, John Maheu
2014
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Yong Song
November 2013
Do Jumps Contribute To The Dynamics Of The Equity Premium?
JOURNAL : JOURNAL OF FINANCIAL ECONOMICS
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Xiaofei Zhao
September 2013
Bayesian Adaptively Updated Hamiltonian Monte Carlo With An Application To High-dimensional Bekk Garch Models
JOURNAL : STUDIES IN NONLINEAR DYNAMICS & ECONOMETRICS
CONTRIBUTORS: Burda Martin, John Maheu
March 2013
Modeling Realized Covariances And Returns
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Xin Jin, John Maheu
February 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
JOURNAL : JOURNAL OF BUSINESS & ECONOMIC STATISTICS
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Yong Song
2012
Intraday Dynamics Of Volatility And Duration: Evidence From Chinese Stocks
CONTRIBUTORS: Chun Liu, John Maheu
January 2011
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
November 2010
Real Time Detection Of Structural Breaks In Garch Models
CONTRIBUTORS: Zhongfang He, John Maheu
August 2010
Bayesian Semiparametric Stochastic Volatility Modeling
CONTRIBUTORS: Mark j Jensen, John Maheu
May 2010
Forecasting Volatility In The Presence Of Model Instability
JOURNAL : AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS
CONTRIBUTORS: John Maheu, Jonathan j Reeves, Xuan Xie
2009
Forecasting Realized Volatility: A Bayesian Model-averaging Approach
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: Chun Liu, John Maheu
2009
How Useful Are Historical Data For Forecasting The Long-run Equity Return Distribution?
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
2008
Learning, Forecasting And Structural Breaks
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: John Maheu, Stephen Gordon
July 2007
Components Of Market Risk And Return
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
December 2005
Can Garch Models Capture Long-range Dependence?
JOURNAL : STUDIES IN NONLINEAR DYNAMICS & ECONOMETRICS
CONTRIBUTORS: John Maheu
April 2004
News Arrival, Jump Dynamics, And Volatility Components For Individual Stock Returns
JOURNAL : THE JOURNAL OF FINANCE
CONTRIBUTORS: John Maheu,
November 2002
Nonlinear Features Of Realized Fx Volatility
JOURNAL : THE REVIEW OF ECONOMICS AND STATISTICS
CONTRIBUTORS: John Maheu,
July 2002
Conditional Jump Dynamics In Stock Market Returns
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: H Chan, John Maheu
November 2000
Volatility Dynamics Under Duration-dependent Mixing
JOURNAL : JOURNAL OF EMPIRICAL FINANCE
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
January 2000
Identifying Bull And Bear Markets In Stock Returns
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: John Maheu,
January 2000
Identifying Bull And Bear Markets In Stock Returns
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: John Maheu, Thomas h MccurdyAre There Structural Breaks In Realized Volatility?
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Chun Liu, John MaheuOTHER PUBLICATIONS
December 2022
Bayesian Forecasting In Economics And Finance: A Modern Review
CONTRIBUTORS: Gael m Martin, David t Frazier, Worapree Maneesoonthorn, Ruben Loaiza-maya, Florian Huber, Gary Koop, John Maheu, Didier Nibbering, Anastasios Panagiotelis
November 2022
An Infinite Hidden Markov Model With Stochastic Volatility
CONTRIBUTORS: John m Chenxing, John Maheu, Yang
November 2021
Bayesian Nonparametric Estimation Of Ex Post Variance
CONTRIBUTORS: Jim Griffin, Jia Liu, John Maheu
December 2020
Bull And Bear Markets During The Covid-19 Pandemic
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Yong Song
April 2020
Oil Price Shocks And Economic Growth: The Volatility Link
CONTRIBUTORS: John Maheu, Yong Song, Qiao Yang
January 2020
Bull And Bear Markets During The Covid-19 Pandemic
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Yong Song
August 2019
Bayesian Parametric And Semiparametric Factor Models For Large Realized Covariance Matrices
CONTRIBUTORS: Xin Jin, John Maheu, Qiao Yang
April 2018
Improving Markov Switching Models Using Realized Variance
CONTRIBUTORS: Jia Liu, John Maheu
March 2018
An Efficient Bayesian Approach To Multiple Structural Change In Multivariate Time Series
CONTRIBUTORS: John Maheu, Yong Song
January 2018
Oil Price Shocks And Economic Growth: The Volatility Link
CONTRIBUTORS: John Maheu, Yong Song, Qiao Yang
2018
Oil Price Shocks And Economic Growth: The Volatility Link
CONTRIBUTORS: John Maheu, Qiao Yang, Yong Song
October 2017
Bayesian Parametric And Semiparametric Factor Models For Large Realized Covariance Matrices
CONTRIBUTORS: Xin Jin, John Maheu, Qiao Yang
January 2017
Bayesian Parametric And Semiparametric Factor Models For Large Realized Covariance Matrices
CONTRIBUTORS: Xin Jin, John Maheu, Qiao Yang
September 2016
Modeling Covariance Breakdowns In Multivariate Garch
CONTRIBUTORS: Xin Jin, John Maheu
September 2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John Maheu, Qiao Yang
January 2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John Maheu, Qiao Yang
January 2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Yong Song
January 2014
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
January 2014
Risk, Return, And Volatility Feedback: A Bayesian Nonparametric Analysis
CONTRIBUTORS: Mark j Jensen, John Maheu
September 2013
Bayesian Adaptively Updated Hamiltonian Monte Carlo With An Application To High-dimensional Bekk Garch Models
CONTRIBUTORS: Martin Burda, John Maheu
September 2013
Bayesian Semiparametric Multivariate Garch Modeling
CONTRIBUTORS: Mark j Jensen, John Maheu
July 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
CONTRIBUTORS: John Maheu, , Yong Song
June 2012
Intraday Dynamics Of Volatility And Duration: Evidence From Chinese Stocks
CONTRIBUTORS: Chun Liu, John Maheu
March 2012
A New Structural Break Model With Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Yong Song
January 2012
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
January 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Yong Song
January 2012
Bayesian Semiparametric Multivariate Garch Modeling
CONTRIBUTORS: Mark j Jensen, John Maheu
2012
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
January 2011
Intraday Dynamics Of Volatility And Duration: Evidence From Chinese Stocks
CONTRIBUTORS: Chun Liu, John Maheu
January 2011
Do Jumps Contribute To The Dynamics Of The Equity Premium?
CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Xiaofei Zhao
January 2011
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
November 2010
Real Time Detection Of Structural Breaks In Garch Models
CONTRIBUTORS: Zhongfang He, John Maheu
August 2010
Bayesian Semiparametric Stochastic Volatility Modeling
CONTRIBUTORS: Mark j Jensen, John Maheu
August 2009
Extracting Bull And Bear Markets From Stock Returns
CONTRIBUTORS: John Maheu, Thomas Mccurdy, Yong Song
August 2009
Forecasting Realized Volatility: A Bayesian Model?averaging Approach
CONTRIBUTORS: Chun Liu, John Maheu
January 2009
How Useful Are Historical Data For Forecasting The Long-run Equity Return Distribution?
CONTRIBUTORS: John Maheu,
2009
Real Time Detection Of Structural Breaks In Garch Models
CONTRIBUTORS: Zhongfang He, John Maheu
May 2008
Improving Forecasts Of Inflation Using The Term Structure Of Interest Rates
CONTRIBUTORS: Alonso Gomez, John Maheu, Alex Maynard
January 2008
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
January 2008
Bayesian Semiparametric Stochastic Volatility Modeling
CONTRIBUTORS: Mark j Jensen, John Maheu
2008
Chapter 12 Modeling Foreign Exchange Rates With Jumps
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
2008
A Financial Metric For Comparing Volatility Models: Do Better Models Make Money?
CONTRIBUTORS: Toby Daglish, John Maheu, Tom Mccurdy
January 2007
How Useful Are Historical Data For Forecasting The Long-run Equity Return Distribution?
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
June 2003
News Arrival, Jump Dynamics And Volatility Components For Individual Stock Returns
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
January 2003
News Arrival, Jump Dynamics And Volatility Components For Individual Stock Returns
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
January 2001
Nonlinear Features Of Realized Fx Volatility
CONTRIBUTORS: John Maheu, Thomas h Mccurdy
January 1999