Dr. John Maheu
Professor
Finance & Business Economics
CONTACT INFORMATION
JOURNAL PUBLICATIONS
June 2022
Infinite Markov Pooling Of Predictive Distributions
JOURNAL : JOURNAL OF ECONOMETRICS
CONTRIBUTORS: X Jin, John Maheu, Q Yang
October 2021
Bull And Bear Markets During The Covid-19 Pandemic
JOURNAL : FINANCE RESEARCH LETTERS
CONTRIBUTORS: John Maheu, Th Mccurdy, Y Song
October 2018
Special Issue On Risk Management
JOURNAL : ECONOMETRICS AND STATISTICS
CONTRIBUTORS: John Maheu, M Paolella, Tk Siu, Mkp 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
May 2016
Bayesian Semiparametric Modeling Of Realized Covariance Matrices
JOURNAL : JOURNAL OF ECONOMETRICS
CONTRIBUTORS: X Jin, John Maheu
January 2016
Special Issue On Bayesian Econometrics
JOURNAL : COMPUTATIONAL STATISTICS AND DATA ANALYSIS
CONTRIBUTORS: L Bauwens, G Koop, John Maheu, Y Omori
2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John Maheu, Qiao Yang
January 2014
Cfenetwork: The Annals Of Computational And Financial Econometrics: 2nd Issue
JOURNAL : COMPUTATIONAL STATISTICS AND DATA ANALYSIS
CONTRIBUTORS: Ej Kontoghiorghes, Hk Van dijk, Da Belsley, T Bollerslev, Fx Diebold, Jm Dufour, R Engle, A Harvey, Sj Koopman, H Pesaran, Pcb Phillips, Rj Smith, M West, Q Yao, A Amendola, M Billio, Cws Chen, C Chiarella, A Colubi, M Deistler, C Francq, M Hallin, E Jacquier, K Judd, G Koop, H Lütkepohl, Jg Mackinnon, S Mittnik, Y Omori, Dsg Pollock, T Proietti, Jvk Rombouts, O Scaillet, W Semmler, Mkp So, M Steel, R Taylor, E Tzavalis, Jm Zakoian, H Peter boswijk, A Luati, John Maheu
2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Yong Song
2014
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
November 2013
Do Jumps Contribute To The Dynamics Of The Equity Premium?
JOURNAL : JOURNAL OF FINANCIAL ECONOMICS
CONTRIBUTORS: John Maheu, Th Mccurdy, X 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
June 2010
Forecasting Volatility In The Presence Of Model Instability
JOURNAL : AUSTRALIAN AND NEW ZEALAND JOURNAL OF STATISTICS
CONTRIBUTORS: John Maheu, Jj Reeves, X 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
January 2007
Components Of Market Risk And Return
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: John Maheu, Th Mccurdy
January 2005
Can Garch Models Capture Long-range Dependence?
JOURNAL : STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
CONTRIBUTORS: John Maheu
April 2004
News Arrival, Jump Dynamics, And Volatility Components For Individual Stock Returns
JOURNAL : JOURNAL OF FINANCE
CONTRIBUTORS: John Maheu,
November 2002
Nonlinear Features Of Realized Fx Volatility
JOURNAL : REVIEW OF ECONOMICS AND STATISTICS
CONTRIBUTORS: John Maheu,
January 2002
Conditional Jump Dynamics In Stock Market Returns
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: Wh Chan, John Maheu
January 2000
Volatility Dynamics Under Duration-dependent Mixing
JOURNAL : JOURNAL OF EMPIRICAL FINANCE
CONTRIBUTORS: John Maheu, Th 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, Th MccurdyAre There Structural Breaks In Realized Volatility?
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Chun Liu, John MaheuOTHER PUBLICATIONS
January 2021
Bayesian Nonparametric Estimation Of Ex Post Variance
CONTRIBUTORS: J Griffin, J Liu, John Maheu
April 2020
Oil Price Shocks And Economic Growth: The Volatility Link
CONTRIBUTORS: John Maheu, Y Song, Q Yang
August 2019
Bayesian Parametric And Semiparametric Factor Models For Large Realized Covariance Matrices
CONTRIBUTORS: X Jin, John Maheu, Q Yang
April 2018
Improving Markov Switching Models Using Realized Variance
CONTRIBUTORS: J Liu, John Maheu
March 2018
An Efficient Bayesian Approach To Multiple Structural Change In Multivariate Time Series
CONTRIBUTORS: John Maheu, Y Song
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
September 2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John Maheu, Q Yang
January 2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Y Song
January 2014
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mj Jensen, John Maheu
September 2013
Bayesian Adaptively Updated Hamiltonian Monte Carlo With An Application To High-dimensional Bekk Garch Models
CONTRIBUTORS: M Burda, John Maheu
January 2013
Bayesian Semiparametric Multivariate Garch Modeling
CONTRIBUTORS: Mj Jensen, John Maheu
July 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
CONTRIBUTORS: John Maheu, , Y Song
June 2012
Intraday Dynamics Of Volatility And Duration: Evidence From Chinese Stocks
CONTRIBUTORS: C Liu, John Maheu
March 2012
A New Structural Break Model With Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu, Yong Song
2012
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark j Jensen, John Maheu
January 2011
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John Maheu, Th Mccurdy
November 2010
Real Time Detection Of Structural Breaks In Garch Models
CONTRIBUTORS: Z He, John Maheu
August 2010
Bayesian Semiparametric Stochastic Volatility Modeling
CONTRIBUTORS: Mj 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: C 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
2008
A Financial Metric For Comparing Volatility Models: Do Better Models Make Money?
CONTRIBUTORS: Toby Daglish, John Maheu, Tom Mccurdy
June 2003