John Maheu

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
2016

Modeling Covariance Breakdowns In Multivariate Garch

CONTRIBUTORS: Xin Jin, John Maheu
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
2013

Bayesian Semiparametric Multivariate Garch Modeling

CONTRIBUTORS: Mark j Jensen, 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
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 Mccurdy

Are There Structural Breaks In Realized Volatility?

JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS

CONTRIBUTORS: Chun Liu, John Maheu

OTHER PUBLICATIONS

January 2021

Nonparametric Dynamic Conditional Beta

CONTRIBUTORS: John Maheu, A Shamsi zamenjani
January 2021

Bayesian Nonparametric Estimation Of Ex Post Variance

CONTRIBUTORS: J Griffin, J Liu, John Maheu
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
April 2014

Modeling Covariance Breakdowns In Multivariate Garch

CONTRIBUTORS: Xin Jin, John Maheu
March 2012

A New Structural Break Model With Application To Canadian Inflation Forecasting

CONTRIBUTORS: John Maheu, Yong Song
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
November 2009

Modelling Realized Covariances

CONTRIBUTORS: Xin Jin, John Maheu
August 2009

Extracting Bull And Bear Markets From Stock Returns

CONTRIBUTORS: John Maheu, Thomas Mccurdy, Yong Song
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

Modeling Foreign Exchange Rates With Jumps

CONTRIBUTORS: John Maheu, Th Mccurdy
2008

A Financial Metric For Comparing Volatility Models: Do Better Models Make Money?

CONTRIBUTORS: Toby Daglish, John Maheu, Tom Mccurdy
2008

Bayesian Semiparametric Stochastic Volatility Modeling

CONTRIBUTORS: Mark j Jensen, John Maheu
2004

Learning, Forecasting And Structural Breaks

CONTRIBUTORS: John Maheu, Stephen Gordon
June 2003

News Arrival, Jump Dynamics And Volatility Components For Individual Stock Returns

CONTRIBUTORS: John Maheu, Thomas h Mccurdy
June 2001

Nonlinear Features Of Realized Fx Volatility

CONTRIBUTORS: John Maheu, Thomas h Mccurdy
1999

A Semi-markov Approach To Modeling Volatility Dynamics.

CONTRIBUTORS: John Maheu, Th Mccurdy

Bayesian Semiparametric Stochastic Volatility Modeling

CONTRIBUTORS: Mark j Jensen, John Maheu

Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?

CONTRIBUTORS: John Maheu, Thomas h Mccurdy

How Useful Are Historical Data For Forecasting The Long-run Equity Return Distribution?

CONTRIBUTORS: John Maheu, Thomas h Mccurdy

Volatility Dynamics Under Duration-dependent Mixing

CONTRIBUTORS: John Maheu, Tom Mccurdy

Risk, Return And Volatility Feedback: A Bayesian Nonparametric Analysis

CONTRIBUTORS: Mark j Jensen, John Maheu

A New Structural Break Model With Application To Canadian Inflation Forecasting

CONTRIBUTORS: John Maheu, Yong Song

An Infinite Hidden Markov Model For Short-term Interest Rates

CONTRIBUTORS: John Maheu, Qiao Yang

Modelling Realized Covariances And Returns

CONTRIBUTORS: Xin Jin, John Maheu

Bayesian Semiparametric Modeling Of Realized Covariance Matrices

CONTRIBUTORS: Xin Jin, John Maheu

Bayesian Semiparametric Modeling Of Realized Covariance Matrices

CONTRIBUTORS: Xin Jin, John Maheu

Modelling Realized Covariances And Returns

CONTRIBUTORS: Xin Jin, John Maheu

Bayesian Adaptively Updated Hamiltonian Monte Carlo With An Application To High-dimensional Bekk Garch Models

CONTRIBUTORS: Martin Burda, John Maheu

Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture

CONTRIBUTORS: Mark j Jensen, John Maheu

Bayesian Semiparametric Multivariate Garch Modeling

CONTRIBUTORS: Mark j Jensen, John Maheu

Do Jumps Contribute To The Dynamics Of The Equity Premium?

CONTRIBUTORS: John Maheu, Thomas h Mccurdy, Xiaofei Zhao

Real Time Detection Of Structural Breaks In Garch Models

CONTRIBUTORS: Zhongfang He, John Maheu

Risk, Return And Volatility Feedback: A Bayesian Nonparametric Analysis

CONTRIBUTORS: Mark j Jensen, John Maheu

Oil Price Shocks And Economic Growth: The Volatility Link

CONTRIBUTORS: John Maheu, Yong Song, Qiao Yang