Dr. John Maheu
Professor
Finance & Business Economics
Faculty
CONTACT INFORMATION
BIO
Specializes in the areas of Time-series Econometrics, Empirical Finance. Maheu is currently the BMO Financial Group Chair in Capital Markets – Financial Literacy and the Individual Investor.
JOURNAL PUBLICATIONS
October 2018
Special Issue On Risk Management
JOURNAL : ECONOMETRICS AND STATISTICS
CONTRIBUTORS: John M Maheu
April 2018
Improving Markov Switching Models Using Realized Variance
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: Jia Liu, John M Maheu
March 2018
An Efficient Bayesian Approach To Multiple Structural Change In Multivariate Time Series
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: John M Maheu, Yong Song
May 2016
Bayesian Semiparametric Modeling Of Realized Covariance Matrices
JOURNAL : JOURNAL OF ECONOMETRICS
CONTRIBUTORS: Xin Jin, John M Maheu
2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John M Maheu
November 2013
Do Jumps Contribute To The Dynamics Of The Equity Premium?
JOURNAL : JOURNAL OF FINANCIAL ECONOMICS
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
March 2013
Modeling Realized Covariances And Returns
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Xin Jin, John M Maheu
February 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
JOURNAL : JOURNAL OF BUSINESS & ECONOMIC STATISTICS
CONTRIBUTORS: John M Maheu
January 2011
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John M Maheu
2010
FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY
JOURNAL : AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS
CONTRIBUTORS: John M Maheu, Jonathan J Reeves
2009
How Useful Are Historical Data For Forecasting The Long-Run Equity Return Distribution?
JOURNAL : JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
2009
Forecasting Realized Volatility: A Bayesian Model-averaging Approach
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: Chun Liu, John M Maheu
2008
Learning, Forecasting And Structural Breaks
JOURNAL : JOURNAL OF APPLIED ECONOMETRICS
CONTRIBUTORS: John M Maheu, Stephen Gordon
2007
Components Of Market Risk And Return
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Jm Maheu, Th Mccurdy
January 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 M Maheu, Thomas H Mccurdy
November 2002
Nonlinear Features Of Realized FX Volatility
JOURNAL : REVIEW OF ECONOMICS AND STATISTICS
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
July 2002
Conditional Jump Dynamics In Stock Market Returns
JOURNAL : JOURNAL OF BUSINESS & ECONOMIC STATISTICS
CONTRIBUTORS: Wing H Chan, John M Maheu
November 2000
Volatility Dynamics Under Duration-dependent Mixing
JOURNAL : JOURNAL OF EMPIRICAL FINANCE
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
January 2000
Identifying Bull And Bear Markets In Stock Returns
JOURNAL : JOURNAL OF BUSINESS & ECONOMIC STATISTICS
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
January 2000
Identifying Bull And Bear Markets In Stock Returns
JOURNAL : JOURNAL OF BUSINESS & ECONOMIC STATISTICS
CONTRIBUTORS: John M Maheu, Thomas H MccurdyAre There Structural Breaks In Realized Volatility?
JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS
CONTRIBUTORS: Chun Liu, John M MaheuOTHER PUBLICATIONS
April 2020
Oil Price Shocks And Economic Growth: The Volatility Link
CONTRIBUTORS: John M Maheu, Yong Song
August 2019
Bayesian Parametric And Semiparametric Factor Models For Large Realized Covariance Matrices
CONTRIBUTORS: Xin Jin, John M Maheu
April 2018
Improving Markov Switching Models Using Realized Variance
CONTRIBUTORS: Jia Liu, John M Maheu
March 2018
An Efficient Bayesian Approach To Multiple Structural Change In Multivariate Time Series
CONTRIBUTORS: John M Maheu, Yong Song
September 2016
Modeling Covariance Breakdowns In Multivariate GARCH
CONTRIBUTORS: Xin Jin, John M Maheu
September 2016
An Infinite Hidden Markov Model For Short-term Interest Rates
CONTRIBUTORS: John M Maheu, Qiao Yang
January 2014
Estimating A Semiparametric Asymmetric Stochastic Volatility Model With A Dirichlet Process Mixture
CONTRIBUTORS: Mark J Jensen, John M Maheu
January 2014
A New Structural Break Model, With An Application To Canadian Inflation Forecasting
CONTRIBUTORS: John M Maheu, Yong Song
September 2013
Bayesian Semiparametric Multivariate GARCH Modeling
CONTRIBUTORS: Mark J Jensen, John M Maheu
January 2013
Bayesian Adaptively Updated Hamiltonian Monte Carlo With An Application To High-dimensional BEKK GARCH Models
CONTRIBUTORS: Martin Burda, John M Maheu
July 2012
Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
June 2012
Intraday Dynamics Of Volatility And Duration: Evidence From Chinese Stocks
CONTRIBUTORS: Chun Liu, John M Maheu
March 2012
A New Structural Break Model With Application To Canadian Inflation Forecasting
CONTRIBUTORS: John Maheu
January 2011
Do High-frequency Measures Of Volatility Improve Forecasts Of Return Distributions?
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
November 2010
Real Time Detection Of Structural Breaks In GARCH Models
CONTRIBUTORS: Zhongfang He, John M Maheu
August 2010
Bayesian Semiparametric Stochastic Volatility Modeling
CONTRIBUTORS: Mark J Jensen, John M Maheu
August 2009
Forecasting Realized Volatility: A Bayesian Model-averaging Approach
CONTRIBUTORS: Chun Liu, John M Maheu
January 2009
How Useful Are Historical Data For Forecasting The Long-Run Equity Return Distribution?
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
2008
Chapter 12 Modeling Foreign Exchange Rates With Jumps
CONTRIBUTORS: John M Maheu, Thomas H Mccurdy
June 2003