John Maheu

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

Modeling Covariance Breakdowns In Multivariate Garch

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
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
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
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 Mccurdy

Are There Structural Breaks In Realized Volatility?

JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS

CONTRIBUTORS: Chun Liu, John Maheu

OTHER 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
January 2019

Applications In Finance

CONTRIBUTORS: John Maheu, Azam shamsi Zamenjani
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
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

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