John Maheu

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
2016

An Infinite Hidden Markov Model For Short-term Interest Rates

CONTRIBUTORS: 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
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 Mccurdy

Are There Structural Breaks In Realized Volatility?

JOURNAL : JOURNAL OF FINANCIAL ECONOMETRICS

CONTRIBUTORS: Chun Liu, John M Maheu

OTHER PUBLICATIONS

2018

Oil Price Shocks And Economic Growth: The Volatility Link

CONTRIBUTORS: John M Maheu
September 2016

Nonparametric Dynamic Conditional Beta

CONTRIBUTORS: John M Maheu
March 2012

A New Structural Break Model With Application To Canadian Inflation Forecasting

CONTRIBUTORS: John Maheu
August 2009

Extracting Bull And Bear Markets From Stock Returns

CONTRIBUTORS: John Maheu
2004

Learning, Forecasting And Structural Breaks

CONTRIBUTORS: John M Maheu
June 2003

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

CONTRIBUTORS: John M Maheu
June 2001

Nonlinear Features Of Realized FX Volatility

CONTRIBUTORS: John M Maheu
1999

A Semi-Markov Approach To Modeling Volatility Dynamics.

CONTRIBUTORS: Jm Maheu

Do Jumps Contribute To The Dynamics Of The Equity Premium?

CONTRIBUTORS: John M Maheu

An Infinite Hidden Markov Model For Short-term Interest Rates

CONTRIBUTORS: John M Maheu

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

CONTRIBUTORS: John M Maheu

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

CONTRIBUTORS: John M Maheu

A New Structural Break Model With Application To Canadian Inflation Forecasting

CONTRIBUTORS: John M Maheu

Volatility Dynamics Under Duration-Dependent Mixing

CONTRIBUTORS: John M Maheu

Oil Price Shocks And Economic Growth: The Volatility Link

CONTRIBUTORS: John M Maheu