John M. Maheu
Names
| first: |
John |
| middle: |
M. |
| last: |
Maheu |
Identifer
Contact
Affiliations
-
McMaster University
/ DeGroote School of Business
Research profile
author of:
- Bull and Bear Markets During the COVID-19 Pandemic (RePEc:arx:papers:2012.01623)
by John M. Maheu & Thomas H. McCurdy & Yong Song - Bayesian Forecasting in Economics and Finance: A Modern Review (RePEc:arx:papers:2212.03471)
by Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis - Real Time Detection of Structural Breaks in GARCH Models (RePEc:bca:bocawp:09-31)
by Zhongfang He & John M. Maheu - Identifying Bull and Bear Markets in Stock Returns (RePEc:bes:jnlbes:v:18:y:2000:i:1:p:100-112)
by Maheu, John M & McCurdy, Thomas H - Conditional Jump Dynamics in Stock Market Returns (RePEc:bes:jnlbes:v:20:y:2002:i:3:p:377-89)
by Chan, Wing H & Maheu, John M - How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? (RePEc:bes:jnlbes:v:27:y:2009:p:95-112)
by Maheu, John M. & McCurdy, Thomas H. - Unknown item RePEc:bla:jfinan:v:59:y:2004:i:2:p:755-793 (article)
- Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models (RePEc:bpj:sndecm:v:17:y:2013:i:4:p:345-372:n:6)
by Burda Martin & Maheu John M. - Can GARCH Models Capture Long-Range Dependence? (RePEc:bpj:sndecm:v:9:y:2005:i:4:n:1)
by Maheu John - Nonlinear Features of Realized FX Volatility (RePEc:cir:cirwor:2001s-42)
by John M. Maheu & Thomas McCurdy - News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns (RePEc:cir:cirwor:2003s-38)
by John M. Maheu & Thomas McCurdy - Volatility Dynamics Under Duration-Dependent Mixing (RePEc:ecm:wc2000:1427)
by John M. Maheu & Tom McCurdy - Real time detection of structural breaks in GARCH models (RePEc:eee:csdana:v:54:y:2010:i:11:p:2628-2640)
by He, Zhongfang & Maheu, John M. - Bayesian semiparametric stochastic volatility modeling (RePEc:eee:econom:v:157:y:2010:i:2:p:306-316)
by Jensen, Mark J. & Maheu, John M. - Do high-frequency measures of volatility improve forecasts of return distributions? (RePEc:eee:econom:v:160:y:2011:i:1:p:69-76)
by Maheu, John M. & McCurdy, Thomas H. - Bayesian semiparametric multivariate GARCH modeling (RePEc:eee:econom:v:176:y:2013:i:1:p:3-17)
by Jensen, Mark J. & Maheu, John M. - Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (RePEc:eee:econom:v:178:y:2014:i:p3:p:523-538)
by Jensen, Mark J. & Maheu, John M. - Bayesian semiparametric modeling of realized covariance matrices (RePEc:eee:econom:v:192:y:2016:i:1:p:19-39)
by Jin, Xin & Maheu, John M. - Modeling covariance breakdowns in multivariate GARCH (RePEc:eee:econom:v:194:y:2016:i:1:p:1-23)
by Jin, Xin & Maheu, John M. - Infinite Markov pooling of predictive distributions (RePEc:eee:econom:v:228:y:2022:i:2:p:302-321)
by Jin, Xin & Maheu, John M. & Yang, Qiao - An infinite hidden Markov model for short-term interest rates (RePEc:eee:empfin:v:38:y:2016:i:pa:p:202-220)
by Maheu, John M. & Yang, Qiao - Volatility dynamics under duration-dependent mixing (RePEc:eee:empfin:v:7:y:2000:i:3-4:p:345-372)
by Maheu, John M. & McCurdy, Thomas H. - Bull and bear markets during the COVID-19 pandemic (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321001720)
by Maheu, John M. & McCurdy, Thomas H. & Song, Yong - A new structural break model, with an application to Canadian inflation forecasting (RePEc:eee:intfor:v:30:y:2014:i:1:p:144-160)
by Maheu, John M. & Song, Yong - Oil price shocks and economic growth: The volatility link (RePEc:eee:intfor:v:36:y:2020:i:2:p:570-587)
by Maheu, John M. & Song, Yong & Yang, Qiao - Bayesian forecasting in economics and finance: A modern review (RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839)
by Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios - Do jumps contribute to the dynamics of the equity premium? (RePEc:eee:jfinec:v:110:y:2013:i:2:p:457-477)
by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei - Intraday dynamics of volatility and duration: Evidence from Chinese stocks (RePEc:eee:pacfin:v:20:y:2012:i:3:p:329-348)
by Liu, Chun & Maheu, John M. - Chapter 12 Modeling Foreign Exchange Rates with Jumps (RePEc:eme:fegzzz:s1574-8715(07)00212-6)
by John M. Maheu & Thomas H. McCurdy - Bayesian semiparametric stochastic volatility modeling (RePEc:fip:fedawp:2008-15)
by Mark J. Jensen & John M. Maheu - Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (RePEc:fip:fedawp:2012-06)
by Mark J. Jensen & John M. Maheu - Bayesian semiparametric multivariate GARCH modeling (RePEc:fip:fedawp:2012-09)
by Mark J. Jensen & John M. Maheu - Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:fip:fedawp:2014-06)
by Mark J. Jensen & John M. Maheu - A Semi-Markov Approach to Modeling Volatility Dynamics (RePEc:fth:rotfin:99-004)
by Maheu, J.M. & McCurdy, T.H. - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993)
by Mark J. Jensen & John M. Maheu - Learning, forecasting and structural breaks (RePEc:jae:japmet:v:23:y:2008:i:5:p:553-583)
by John M. Maheu & Stephen Gordon - Forecasting realized volatility: a Bayesian model-averaging approach (RePEc:jae:japmet:v:24:y:2009:i:5:p:709-733)
by Chun Liu & John M. Maheu - Learning, Forecasting and Structural Breaks (RePEc:lvl:lacicr:0422)
by John M. Maheu & Stephen Gordon - Bayesian Forecasting in the 21st Century: A Modern Review (RePEc:msh:ebswps:2023-1)
by Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis - Modeling Realized Covariances and Returns (RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369)
by Xin Jin & John M. Maheu - Nonparametric Dynamic Conditional Beta (RePEc:oup:jfinec:v:19:y:2021:i:4:p:583-613.)
by John M Maheu & Azam Shamsi Zamenjani - Bayesian Nonparametric Estimation of Ex Post Variance
[Out of Sample Forecasts of Quadratic Variation] (RePEc:oup:jfinec:v:19:y:2021:i:5:p:823-859.)
by Jim Griffin & Jia Liu & John M. Maheu - Components of Market Risk and Return (RePEc:oup:jfinec:v:5:y:2007:i:4:p:560-590)
by John M. Maheu & Thomas H. McCurdy - Are There Structural Breaks in Realized Volatility? (RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360)
by Chun Liu & John M. Maheu - Bull and Bear Markets During the COVID-19 Pandemic (RePEc:pra:mprapa:104504)
by Maheu, John M & McCurdy, Thomas H & Song, Yong - A Multivariate GARCH-Jump Mixture Model (RePEc:pra:mprapa:104770)
by Li, Chenxing & Maheu, John M - An Infinite Hidden Markov Model with Stochastic Volatility (RePEc:pra:mprapa:115456)
by Li, Chenxing & Maheu, John M & Yang, Qiao - Identification and Forecasting of Bull and Bear Markets using Multivariate Returns (RePEc:pra:mprapa:119515)
by Liu, Jia & Maheu, John M & Song, Yong - A new structural break model with application to Canadian inflation forecasting (RePEc:pra:mprapa:36870)
by Maheu, John & Song, Yong - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:pra:mprapa:52132)
by Jensen, Mark J & Maheu, John M - Modeling Covariance Breakdowns in Multivariate GARCH (RePEc:pra:mprapa:55243)
by Jin, Xin & Maheu, John M - Bayesian Semiparametric Modeling of Realized Covariance Matrices (RePEc:pra:mprapa:60102)
by Jin, Xin & Maheu, John M - An Infinite Hidden Markov Model for Short-term Interest Rates (RePEc:pra:mprapa:62408)
by Maheu, John M & Yang, Qiao - Improving Markov switching models using realized variance (RePEc:pra:mprapa:71120)
by Liu, Jia & Maheu, John M - Bayesian Nonparametric Estimation of Ex-post Variance (RePEc:pra:mprapa:71220)
by Griffin, Jim & Liu, Jia & Maheu, John M - Nonparametric Dynamic Conditional Beta (RePEc:pra:mprapa:73764)
by Maheu, John M & Shamsi, Azam - An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series (RePEc:pra:mprapa:79211)
by Maheu, John M & Song, Yong - Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices (RePEc:pra:mprapa:81920)
by Jin, Xin & Maheu, John M & Yang, Qiao - Oil Price Shocks and Economic Growth: The Volatility Link (RePEc:pra:mprapa:83779)
by Maheu, John M & Yang, Qiao & Song, Yong - Oil Price Shocks and Economic Growth: The Volatility Link (RePEc:pra:mprapa:83999)
by Maheu, John M & Song, Yong & Yang, Qiao - Modelling Realized Covariances and Returns (RePEc:rim:rimwps:08_11)
by Xin Jin & John M. Maheu - Real Time Detection of Structural Breaks in GARCH Models (RePEc:rim:rimwps:11_09)
by Zhongfang He & John M. Maheu - An Infinite Hidden Markov Model for Short-term Interest Rates (RePEc:rim:rimwps:15-05)
by John M. Maheu & Qiao Yang - Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices (RePEc:rim:rimwps:18-02)
by Xin Jin & John M. Maheu & Qiao Yang - Oil Price Shocks and Economic Growth: The Volatility Link (RePEc:rim:rimwps:18-03)
by John M. Maheu & Yong Song & Qiao Yang - How useful are historical data for forecasting the long-run equity return distribution? (RePEc:rim:rimwps:19_07)
by John M. Maheu & Thomas H. McCurdy - Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (RePEc:rim:rimwps:19_09)
by John M. Maheu & Thomas H. McCurdy - Bayesian Semiparametric Stochastic Volatility Modeling (RePEc:rim:rimwps:23_09)
by Mark J. Jensen & John M. Maheu - A New Structural Break Model with Application to Canadian Inflation Forecasting (RePEc:rim:rimwps:27_12)
by John M. Maheu & Yong Song - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:rim:rimwps:31_14)
by Mark J. Jensen & John M. Maheu - Bayesian Semiparametric Modeling of Realized Covariance Matrices (RePEc:rim:rimwps:34_14)
by Xin Jin & John M. Maheu - Modeling Covariance Breakdowns in Multivariate GARCH (RePEc:rim:rimwps:36_14)
by Xin Jin & John M. Maheu - Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture (RePEc:rim:rimwps:45_12)
by Mark J. Jensen & John M. Maheu - Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models (RePEc:rim:rimwps:46_12)
by Martin Burda & John M. Maheu - Do Jumps Contribute to the Dynamics of the Equity Premium? (RePEc:rim:rimwps:47_12)
by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao - Bayesian Semiparametric Multivariate GARCH Modeling (RePEc:rim:rimwps:48_12)
by Mark J. Jensen & John M. Maheu - Modelling Realized Covariances and Returns (RePEc:rim:rimwps:49_12)
by Xin Jin & John M. Maheu - Components of Bull and Bear Markets: Bull Corrections and Bear Rallies (RePEc:taf:jnlbes:v:30:y:2012:i:3:p:391-403)
by John M. Maheu & Thomas H. McCurdy & Yong Song - Modeling foreign exchange rates with jumps (RePEc:tor:tecipa:tecipa-279)
by John M Maheu & Thomas H McCurdy - Learning, Forecasting and Structural Breaks (RePEc:tor:tecipa:tecipa-284)
by John M Maheu & Stephen Gordon - How useful are historical data for forecasting the long-run equity return distribution? (RePEc:tor:tecipa:tecipa-293)
by John M Maheu & Thomas H McCurdy - Are there Structural Breaks in Realized Volatility? (RePEc:tor:tecipa:tecipa-304)
by Chun Liu & John M Maheu - Forecasting Realized Volatility: A Bayesian Model Averaging Approach (RePEc:tor:tecipa:tecipa-313)
by Chun Liu & John M Maheu - Bayesian semiparametric stochastic volatility modeling (RePEc:tor:tecipa:tecipa-314)
by Mark J Jensen & John M Maheu - Improving Forecasts of Inflation using the Term Structure of Interest Rates (RePEc:tor:tecipa:tecipa-319)
by Alonso Gomez & John M Maheu & Alex Maynard - Do high-frequency measures of volatility improve forecasts of return distributions? (RePEc:tor:tecipa:tecipa-324)
by John M Maheu & Thomas H McCurdy - Real Time Detection of Structural Breaks in GARCH Models (RePEc:tor:tecipa:tecipa-336)
by Zhongfang He & John M Maheu - Extracting bull and bear markets from stock returns (RePEc:tor:tecipa:tecipa-369)
by John M Maheu & Thomas H McCurdy & Yong Song - Modelling Realized Covariances (RePEc:tor:tecipa:tecipa-382)
by Xin Jin & John M Maheu - Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market (RePEc:tor:tecipa:tecipa-401)
by Chun Liu & John M Maheu - Components of bull and bear markets: bull corrections and bear rallies (RePEc:tor:tecipa:tecipa-402)
by John M Maheu & Thomas H McCurdy & Yong Song - Modelling Realized Covariances and Returns (RePEc:tor:tecipa:tecipa-408)
by Xin Jin & John M Maheu - Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models (RePEc:tor:tecipa:tecipa-438)
by Martin Burda & John Maheu - A New Structural Break Model with Application to Canadian Inflation Forecasting (RePEc:tor:tecipa:tecipa-448)
by John M Maheu & Yong Song - Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture (RePEc:tor:tecipa:tecipa-453)
by Mark J Jensen & John M Maheu - Bayesian semiparametric multivariate GARCH modeling (RePEc:tor:tecipa:tecipa-458)
by Mark J Jensen & John M Maheu - Nonlinear Features of Realized FX Volatility (RePEc:tpr:restat:v:84:y:2002:i:4:p:668-681)
by John M. Maheu & Thomas H. McCurdy - A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? (RePEc:vuw:vuwcsr:19110)
by Daglish, Toby & Maheu, John & McCurdy, Tom - Unknown item RePEc:vuw:vuwcsr:4009 (paper)
- An efficient Bayesian approach to multiple structural change in multivariate time series (RePEc:wly:japmet:v:33:y:2018:i:2:p:251-270)
by John M. Maheu & Yong Song - Improving Markov switching models using realized variance (RePEc:wly:japmet:v:33:y:2018:i:3:p:297-318)
by Jia Liu & John M. Maheu - Bayesian parametric and semiparametric factor models for large realized covariance matrices (RePEc:wly:japmet:v:34:y:2019:i:5:p:641-660)
by Xin Jin & John M. Maheu & Qiao Yang - Identification and forecasting of bull and bear markets using multivariate returns (RePEc:wly:japmet:v:39:y:2024:i:5:p:723-745)
by Jia Liu & John M. Maheu & Yong Song - An infinite hidden Markov model with stochastic volatility (RePEc:wly:jforec:v:43:y:2024:i:6:p:2187-2211)
by Chenxing Li & John M. Maheu & Qiao Yang