John M Maheu
John M Maheu
DeGroote School of Business, McMaster University
Verified email at mcmaster.ca - Homepage
Title
Cited by
Cited by
Year
News arrival, jump dynamics, and volatility components for individual stock returns
JM Maheu, TH McCurdy
The Journal of Finance 59 (2), 755-793, 2004
6052004
Identifying bull and bear markets in stock returns
JM Maheu, TH McCurdy
Journal of Business & Economic Statistics 18 (1), 100-112, 2000
4562000
Conditional jump dynamics in stock market returns
WH Chan, JM Maheu
Journal of Business & Economic Statistics 20 (3), 377-389, 2002
3942002
Nonlinear features of realized FX volatility
JM Maheu, TH McCurdy
Review of Economics and Statistics 84 (4), 668-681, 2002
1532002
Do high-frequency measures of volatility improve forecasts of return distributions?
JM Maheu, TH McCurdy
Journal of Econometrics 160 (1), 69-76, 2011
1292011
Modeling realized covariances and returns
X Jin, JM Maheu
Journal of Financial Econometrics 11 (2), 335-369, 2013
1112013
Bayesian semiparametric stochastic volatility modeling
MJ Jensen, JM Maheu
Journal of Econometrics 157 (2), 306-316, 2010
1112010
Are there structural breaks in realized volatility?
C Liu, JM Maheu
Journal of Financial Econometrics 6 (3), 326-360, 2008
1042008
Forecasting realized volatility: a Bayesian model‐averaging approach
C Liu, JM Maheu
Journal of Applied Econometrics 24 (5), 709-733, 2009
982009
Components of bull and bear markets: bull corrections and bear rallies
JM Maheu, TH McCurdy, Y Song
Journal of Business & Economic Statistics 30 (3), 391-403, 2012
792012
Learning, forecasting and structural breaks
JM Maheu, S Gordon
Journal of Applied Econometrics 23 (5), 553-583, 2008
722008
Real time detection of structural breaks in GARCH models
Z He, JM Maheu
Computational Statistics & Data Analysis 54 (11), 2628-2640, 2010
592010
Can GARCH models capture long-range dependence?
J Maheu
Studies in Nonlinear Dynamics & Econometrics 9 (4), 2005
582005
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
MJ Jensen, JM Maheu
Journal of Econometrics 178, 523-538, 2014
562014
Do jumps contribute to the dynamics of the equity premium?
JM Maheu, TH McCurdy, X Zhao
Journal of Financial Economics 110 (2), 457-477, 2013
522013
Bayesian semiparametric multivariate GARCH modeling
MJ Jensen, JM Maheu
Journal of Econometrics 176 (1), 3-17, 2013
492013
Components of market risk and return
JM Maheu, TH McCurdy
Journal of Financial Econometrics 5 (4), 560-590, 2007
402007
Bayesian semiparametric modeling of realized covariance matrices
X Jin, JM Maheu
Journal of Econometrics 192 (1), 19-39, 2016
362016
An infinite hidden Markov model for short-term interest rates
JM Maheu, Q Yang
Journal of Empirical Finance 38 (A), 202–220, 2016
292016
How useful are historical data for forecasting the long-run equity return distribution?
JM Maheu, TH McCurdy
Journal of Business & Economic Statistics 27 (1), 95-112, 2009
292009
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Articles 1–20