Access Statistics for John M. Maheu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 3 13 462
Are there Structural Breaks in Realized Volatility? 1 2 33 118 2 8 92 217
Bayesian semiparametric stochastic volatility modeling 2 10 18 18 4 12 12 12
Bayesian semiparametric stochastic volatility modeling 1 3 19 36 2 8 43 86
Bayesian semiparametric stochastic volatility modeling 3 7 36 72 4 10 72 151
Do high-frequency measures of volatility improve forecasts of return distributions? 3 10 39 76 7 18 90 121
Do high-frequency measures of volatility improve forecasts of return distributions? 4 19 28 28 7 12 13 13
Extracting bull and bear markets from stock returns 10 33 33 33 15 32 32 32
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 10 20 98 197 23 54 227 381
How useful are historical data for forecasting the long-run equity return distribution? 1 5 13 109 2 14 65 200
How useful are historical data for forecasting the long-run equity return distribution? 6 24 64 251 36 106 377 802
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 9 48 112 2 16 119 211
Learning, Forecasting and Structural Breaks 1 3 23 130 2 7 46 223
Learning, Forecasting and Structural Breaks 6 23 114 518 23 70 356 1,446
Modeling foreign exchange rates with jumps 4 14 45 178 12 30 101 377
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 4 21 331 0 8 49 807
Nonlinear Features of Realized FX Volatility 1 2 10 269 1 4 48 950
Real Time Detection of Structural Breaks in GARCH Models 1 9 21 21 4 20 27 27
Real Time Detection of Structural Breaks in GARCH Models 3 8 51 78 7 17 118 141
The long-run relationship between market risk and return 1 3 9 147 5 16 97 778
Volatility Dynamics Under Duration-Dependent Mixing 0 1 3 86 0 1 8 174
Total Working Papers 58 209 726 2,809 159 466 2,005 7,611

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are There Structural Breaks in Realized Volatility? 2 5 5 5 3 9 10 10
Can GARCH Models Capture Long-Range Dependence? 1 7 28 129 11 27 81 297
Components of Market Risk and Return 0 3 4 4 3 8 9 9
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 3 11 71 686
Forecasting realized volatility: a Bayesian model-averaging approach 4 9 9 9 17 30 30 30
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 8 14 35 35 18 44 112 112
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 23 37 177 1,989
Learning, forecasting and structural breaks 4 7 28 36 6 14 80 104
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns 1 9 36 166 4 20 84 412
Nonlinear Features of Realized FX Volatility 0 2 7 85 1 12 34 368
Volatility dynamics under duration-dependent mixing 0 0 0 16 0 0 4 55
Total Journal Articles 20 56 152 485 89 212 692 4,072

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Statistics updated 2009-11-04