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 Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 1 3 5 6
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 5 6 12 92
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 9 10 10 166
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 2 9 10 96
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 4 5 8 531
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 2 5 131
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 8 13 16 79
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 4 8 12 95
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 6 9 11 101
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 4 6 10 53
Are there Structural Breaks in Realized Volatility? 0 0 0 225 2 5 9 559
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 6 10 12 578
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 3 6 7 199
Bayesian Forecasting in Economics and Finance: A Modern Review 0 0 3 81 9 17 29 99
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 2 76 5 13 20 82
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 1 3 4 69
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 7 9 10 40
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 2 2 2 71
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 1 1 45 5 6 7 106
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 6 7 7 102
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 5 8 146
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 3 7 9 185
Bayesian semiparametric multivariate GARCH modeling 0 0 1 37 2 3 6 91
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 2 5 6 148
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 1 4 8 177
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 6 9 13 407
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 4 7 8 233
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 2 3 5 37
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 5 7 12 500
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 6 9 14 121
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 5 6 12 459
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 5 8 10 329
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 3 6 10 137
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 7 12 20 239
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 2 4 7 84
Extracting bull and bear markets from stock returns 0 0 2 361 3 6 14 1,021
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 1 2 4 367 15 25 34 1,052
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 3 4 4 63
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 3 6 9 2,073
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 2 11 20 45
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 1 176 5 5 7 468
Improving Markov switching models using realized variance 0 0 1 75 3 8 14 89
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 8 14 17 261
Learning, Forecasting and Structural Breaks 0 0 0 173 3 3 6 458
Learning, Forecasting and Structural Breaks 0 0 0 721 5 5 7 2,512
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 3 5 5 77
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 2 210 5 10 14 459
Modeling foreign exchange rates with jumps 0 0 2 294 2 5 16 731
Modelling Realized Covariances 0 0 0 67 3 4 4 153
Modelling Realized Covariances and Returns 0 0 0 98 3 4 4 225
Modelling Realized Covariances and Returns 0 0 1 51 3 5 9 118
Modelling Realized Covariances and Returns 0 0 0 45 1 5 5 139
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 1 3 1,102
Nonlinear Features of Realized FX Volatility 0 0 0 295 2 3 4 1,081
Nonparametric Dynamic Conditional Beta 0 0 0 49 3 11 12 65
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 1 2 5 43
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 7 11 13 87
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 0 2 86
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 36 1 4 7 144
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 4 6 7 215
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 2 5 8 412
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 1 7 10 156
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 1 5 7 116
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 1 2 3 86
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 1 3 248
Total Working Papers 1 3 27 6,785 235 427 627 20,333
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new structural break model, with an application to Canadian inflation forecasting 0 0 0 9 5 9 11 45
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 6 8 8 38
An infinite hidden Markov model for short-term interest rates 0 0 2 9 4 5 8 50
An infinite hidden Markov model with stochastic volatility 0 2 4 4 0 4 7 10
Are There Structural Breaks in Realized Volatility? 0 0 0 56 4 5 8 183
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 3 6 9 14
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 3 6 10 110
Bayesian forecasting in economics and finance: A modern review 0 2 6 11 12 31 58 72
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 6 6 11 48
Bayesian semiparametric modeling of realized covariance matrices 0 1 1 13 3 7 8 75
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 2 5 8 131
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 1 2 8 160
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 6 8 11 21
Can GARCH Models Capture Long-Range Dependence? 1 1 3 191 5 9 16 575
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 7 11 17 354
Components of Market Risk and Return 0 0 0 23 11 11 12 313
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 3 15 23 1,262
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 3 53 1 3 12 199
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 4 4 12 150
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 6 8 11 110
Forecasting realized volatility: a Bayesian model-averaging approach 1 1 1 91 5 12 15 341
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 4 5 11 347
Identification and forecasting of bull and bear markets using multivariate returns 0 0 3 14 9 11 22 43
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 9 17 26 2,466
Improving Markov switching models using realized variance 0 0 0 3 7 7 8 51
Infinite Markov pooling of predictive distributions 0 0 2 8 3 4 9 24
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 5 6 8 65
Learning, forecasting and structural breaks 0 0 0 96 4 6 8 343
Modeling Realized Covariances and Returns 0 0 0 35 3 5 6 115
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 3 4 6 63
Nonlinear Features of Realized FX Volatility 0 0 0 104 3 4 6 509
Nonparametric Dynamic Conditional Beta* 0 0 1 5 6 10 15 32
Oil price shocks and economic growth: The volatility link 1 1 1 13 9 10 10 65
Real time detection of structural breaks in GARCH models 0 1 1 36 6 7 7 170
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 4 7 13 85
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 0 3 6 6 7 12 24 24
Volatility dynamics under duration-dependent mixing 0 0 0 26 4 6 8 127
Total Journal Articles 3 12 37 1,152 183 296 470 8,790
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Chapter 12 Modeling Foreign Exchange Rates with Jumps 0 0 0 0 0 0 3 6
Total Chapters 0 0 0 0 0 0 3 6

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Statistics updated 2026-02-12