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 0 0 0 0
A Multivariate GARCH-Jump Mixture Model 0 0 3 37 0 0 11 78
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 0 156
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 42 0 0 0 85
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 0 1 523
A new structural break model with application to Canadian inflation forecasting 0 0 1 60 0 0 2 125
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 2 113 0 1 4 63
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 47 0 0 0 89
An Infinite Hidden Markov Model for Short-term Interest Rates 0 1 1 49 0 1 4 81
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 3 69 0 1 10 39
Are there Structural Breaks in Realized Volatility? 0 0 4 225 0 1 6 550
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 1 1 5 168 1 1 7 565
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 1 65 0 0 3 191
Bayesian Forecasting in Economics and Finance: A Modern Review 0 0 5 77 2 3 21 62
Bayesian Forecasting in the 21st Century: A Modern Review 0 1 4 71 0 4 14 57
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 1 46 0 0 2 64
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 1 25 0 0 1 69
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 1 64 0 0 3 30
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 16 0 0 1 94
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 44 0 0 0 98
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 59 0 0 0 137
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 4 47 0 0 6 175
Bayesian semiparametric multivariate GARCH modeling 0 0 0 35 0 0 0 84
Bayesian semiparametric multivariate GARCH modeling 0 0 0 40 0 0 0 141
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 0 1 394
Bayesian semiparametric stochastic volatility modeling 0 0 1 48 0 0 1 169
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 0 1 31
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 0 223
Components of bull and bear markets: bull corrections and bear rallies 0 1 4 156 0 1 8 488
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 2 106
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 138 0 0 10 439
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 134 0 0 2 319
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 28 0 0 0 126
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 1 36 0 1 7 215
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 0 0 0 77
Extracting bull and bear markets from stock returns 0 1 1 358 2 5 6 1,004
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 0 363 0 0 8 1,016
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 7 1 1 1 56
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 0 1 2,062
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 1 19 19 0 2 22 22
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 175 0 0 2 460
Improving Markov switching models using realized variance 1 1 2 74 1 1 5 75
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 0 0 1 243
Learning, Forecasting and Structural Breaks 0 0 0 173 0 0 0 451
Learning, Forecasting and Structural Breaks 0 1 2 721 0 1 4 2,503
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 207 1 2 10 440
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 0 0 71
Modeling foreign exchange rates with jumps 1 2 3 291 1 2 6 709
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 0 0 0 98 0 0 0 220
Modelling Realized Covariances and Returns 0 0 0 45 0 0 0 134
Modelling Realized Covariances and Returns 0 0 0 48 0 0 1 106
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 0 2 1,098
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 2 1,077
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 0 0 53
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 31 0 0 0 38
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 41 0 0 1 83
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 1 1 73
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 35 0 0 0 137
Real Time Detection of Structural Breaks in GARCH Models 0 1 1 155 0 1 2 404
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 71 0 0 0 207
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 0 2 108
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 0 0 145
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 0 2 82
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 0 245
Total Working Papers 3 11 72 6,732 9 30 207 19,614
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 0 0 0 34
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 0 1 29
An infinite hidden Markov model for short-term interest rates 0 0 0 7 0 2 4 42
Are There Structural Breaks in Realized Volatility? 0 1 4 56 1 2 9 174
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 0 2 3
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 1 16 0 0 2 99
Bayesian forecasting in economics and finance: A modern review 0 0 1 1 4 5 8 8
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 1 7 1 1 4 35
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 12 1 1 2 66
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 0 0 121
Bayesian semiparametric stochastic volatility modeling 0 1 4 42 1 2 14 151
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 1 1 10
Can GARCH Models Capture Long-Range Dependence? 0 0 1 188 0 1 10 554
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 1 5 75 2 4 13 335
Components of Market Risk and Return 0 0 0 23 0 0 4 300
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 1 17 1,236
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 50 0 1 4 186
Do jumps contribute to the dynamics of the equity premium? 0 0 3 28 1 1 4 136
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 0 2 98
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 1 1 3 324
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 90 0 0 0 334
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 0 3 7 2,439
Improving Markov switching models using realized variance 0 0 0 3 0 1 1 43
Infinite Markov pooling of predictive distributions 0 0 3 6 0 0 6 11
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 0 1 57
Learning, forecasting and structural breaks 0 0 0 96 0 0 2 334
Modeling Realized Covariances and Returns 0 0 0 34 0 1 1 108
Modeling covariance breakdowns in multivariate GARCH 0 1 1 9 0 1 5 57
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 0 2 501
Nonparametric Dynamic Conditional Beta* 0 0 0 3 0 1 4 15
Oil price shocks and economic growth: The volatility link 0 0 0 11 0 0 2 54
Real time detection of structural breaks in GARCH models 0 0 0 35 0 0 0 163
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 0 4 7 69
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 1 119
Total Journal Articles 0 4 25 1,093 12 34 143 8,245
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 1 1
Total Chapters 0 0 0 0 0 0 1 1

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2024-09-04