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 4 6 7
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 2 8 12 94
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 0 5 10 96
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 10 10 166
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 2 6 10 533
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 2 4 131
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 0 10 15 79
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 3 12 13 104
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 1 5 12 96
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 2 8 12 55
Are there Structural Breaks in Realized Volatility? 0 0 0 225 0 2 9 559
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 0 8 11 578
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 1 6 7 200
Bayesian Forecasting in Economics and Finance: A Modern Review 1 1 4 82 4 16 32 103
Bayesian Forecasting in the 21st Century: A Modern Review 1 1 3 77 2 9 20 84
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 1 3 5 70
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 2 2 71
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 3 11 13 43
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 3 10 10 105
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 45 3 8 10 109
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 1 1 9 147
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 0 4 9 185
Bayesian semiparametric multivariate GARCH modeling 0 0 1 37 0 2 6 91
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 4 6 148
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 8 13 407
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 2 7 177
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 2 9 10 235
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 3 6 38
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 3 9 14 503
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 1 9 13 122
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 1 6 12 460
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 4 9 14 333
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 0 6 10 137
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 10 19 239
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 1 4 8 85
Extracting bull and bear markets from stock returns 0 0 2 361 2 7 16 1,023
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 2 3 367 1 23 31 1,053
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 2 8 10 2,075
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 5 5 64
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 3 10 22 48
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 1 176 2 7 8 470
Improving Markov switching models using realized variance 0 0 1 75 0 6 13 89
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 7 16 23 268
Learning, Forecasting and Structural Breaks 0 0 0 721 1 6 8 2,513
Learning, Forecasting and Structural Breaks 0 0 0 173 0 3 5 458
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 1 6 6 78
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 2 210 7 14 21 466
Modeling foreign exchange rates with jumps 0 0 2 294 0 5 16 731
Modelling Realized Covariances 0 0 0 67 7 11 11 160
Modelling Realized Covariances and Returns 0 0 1 51 1 5 10 119
Modelling Realized Covariances and Returns 0 0 0 98 0 3 4 225
Modelling Realized Covariances and Returns 0 0 0 45 1 4 6 140
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 1 4 1,103
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 3 4 1,081
Nonparametric Dynamic Conditional Beta 0 0 0 49 2 10 14 67
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 0 2 86
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 7 8 12 50
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 7 16 20 94
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 3 7 10 218
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 36 0 3 5 144
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 3 6 11 415
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 5 10 156
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 2 6 9 118
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 1 3 86
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 2 3 249
Total Working Papers 2 4 26 6,787 104 438 701 20,437
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 6 11 45
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 2 9 10 40
An infinite hidden Markov model for short-term interest rates 0 0 2 9 2 6 10 52
An infinite hidden Markov model with stochastic volatility 0 0 4 4 1 2 8 11
Are There Structural Breaks in Realized Volatility? 0 0 0 56 6 10 14 189
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 1 6 10 15
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 2 7 11 112
Bayesian forecasting in economics and finance: A modern review 0 1 5 11 4 31 60 76
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 6 11 48
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 4 7 12 79
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 1 4 9 132
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 1 3 9 161
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 2 8 13 23
Can GARCH Models Capture Long-Range Dependence? 1 2 4 192 1 7 17 576
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 2 13 19 356
Components of Market Risk and Return 1 1 1 24 3 14 15 316
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 8 23 1,262
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 3 53 1 4 13 200
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 0 4 12 150
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 6 11 110
Forecasting realized volatility: a Bayesian model-averaging approach 0 1 1 91 2 7 17 343
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 1 5 11 348
Identification and forecasting of bull and bear markets using multivariate returns 1 1 4 15 5 14 25 48
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 4 17 28 2,470
Improving Markov switching models using realized variance 0 0 0 3 1 8 8 52
Infinite Markov pooling of predictive distributions 0 0 2 8 1 4 10 25
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 5 8 65
Learning, forecasting and structural breaks 0 0 0 96 0 5 8 343
Modeling Realized Covariances and Returns 0 0 0 35 0 3 6 115
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 1 5 7 64
Nonlinear Features of Realized FX Volatility 0 0 0 104 3 6 9 512
Nonparametric Dynamic Conditional Beta* 0 0 1 5 1 9 15 33
Oil price shocks and economic growth: The volatility link 0 1 1 13 5 14 15 70
Real time detection of structural breaks in GARCH models 0 0 1 36 2 8 9 172
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 2 7 15 87
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 0 0 6 6 0 9 24 24
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 5 8 127
Total Journal Articles 3 7 39 1,155 61 292 521 8,851
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 6
Total Chapters 0 0 0 0 0 0 1 6

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Statistics updated 2026-03-04