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 2 2 3
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 0 1 6 86
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 4 5 5 91
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 0 156
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 1 4 527
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 0 3 129
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 3 4 6 69
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 0 1 2 92
An Infinite Hidden Markov Model for Short-term Interest Rates 0 1 1 52 4 7 8 91
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 0 1 5 47
Are there Structural Breaks in Realized Volatility? 0 0 0 225 3 3 7 557
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 2 3 4 570
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 1 1 2 194
Bayesian Forecasting in Economics and Finance: A Modern Review 0 2 3 81 5 8 19 87
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 5 76 6 7 16 75
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 1 1 2 67
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 0 69
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 1 1 2 32
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 17 0 0 1 95
Bayesian Semiparametric Modeling of Realized Covariance Matrices 1 1 1 45 1 1 2 101
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 5 7 8 146
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 3 4 6 181
Bayesian semiparametric multivariate GARCH modeling 0 0 1 37 1 3 4 89
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 1 2 2 144
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 1 3 5 399
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 2 4 6 175
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 2 3 35
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 1 1 226
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 1 2 6 494
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 1 3 6 113
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 2 141 1 2 10 454
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 3 4 5 324
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 2 4 10 229
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 0 4 4 131
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 1 3 4 81
Extracting bull and bear markets from stock returns 0 1 2 361 1 6 10 1,016
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 2 365 3 6 12 1,030
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 0 0 1 59
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 0 4 2,067
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 1 1 20 4 8 15 38
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 1 176 0 0 3 463
Improving Markov switching models using realized variance 0 0 1 75 2 3 8 83
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 5 7 8 252
Learning, Forecasting and Structural Breaks 0 0 0 721 0 0 4 2,507
Learning, Forecasting and Structural Breaks 0 0 0 173 0 2 4 455
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 2 210 3 4 9 452
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 0 0 72
Modeling foreign exchange rates with jumps 0 0 2 294 0 2 13 726
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 0 0 2 51 1 3 6 114
Modelling Realized Covariances and Returns 0 0 0 98 1 1 2 222
Modelling Realized Covariances and Returns 0 0 0 45 2 2 2 136
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 2 3 1,102
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 1 1 1,078
Nonparametric Dynamic Conditional Beta 0 0 0 49 3 3 4 57
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 2 3 4 78
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 42 0 1 3 86
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 1 2 4 42
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 2 2 5 409
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 2 3 3 211
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 36 1 1 4 141
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 1 3 4 112
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 2 2 6 151
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 1 1 3 85
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 2 247
Total Working Papers 1 7 32 6,783 93 163 323 19,999
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 3 5 5 39
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 1 1 1 31
An infinite hidden Markov model for short-term interest rates 0 2 2 9 1 4 4 46
An infinite hidden Markov model with stochastic volatility 2 4 4 4 3 5 7 9
Are There Structural Breaks in Realized Volatility? 0 0 0 56 1 3 5 179
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 1 3 5 9
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 1 2 5 105
Bayesian forecasting in economics and finance: A modern review 1 3 6 10 4 13 33 45
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 0 5 42
Bayesian semiparametric modeling of realized covariance matrices 1 1 1 13 4 4 5 72
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 2 2 5 128
Bayesian semiparametric stochastic volatility modeling 0 0 1 43 0 1 7 158
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 2 3 5 15
Can GARCH Models Capture Long-Range Dependence? 0 1 2 190 3 8 11 569
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 0 3 7 343
Components of Market Risk and Return 0 0 0 23 0 0 1 302
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 7 11 15 1,254
Do high-frequency measures of volatility improve forecasts of return distributions? 0 1 3 53 0 3 10 196
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 0 1 9 146
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 2 3 6 104
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 7 7 11 336
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 1 1 7 343
Identification and forecasting of bull and bear markets using multivariate returns 0 1 6 14 2 7 19 34
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 4 6 13 2,453
Improving Markov switching models using realized variance 0 0 0 3 0 0 1 44
Infinite Markov pooling of predictive distributions 0 2 2 8 1 6 7 21
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 1 2 3 60
Learning, forecasting and structural breaks 0 0 0 96 1 3 3 338
Modeling Realized Covariances and Returns 0 0 0 35 2 2 3 112
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 0 0 2 59
Nonlinear Features of Realized FX Volatility 0 0 0 104 1 1 4 506
Nonparametric Dynamic Conditional Beta* 0 1 1 5 2 5 7 24
Oil price shocks and economic growth: The volatility link 0 0 0 12 1 1 1 56
Real time detection of structural breaks in GARCH models 1 1 1 36 1 1 1 164
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 2 4 10 80
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 3 4 6 6 3 10 15 15
Volatility dynamics under duration-dependent mixing 0 0 0 26 1 2 3 122
Total Journal Articles 8 21 38 1,148 65 133 261 8,559
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 1 4 6
Total Chapters 0 0 0 0 0 1 4 6

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Statistics updated 2025-12-06