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 1 6 7
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 3 5 13 97
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 2 2 12 98
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 2 2 12 168
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 3 10 534
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 2 2 6 133
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 0 0 14 79
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 2 3 14 98
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 4 8 18 109
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 6 8 18 61
Are there Structural Breaks in Realized Volatility? 0 0 0 225 4 4 13 563
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 3 6 17 584
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 4 5 11 204
Bayesian Forecasting in Economics and Finance: A Modern Review 1 2 4 83 7 13 40 112
Bayesian Forecasting in the 21st Century: A Modern Review 0 1 2 77 4 8 24 90
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 4 7 10 76
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 2 5 15 45
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 2 71
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 45 3 7 14 113
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 6 11 18 113
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 3 4 12 150
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 1 1 10 186
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 1 7 149
Bayesian semiparametric multivariate GARCH modeling 0 0 0 37 2 2 7 93
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 1 14 408
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 1 1 8 178
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 2 7 39
Bull and Bear Markets During the COVID-19 Pandemic 1 1 1 44 1 3 11 236
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 2 7 17 507
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 1 2 14 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 1 4 13 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 4 8 18 337
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 3 5 23 244
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 2 2 12 139
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 4 5 12 89
Extracting bull and bear markets from stock returns 0 0 2 361 0 3 16 1,024
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 3 367 5 9 39 1,061
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 2 4 12 2,077
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 2 9 13 72
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 4 8 26 53
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 176 2 5 10 473
Improving Markov switching models using realized variance 0 0 1 75 6 8 20 97
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 7 24 40 285
Learning, Forecasting and Structural Breaks 0 0 0 173 2 4 9 462
Learning, Forecasting and Structural Breaks 0 0 0 721 2 3 10 2,515
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 3 8 80
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 3 211 7 18 31 477
Modeling foreign exchange rates with jumps 0 0 2 294 2 2 11 733
Modelling Realized Covariances 0 0 0 67 0 8 12 161
Modelling Realized Covariances and Returns 0 0 1 51 2 3 12 121
Modelling Realized Covariances and Returns 0 1 1 46 5 8 13 147
Modelling Realized Covariances and Returns 0 1 1 99 3 5 9 230
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 3 6 1,105
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 1 5 1,082
Nonparametric Dynamic Conditional Beta 0 0 0 49 3 5 16 70
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 1 10 23 97
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 5 13 18 56
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 1 3 87
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 36 1 1 6 145
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 1 5 12 417
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 4 7 14 222
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 3 6 13 122
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 2 3 12 159
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 0 3 86
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 3 5 251
Total Working Papers 2 7 27 6,792 158 330 899 20,663
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 1 1 12 46
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 4 6 14 44
An infinite hidden Markov model for short-term interest rates 0 0 2 9 2 7 15 57
An infinite hidden Markov model with stochastic volatility 0 0 4 4 4 10 17 20
Are There Structural Breaks in Realized Volatility? 0 0 0 56 2 10 18 193
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 1 2 10 16
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 6 8 16 118
Bayesian forecasting in economics and finance: A modern review 1 2 6 13 4 14 62 86
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 2 3 14 51
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 1 5 13 80
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 2 3 11 134
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 1 2 10 162
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 3 6 16 27
Can GARCH Models Capture Long-Range Dependence? 0 1 4 192 6 8 24 583
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 1 3 19 357
Components of Market Risk and Return 0 1 1 24 1 4 16 317
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 2 4 24 1,266
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 3 53 6 7 19 206
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 3 3 11 153
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 3 5 16 115
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 1 91 1 3 18 344
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 2 5 14 352
Identification and forecasting of bull and bear markets using multivariate returns 1 2 5 16 4 10 30 53
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 8 15 38 2,481
Improving Markov switching models using realized variance 0 0 0 3 6 7 14 58
Infinite Markov pooling of predictive distributions 0 0 2 8 2 5 14 29
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 1 2 10 67
Learning, forecasting and structural breaks 0 0 0 96 2 4 12 347
Modeling Realized Covariances and Returns 0 0 0 35 4 6 12 121
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 3 5 11 68
Nonlinear Features of Realized FX Volatility 0 0 0 104 2 5 11 514
Nonparametric Dynamic Conditional Beta* 0 0 1 5 0 2 16 34
Oil price shocks and economic growth: The volatility link 0 0 1 13 2 9 19 74
Real time detection of structural breaks in GARCH models 0 0 1 36 1 3 10 173
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 5 9 21 94
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 1 2 8 8 3 6 30 30
Volatility dynamics under duration-dependent mixing 0 0 0 26 3 5 13 132
Total Journal Articles 3 8 41 1,160 104 212 650 9,002
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 2 3 4 9
Total Chapters 0 0 0 0 2 3 4 9

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Statistics updated 2026-05-06