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 6 7
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 1 4 13 98
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 1 3 13 169
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 2 4 14 100
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 1 10 534
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 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 1 3 15 99
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 2 7 20 111
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 0 6 18 61
Are there Structural Breaks in Realized Volatility? 0 0 0 225 0 4 12 563
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 2 8 19 586
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 1 5 12 205
Bayesian Forecasting in Economics and Finance: A Modern Review 1 2 5 84 1 10 38 113
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 2 77 0 6 24 90
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 1 7 11 77
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 2 71
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 0 2 15 45
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 0 8 18 113
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 45 0 4 14 113
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 3 12 150
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 2 3 12 188
Bayesian semiparametric multivariate GARCH modeling 0 0 0 37 0 2 7 93
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 1 7 149
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 1 8 178
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 1 14 408
Bull and Bear Markets During the COVID-19 Pandemic 0 1 1 44 0 1 11 236
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 1 7 39
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 2 6 18 509
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 1 14 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 0 3 11 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 1 5 19 338
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 1 3 13 140
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 5 22 244
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 1 5 13 90
Extracting bull and bear markets from stock returns 1 1 3 362 1 2 16 1,025
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 1 1 4 368 4 12 43 1,065
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 3 13 2,078
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 0 8 13 72
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 1 6 26 54
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 176 0 3 10 473
Improving Markov switching models using realized variance 0 0 1 75 0 8 20 97
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 2 19 42 287
Learning, Forecasting and Structural Breaks 0 0 0 721 0 2 10 2,515
Learning, Forecasting and Structural Breaks 0 0 0 173 0 4 9 462
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 3 211 1 12 32 478
Modeling Covariance Breakdowns in Multivariate GARCH 1 1 1 43 1 3 9 81
Modeling foreign exchange rates with jumps 0 0 2 294 0 2 11 733
Modelling Realized Covariances 0 0 0 67 0 1 12 161
Modelling Realized Covariances and Returns 0 0 1 51 1 3 13 122
Modelling Realized Covariances and Returns 0 1 1 99 0 5 9 230
Modelling Realized Covariances and Returns 0 1 1 46 1 8 14 148
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 3 7 1,106
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 1 5 1,082
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 3 16 70
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 1 4 24 98
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 32 3 9 20 59
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 0 1 6 145
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 2 4 14 419
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 3 7 17 225
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 3 12 159
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 4 13 122
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 1 1 4 87
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 2 5 251
Total Working Papers 4 9 29 6,796 43 269 930 20,706
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 1 12 46
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 1 5 15 45
An infinite hidden Markov model for short-term interest rates 0 0 2 9 3 8 18 60
An infinite hidden Markov model with stochastic volatility 0 0 4 4 3 12 19 23
Are There Structural Breaks in Realized Volatility? 0 0 0 56 1 5 19 194
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 1 2 11 17
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 0 6 16 118
Bayesian forecasting in economics and finance: A modern review 0 2 6 13 0 10 60 86
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 3 14 51
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 1 2 14 81
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 2 11 134
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 1 2 11 163
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 4 15 27
Can GARCH Models Capture Long-Range Dependence? 0 0 3 192 0 7 23 583
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 2 3 21 359
Components of Market Risk and Return 0 0 1 24 1 2 17 318
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 4 24 1,266
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 2 53 0 6 18 206
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 3 9 153
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 3 8 19 118
Forecasting realized volatility: a Bayesian model-averaging approach 1 1 2 92 2 3 20 346
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 4 13 352
Identification and forecasting of bull and bear markets using multivariate returns 0 1 4 16 2 7 31 55
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 13 38 2,483
Improving Markov switching models using realized variance 0 0 0 3 0 6 14 58
Infinite Markov pooling of predictive distributions 0 0 2 8 0 4 14 29
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 1 3 11 68
Learning, forecasting and structural breaks 0 0 0 96 1 5 13 348
Modeling Realized Covariances and Returns 0 0 0 35 0 6 12 121
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 1 5 12 69
Modeling ex post variance jumps: implications for density and tail risk forecasting 0 2 2 2 1 7 7 7
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 2 11 514
Nonparametric Dynamic Conditional Beta* 0 0 1 5 0 1 16 34
Oil price shocks and economic growth: The volatility link 0 0 1 13 0 4 19 74
Real time detection of structural breaks in GARCH models 0 0 1 36 3 4 13 176
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 0 7 20 94
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 0 2 8 8 1 7 31 31
Volatility dynamics under duration-dependent mixing 0 0 0 26 1 6 13 133
Total Journal Articles 1 8 41 1,163 32 189 674 9,040
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 3 4 9
Total Chapters 0 0 0 0 0 3 4 9

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Statistics updated 2026-06-04