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 0 1 13 98
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 0 2 14 100
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 1 13 169
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 1 9 535
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 0 6 133
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 1 1 114 0 1 15 80
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 0 1 15 99
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 0 2 20 111
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 0 70 0 1 17 62
Are there Structural Breaks in Realized Volatility? 0 0 0 225 0 0 10 563
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 0 3 20 587
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 0 2 13 206
Bayesian Forecasting in Economics and Finance: A Modern Review 0 1 5 84 1 2 35 114
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 1 77 1 4 26 94
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 1 11 77
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 0 0 14 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 1 1 14 114
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 0 0 18 113
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 0 11 150
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 0 3 12 189
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 0 7 149
Bayesian semiparametric multivariate GARCH modeling 0 0 0 37 0 0 7 93
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 0 7 178
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 1 14 409
Bull and Bear Markets During the COVID-19 Pandemic 0 0 1 44 0 0 11 236
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 0 6 39
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 0 4 19 511
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 14 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 0 0 11 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 2 19 339
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 0 1 13 140
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 0 19 244
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 0 1 13 90
Extracting bull and bear markets from stock returns 0 2 3 363 0 3 17 1,027
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 1 4 368 1 6 44 1,067
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 1 14 73
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 3 14 2,080
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 1 3 26 56
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 176 0 0 10 473
Improving Markov switching models using realized variance 0 0 0 75 0 0 17 97
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 2 5 45 290
Learning, Forecasting and Structural Breaks 0 0 0 721 0 0 10 2,515
Learning, Forecasting and Structural Breaks 0 0 0 173 0 1 10 463
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 1 43 0 1 9 81
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 2 211 0 1 31 478
Modeling foreign exchange rates with jumps 0 0 0 294 0 0 9 733
Modelling Realized Covariances 0 0 0 67 0 1 13 162
Modelling Realized Covariances and Returns 0 0 1 46 0 1 14 148
Modelling Realized Covariances and Returns 0 0 0 51 1 4 15 125
Modelling Realized Covariances and Returns 0 0 1 99 0 0 9 230
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 3 9 1,108
Nonlinear Features of Realized FX Volatility 0 0 0 295 2 3 8 1,085
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 0 16 70
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 32 0 4 21 60
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 1 23 98
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 0 3 87
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 36 0 0 5 145
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 0 4 18 226
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 1 3 14 420
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 1 14 123
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 0 12 159
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 2 5 88
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 4 251
Total Working Papers 0 6 23 6,798 14 86 933 20,749
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 13 47
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 1 15 45
An infinite hidden Markov model for short-term interest rates 0 0 2 9 0 4 19 61
An infinite hidden Markov model with stochastic volatility 0 0 4 4 0 3 19 23
Are There Structural Breaks in Realized Volatility? 0 0 0 56 1 2 20 195
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 1 11 17
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 0 0 15 118
Bayesian forecasting in economics and finance: A modern review 0 0 6 13 18 24 80 110
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 0 10 51
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 1 3 15 83
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 0 8 134
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 0 2 8 164
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 1 1 16 28
Can GARCH Models Capture Long-Range Dependence? 0 0 3 192 1 2 24 585
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 0 4 22 361
Components of Market Risk and Return 0 0 1 24 0 1 16 318
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 3 3 27 1,269
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 2 53 0 2 18 208
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 1 9 154
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 1 4 19 119
Forecasting realized volatility: a Bayesian model-averaging approach 1 2 3 93 1 5 20 349
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 1 1 12 353
Identification and forecasting of bull and bear markets using multivariate returns 0 0 3 16 2 4 30 57
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 3 7 43 2,488
Improving Markov switching models using realized variance 0 0 0 3 1 1 15 59
Infinite Markov pooling of predictive distributions 0 0 2 8 0 0 14 29
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 2 11 69
Learning, forecasting and structural breaks 0 0 0 96 0 1 13 348
Modeling Realized Covariances and Returns 0 0 0 35 0 0 11 121
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 0 1 10 69
Modeling ex post variance jumps: implications for density and tail risk forecasting 0 0 2 2 1 2 8 8
Nonlinear Features of Realized FX Volatility 0 0 0 104 1 1 11 515
Nonparametric Dynamic Conditional Beta* 0 0 1 5 1 1 17 35
Oil price shocks and economic growth: The volatility link 0 0 1 13 0 0 19 74
Real time detection of structural breaks in GARCH models 0 0 1 36 0 3 13 176
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 2 2 21 96
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 1 1 8 9 6 10 36 40
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 1 13 133
Total Journal Articles 2 3 41 1,165 46 101 701 9,109
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 1 1 5 10
Total Chapters 0 0 0 0 1 1 5 10

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 statistics 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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-08-07