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 7 8
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 1 1 14 99
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 13 169
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 0 1 15 101
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 2 10 536
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 1 5 134
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 1 114 0 0 14 80
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 0 0 19 111
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 52 2 2 16 101
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 0 70 3 3 19 65
Are there Structural Breaks in Realized Volatility? 0 0 0 225 1 3 12 566
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 2 2 22 589
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 0 0 13 206
Bayesian Forecasting in Economics and Finance: A Modern Review 0 0 4 84 1 5 38 118
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 1 77 0 1 26 94
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 0 11 77
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 1 1 15 46
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 0 17 0 3 21 116
Bayesian Semiparametric Modeling of Realized Covariance Matrices 1 1 2 46 4 5 18 118
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 0 11 150
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 1 1 13 190
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 0 7 149
Bayesian semiparametric multivariate GARCH modeling 0 0 0 37 1 1 8 94
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 0 6 178
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 1 14 410
Bull and Bear Markets During the COVID-19 Pandemic 0 0 1 44 1 2 13 238
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 1 7 40
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 1 1 20 512
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 12 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 2 2 13 465
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 2 3 22 342
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 0 1 12 141
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 0 18 244
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 2 2 14 92
Extracting bull and bear markets from stock returns 0 0 3 363 0 2 19 1,029
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 2 5 370 1 33 74 1,099
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 0 13 2,080
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 3 16 75
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 0 20 1 4 28 59
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 1 1 1 76 1 1 18 98
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 0 2 45 290
Learning, Forecasting and Structural Breaks 0 0 0 173 0 1 11 464
Learning, Forecasting and Structural Breaks 0 0 0 721 2 3 11 2,518
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 1 43 0 1 10 82
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 2 211 0 1 31 479
Modeling foreign exchange rates with jumps 0 0 0 294 0 0 9 733
Modelling Realized Covariances 0 0 0 67 0 0 13 162
Modelling Realized Covariances and Returns 0 0 1 46 0 0 14 148
Modelling Realized Covariances and Returns 0 0 0 51 1 2 15 126
Modelling Realized Covariances and Returns 0 0 1 99 1 1 10 231
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 1 8 1,108
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 2 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 1 1 33 0 1 21 61
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 0 2 87
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 1 24 99
Real Time Detection of Structural Breaks in GARCH Models 1 1 1 73 1 1 18 227
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 0 5 17 424
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 36 1 2 7 147
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 0 14 123
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 0 10 159
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 0 4 88
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 4 251
Total Working Papers 3 6 25 6,804 35 113 1,000 20,848
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 13 47
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 2 17 47
An infinite hidden Markov model for short-term interest rates 0 0 1 9 1 2 20 63
An infinite hidden Markov model with stochastic volatility 1 2 4 6 2 3 20 26
Are There Structural Breaks in Realized Volatility? 0 0 0 56 0 2 20 196
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 0 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 1 6 14 2 23 81 115
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 1 10 52
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 0 3 17 85
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 1 1 9 135
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 0 2 9 166
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 1 3 17 30
Can GARCH Models Capture Long-Range Dependence? 0 0 2 192 0 1 21 585
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 2 2 2 80 2 2 23 363
Components of Market Risk and Return 0 0 1 24 0 0 16 318
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 3 26 1,269
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 53 1 1 15 209
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 0 9 154
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 2 18 120
Forecasting realized volatility: a Bayesian model-averaging approach 0 2 4 94 0 3 22 351
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 2 12 354
Identification and forecasting of bull and bear markets using multivariate returns 0 0 2 16 1 4 28 59
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 0 9 47 2,494
Improving Markov switching models using realized variance 0 0 0 3 0 3 17 61
Infinite Markov pooling of predictive distributions 0 0 2 8 1 2 16 31
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 0 11 69
Learning, forecasting and structural breaks 0 0 0 96 0 1 14 349
Modeling Realized Covariances and Returns 0 0 0 35 0 1 12 122
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 0 0 10 69
Modeling ex post variance jumps: implications for density and tail risk forecasting 0 0 2 2 0 1 8 8
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 10 515
Nonparametric Dynamic Conditional Beta* 0 0 0 5 0 2 16 36
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 0 13 176
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 0 3 21 97
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 1 3 9 11 3 11 40 45
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 13 133
Total Journal Articles 4 10 39 1,173 15 95 716 9,158
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 5 10
Total Chapters 0 0 0 0 0 1 5 10

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Statistics updated 2026-10-11