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 1 1
A Multivariate GARCH-Jump Mixture Model 0 0 1 38 0 0 7 85
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 0 156
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 1 43 0 0 1 86
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 2 3 526
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 2 2 4 129
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 0 0 2 65
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 2 51 0 0 3 84
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 48 0 0 2 91
An Infinite Hidden Markov Model with Stochastic Volatility 0 1 1 70 1 3 7 46
Are there Structural Breaks in Realized Volatility? 0 0 0 225 1 3 4 554
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 0 0 2 567
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 1 66 0 0 2 193
Bayesian Forecasting in Economics and Finance: A Modern Review 0 0 2 79 0 4 17 79
Bayesian Forecasting in the 21st Century: A Modern Review 0 1 5 76 0 2 11 68
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 0 2 66
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 0 1 1 31
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 0 69
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 17 0 0 1 95
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 44 0 1 2 100
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 1 60 0 1 2 139
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 0 1 2 177
Bayesian semiparametric multivariate GARCH modeling 0 0 1 41 0 0 1 142
Bayesian semiparametric multivariate GARCH modeling 0 0 2 37 0 0 2 86
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 1 2 171
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 1 2 2 396
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 1 2 33
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 2 225
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 0 1 4 492
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 1 1 4 110
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 3 141 0 0 13 452
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 1 1 320
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 3 10 225
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 1 29 0 0 1 127
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 1 1 1 78
Extracting bull and bear markets from stock returns 0 1 2 360 0 1 6 1,010
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 1 1 2 365 1 2 8 1,024
How useful are historical data for forecasting the long-run equity return distribution? 0 0 2 9 0 0 3 59
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 2 5 2,067
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 0 19 0 2 8 30
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 1 1 75 0 3 5 80
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 0 0 2 245
Learning, Forecasting and Structural Breaks 0 0 0 721 2 2 4 2,507
Learning, Forecasting and Structural Breaks 0 0 0 173 0 0 2 453
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 0 1 72
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 2 209 1 2 8 448
Modeling foreign exchange rates with jumps 0 2 3 294 0 2 15 724
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 0 0 0 98 0 0 1 221
Modelling Realized Covariances and Returns 0 1 3 51 1 2 5 111
Modelling Realized Covariances and Returns 0 0 0 45 0 0 0 134
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 1 2 1,100
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 0 1,077
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 0 1 54
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 1 2 75
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 1 1 2 40
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 42 1 1 2 85
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 36 0 1 3 140
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 1 2 3 407
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 72 0 0 1 208
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 2 2 4 149
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 0 1 109
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 1 1 2 84
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 1 2 247
Total Working Papers 1 9 44 6,776 20 60 222 19,836
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 0 0 34
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 0 1 30
An infinite hidden Markov model for short-term interest rates 0 0 0 7 0 0 0 42
An infinite hidden Markov model with stochastic volatility 0 0 0 0 0 0 4 4
Are There Structural Breaks in Realized Volatility? 0 0 0 56 1 1 2 176
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 0 3 6
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 0 1 4 103
Bayesian forecasting in economics and finance: A modern review 0 0 6 7 2 6 24 32
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 1 5 7 42
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 12 0 1 2 68
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 3 5 126
Bayesian semiparametric stochastic volatility modeling 0 0 1 43 1 5 6 157
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 0 2 12
Can GARCH Models Capture Long-Range Dependence? 0 0 1 189 0 1 7 561
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 1 1 3 78 1 2 5 340
Components of Market Risk and Return 0 0 0 23 0 1 2 302
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 1 1 7 1,243
Do high-frequency measures of volatility improve forecasts of return distributions? 1 1 2 52 3 5 7 193
Do jumps contribute to the dynamics of the equity premium? 0 0 2 30 0 1 9 145
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 1 2 3 101
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 0 3 5 329
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 1 91 1 3 8 342
Identification and forecasting of bull and bear markets using multivariate returns 0 1 13 13 0 3 27 27
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 2 8 2,447
Improving Markov switching models using realized variance 0 0 0 3 0 0 1 44
Infinite Markov pooling of predictive distributions 0 0 0 6 0 0 4 15
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 1 1 58
Learning, forecasting and structural breaks 0 0 0 96 0 0 1 335
Modeling Realized Covariances and Returns 0 0 1 35 0 1 2 110
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 0 2 2 59
Nonlinear Features of Realized FX Volatility 0 0 0 104 1 2 4 505
Nonparametric Dynamic Conditional Beta* 0 0 1 4 1 1 4 19
Oil price shocks and economic growth: The volatility link 0 0 1 12 0 0 1 55
Real time detection of structural breaks in GARCH models 0 0 0 35 0 0 0 163
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 1 2 7 76
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 1 120
Total Journal Articles 2 3 32 1,125 17 55 176 8,421
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 0 4 5
Total Chapters 0 0 0 0 0 0 4 5

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Statistics updated 2025-09-05