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 2 2 6 82
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 0 0 523
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 1 1 3 127
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 1 113 1 1 3 64
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 3 51 1 1 5 84
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 48 1 1 2 91
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 0 69 0 1 8 43
Are there Structural Breaks in Realized Volatility? 0 0 1 225 0 0 2 550
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 3 168 1 1 7 567
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 1 66 1 1 2 193
Bayesian Forecasting in Economics and Finance: A Modern Review 0 0 3 78 1 3 19 71
Bayesian Forecasting in the 21st Century: A Modern Review 0 3 5 74 2 5 13 64
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 0 1 65
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 1 64 0 0 1 30
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 0 44 0 0 1 99
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 1 1 17 0 1 2 95
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 1 60 0 0 1 138
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 2 47 0 1 4 176
Bayesian semiparametric multivariate GARCH modeling 0 0 1 41 0 0 1 142
Bayesian semiparametric multivariate GARCH modeling 0 0 1 36 0 0 1 85
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 0 0 394
Bayesian semiparametric stochastic volatility modeling 0 0 1 48 1 1 2 170
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 2 225
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 0 1 32
Components of bull and bear markets: bull corrections and bear rallies 1 1 2 157 1 1 4 489
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 2 2 3 109
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 1 2 140 1 4 10 448
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 0 1 319
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 36 1 1 10 220
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 0 0 0 77
Extracting bull and bear markets from stock returns 0 0 2 359 0 1 9 1,007
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 1 1 1 364 4 4 6 1,022
How useful are historical data for forecasting the long-run equity return distribution? 0 0 2 9 0 1 4 59
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 2 4 2,065
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 6 19 1 3 16 26
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 175 1 2 2 462
Improving Markov switching models using realized variance 0 0 2 74 1 1 4 76
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 1 1 2 245
Learning, Forecasting and Structural Breaks 0 0 1 721 0 2 3 2,505
Learning, Forecasting and Structural Breaks 0 0 0 173 1 2 2 453
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 1 208 0 2 9 445
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 0 1 72
Modeling foreign exchange rates with jumps 0 0 3 292 0 2 9 715
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 0 0 0 45 0 0 0 134
Modelling Realized Covariances and Returns 0 0 0 98 0 1 1 221
Modelling Realized Covariances and Returns 0 1 2 50 0 1 3 109
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 0 2 1,099
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 0 53
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 0 2 74
Oil Price Shocks and Economic Growth: The Volatility Link 0 1 1 42 0 1 1 84
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 31 0 0 0 38
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 155 0 0 2 404
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 72 0 0 1 208
Real Time Detection of Structural Breaks in GARCH Models 1 1 1 36 2 2 2 139
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 1 1 109
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 1 1 146
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 1 2 83
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 1 1 246
Total Working Papers 3 10 57 6,761 30 60 208 19,736
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 4 42
An infinite hidden Markov model with stochastic volatility 0 0 0 0 0 1 3 3
Are There Structural Breaks in Realized Volatility? 0 0 3 56 0 1 7 175
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 1 3 5
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 1 1 3 101
Bayesian forecasting in economics and finance: A modern review 1 2 6 6 2 4 16 16
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 0 4 37
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 12 0 0 2 67
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 0 2 123
Bayesian semiparametric stochastic volatility modeling 0 1 2 43 0 1 5 152
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 0 1 10
Can GARCH Models Capture Long-Range Dependence? 0 0 0 188 0 1 8 559
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 3 76 0 1 9 337
Components of Market Risk and Return 0 0 0 23 0 0 4 301
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 0 10 1,239
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 50 0 1 3 187
Do jumps contribute to the dynamics of the equity premium? 0 0 2 29 0 1 4 138
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 1 2 99
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 0 1 4 326
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 1 91 1 1 3 337
Identification and forecasting of bull and bear markets using multivariate returns 0 3 11 11 2 8 23 23
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 2 7 2,442
Improving Markov switching models using realized variance 0 0 0 3 1 1 2 44
Infinite Markov pooling of predictive distributions 0 0 1 6 0 1 5 15
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 0 0 57
Learning, forecasting and structural breaks 0 0 0 96 0 0 1 335
Modeling Realized Covariances and Returns 0 0 1 35 0 0 2 109
Modeling covariance breakdowns in multivariate GARCH 0 0 1 9 0 0 1 57
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 3 503
Nonparametric Dynamic Conditional Beta* 0 0 1 4 1 1 4 18
Oil price shocks and economic growth: The volatility link 0 0 1 12 0 0 2 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 0 2 8 72
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 1 119
Total Journal Articles 1 6 33 1,116 10 32 157 8,330
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 5
Total Chapters 0 0 0 0 2 3 4 5

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Statistics updated 2025-03-03