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 1 1 1 4 23
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 41 1 1 4 75
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 5 152
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 1 5 519
A new structural break model with application to Canadian inflation forecasting 0 0 2 56 0 0 6 114
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 1 108 3 4 13 50
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 2 45 0 0 3 80
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 47 1 1 5 72
Are there Structural Breaks in Realized Volatility? 0 0 0 220 0 0 6 528
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 7 160 2 4 42 528
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 62 2 4 9 176
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 43 2 2 15 52
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 1 22 1 2 12 58
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 63 1 2 5 22
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 1 2 16 0 2 13 85
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 43 0 0 11 92
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 58 1 1 8 134
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 39 1 1 7 146
Bayesian semiparametric multivariate GARCH modeling 0 0 1 37 0 0 7 131
Bayesian semiparametric multivariate GARCH modeling 0 0 0 35 0 0 4 81
Bayesian semiparametric stochastic volatility modeling 0 0 0 47 0 0 6 161
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 5 12 354
Components of bull and bear markets: bull corrections and bear rallies 0 2 2 147 1 3 14 448
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 2 2 6 97
Do Jumps Contribute to the Dynamics of the Equity Premium? 1 3 5 135 2 6 21 405
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 2 133 0 0 7 308
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 28 1 1 8 115
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 33 1 1 16 166
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 2 2 6 74
Extracting bull and bear markets from stock returns 0 0 1 346 2 3 10 938
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 1 361 0 4 17 980
How useful are historical data for forecasting the long-run equity return distribution? 2 3 4 421 7 12 39 2,000
How useful are historical data for forecasting the long-run equity return distribution? 0 0 2 7 0 0 7 46
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 4 170 1 2 25 438
Improving Markov switching models using realized variance 0 1 3 71 1 2 10 63
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 67 2 2 5 234
Learning, Forecasting and Structural Breaks 0 0 0 719 2 3 11 2,487
Learning, Forecasting and Structural Breaks 0 0 0 171 1 3 11 440
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 3 40 1 2 11 66
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 2 201 2 4 28 392
Modeling foreign exchange rates with jumps 0 0 0 283 0 0 13 687
Modelling Realized Covariances 0 1 1 67 0 1 5 145
Modelling Realized Covariances and Returns 0 1 3 93 0 3 10 210
Modelling Realized Covariances and Returns 0 0 1 45 1 1 11 127
Modelling Realized Covariances and Returns 0 0 0 48 1 1 6 102
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 3 429 1 2 12 1,076
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 4 1,071
Nonparametric Dynamic Conditional Beta 0 1 2 49 0 1 7 48
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 5 40 0 0 12 68
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 29 0 1 2 33
Oil Price Shocks and Economic Growth: The Volatility Link 0 1 4 38 1 2 17 58
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 70 1 1 5 196
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 151 1 2 7 386
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 34 0 0 6 134
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 1 3 15 136
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 2 5 22 90
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 1 7 1 4 16 66
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 98 0 1 4 238
Total Working Papers 3 14 67 6,269 55 111 628 18,201

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 1 2 9 0 1 2 27
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 0 0 2 6 15
An infinite hidden Markov model for short-term interest rates 0 0 0 6 0 0 3 35
Are There Structural Breaks in Realized Volatility? 0 0 2 42 1 1 16 140
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 13 0 0 7 86
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 1 3 0 2 11 16
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 10 1 1 7 56
Bayesian semiparametric multivariate GARCH modeling 0 0 0 28 0 0 6 109
Bayesian semiparametric stochastic volatility modeling 0 0 0 31 0 1 8 109
Can GARCH Models Capture Long-Range Dependence? 1 1 3 180 1 5 12 503
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 1 2 54 1 4 11 266
Components of Market Risk and Return 0 1 2 22 2 7 20 209
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 1 10 1,093
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 49 0 1 11 175
Do jumps contribute to the dynamics of the equity premium? 0 0 2 25 0 2 12 120
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 17 0 0 3 83
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 89 0 2 8 313
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 90 0 0 4 321
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 10 30 2,369
Improving Markov switching models using realized variance 0 1 2 3 1 3 12 31
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 1 1 4 53
Learning, forecasting and structural breaks 1 1 1 95 1 1 4 317
Modeling Realized Covariances and Returns 0 0 0 34 1 1 5 97
Modeling covariance breakdowns in multivariate GARCH 0 0 1 6 1 1 4 42
Nonlinear Features of Realized FX Volatility 0 0 1 103 0 0 6 490
Oil price shocks and economic growth: The volatility link 0 0 3 3 1 2 12 12
Real time detection of structural breaks in GARCH models 0 1 1 35 0 1 6 159
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 2 5 19 36
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 6 115
Total Journal Articles 2 7 24 987 16 55 265 7,397

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 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

Statistics updated 2020-09-04