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 2 4 4 5
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 1 2 7 87
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 3 8 8 94
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 1 1 1 157
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 1 4 527
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 2 2 5 131
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 2 5 8 71
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 3 3 5 95
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 0 6 8 91
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 1 70 2 3 7 49
Are there Structural Breaks in Realized Volatility? 0 0 0 225 0 3 7 557
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 2 5 6 572
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 2 3 4 196
Bayesian Forecasting in Economics and Finance: A Modern Review 0 1 3 81 3 10 22 90
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 2 76 2 9 15 77
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 1 2 3 68
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 0 69
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 1 2 3 33
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 1 1 1 96
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 1 1 45 0 1 2 101
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 7 8 146
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 1 5 7 182
Bayesian semiparametric multivariate GARCH modeling 0 0 1 37 0 3 4 89
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 2 4 4 146
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 2 5 7 401
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 1 4 7 176
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 2 3 35
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 3 4 4 229
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 1 3 7 495
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 2 4 8 115
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 0 2 8 454
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 4 5 324
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 3 6 13 232
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 3 5 7 134
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 1 4 5 82
Extracting bull and bear markets from stock returns 0 1 2 361 2 8 12 1,018
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 1 1 3 366 7 12 19 1,037
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 1 2 60
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 3 3 6 2,070
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 5 12 20 43
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 0 1 75 3 6 11 86
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 1 8 9 253
Learning, Forecasting and Structural Breaks 0 0 0 721 0 0 4 2,507
Learning, Forecasting and Structural Breaks 0 0 0 173 0 2 4 455
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 2 210 2 6 11 454
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 2 2 2 74
Modeling foreign exchange rates with jumps 0 0 2 294 3 5 15 729
Modelling Realized Covariances 0 0 0 67 1 1 1 150
Modelling Realized Covariances and Returns 0 0 0 45 2 4 4 138
Modelling Realized Covariances and Returns 0 0 0 98 0 1 2 222
Modelling Realized Covariances and Returns 0 0 2 51 1 4 7 115
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 2 3 1,102
Nonlinear Features of Realized FX Volatility 0 0 0 295 1 2 2 1,079
Nonparametric Dynamic Conditional Beta 0 0 0 49 5 8 9 62
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 1 2 86
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 2 5 6 80
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 32 0 2 4 42
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 36 2 3 6 143
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 0 2 3 211
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 1 3 6 410
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 3 6 7 115
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 4 6 10 155
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 1 3 85
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 1 3 248
Total Working Papers 1 5 27 6,784 99 250 413 20,098
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 6 6 40
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 1 2 2 32
An infinite hidden Markov model for short-term interest rates 0 1 2 9 0 3 4 46
An infinite hidden Markov model with stochastic volatility 0 2 4 4 1 4 7 10
Are There Structural Breaks in Realized Volatility? 0 0 0 56 0 3 4 179
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 2 5 6 11
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 2 4 7 107
Bayesian forecasting in economics and finance: A modern review 1 3 6 11 15 26 46 60
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 0 5 42
Bayesian semiparametric modeling of realized covariance matrices 0 1 1 13 0 4 5 72
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 1 3 6 129
Bayesian semiparametric stochastic volatility modeling 0 0 1 43 1 2 8 159
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 2 5 15
Can GARCH Models Capture Long-Range Dependence? 0 0 2 190 1 6 12 570
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 4 7 11 347
Components of Market Risk and Return 0 0 0 23 0 0 1 302
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 5 16 20 1,259
Do high-frequency measures of volatility improve forecasts of return distributions? 0 1 3 53 2 4 12 198
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 0 1 9 146
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 2 6 104
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 0 7 10 336
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 1 7 343
Identification and forecasting of bull and bear markets using multivariate returns 0 0 3 14 0 3 13 34
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 4 10 17 2,457
Improving Markov switching models using realized variance 0 0 0 3 0 0 1 44
Infinite Markov pooling of predictive distributions 0 2 2 8 0 6 7 21
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 2 3 60
Learning, forecasting and structural breaks 0 0 0 96 1 4 4 339
Modeling Realized Covariances and Returns 0 0 0 35 0 2 3 112
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 1 1 3 60
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 4 506
Nonparametric Dynamic Conditional Beta* 0 0 1 5 2 6 9 26
Oil price shocks and economic growth: The volatility link 0 0 0 12 0 1 1 56
Real time detection of structural breaks in GARCH models 0 1 1 36 0 1 1 164
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 1 5 10 81
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 0 4 6 6 2 12 17 17
Volatility dynamics under duration-dependent mixing 0 0 0 26 1 3 4 123
Total Journal Articles 1 15 35 1,149 48 165 296 8,607
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 3 6
Total Chapters 0 0 0 0 0 1 3 6

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Statistics updated 2026-01-09