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 0 0
A Multivariate GARCH-Jump Mixture Model 0 0 3 37 2 2 15 78
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 42 0 0 1 85
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 0 156
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 0 2 523
A new structural break model with application to Canadian inflation forecasting 0 0 1 60 1 1 2 125
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 2 112 0 0 4 61
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 48 0 1 3 79
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 47 0 0 0 89
An Infinite Hidden Markov Model with Stochastic Volatility 0 1 3 69 1 3 8 37
Are there Structural Breaks in Realized Volatility? 0 1 4 225 0 2 6 549
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 1 1 4 166 2 2 7 562
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 1 1 65 0 1 3 191
Bayesian Forecasting in Economics and Finance: A Modern Review 0 1 5 76 2 6 24 57
Bayesian Forecasting in the 21st Century: A Modern Review 0 1 70 70 0 1 50 52
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 1 46 0 0 3 64
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 1 25 0 0 1 69
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 63 0 0 2 29
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 16 1 1 2 94
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 44 0 0 0 98
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 59 0 0 0 137
Bayesian Semiparametric Stochastic Volatility Modeling 1 1 3 46 1 1 4 173
Bayesian semiparametric multivariate GARCH modeling 0 0 0 35 0 0 0 84
Bayesian semiparametric multivariate GARCH modeling 0 0 0 40 0 0 0 141
Bayesian semiparametric stochastic volatility modeling 0 1 1 48 0 1 1 169
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 1 3 394
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 0 1 31
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 1 223
Components of bull and bear markets: bull corrections and bear rallies 0 0 4 155 0 3 13 487
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 3 106
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 1 1 138 1 2 10 439
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 134 0 1 2 319
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 2 36 2 3 9 213
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 28 0 0 0 126
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 1 357 0 1 6 999
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 0 363 0 0 12 1,016
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 1 1 2,062
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 7 0 0 0 55
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 1 17 18 18 5 16 20 20
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 175 0 0 3 460
Improving Markov switching models using realized variance 0 0 0 72 1 1 4 73
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 0 0 1 243
Learning, Forecasting and Structural Breaks 0 0 1 720 0 0 3 2,502
Learning, Forecasting and Structural Breaks 0 0 0 173 0 0 1 451
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 1 42 0 0 1 71
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 207 0 1 10 437
Modeling foreign exchange rates with jumps 0 0 2 289 1 2 5 707
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 0 0 0 48 0 0 2 106
Modelling Realized Covariances and Returns 0 0 0 45 0 0 0 134
Modelling Realized Covariances and Returns 0 0 0 98 0 0 0 220
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 0 1 1,097
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 2 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 0 72
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 41 0 0 1 83
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 1 154 0 1 2 403
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 71 0 0 2 207
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 35 0 0 0 137
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 0 0 145
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 0 3 108
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 1 2 82
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 0 245
Total Working Papers 3 26 133 6,715 20 56 262 19,569
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 1 34
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 0 3 29
An infinite hidden Markov model for short-term interest rates 0 0 0 7 1 2 2 40
Are There Structural Breaks in Realized Volatility? 1 2 4 55 2 5 11 172
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 1 1 3 3
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 1 1 16 0 1 3 98
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 2 7 0 0 3 33
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 12 0 0 2 65
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 0 0 121
Bayesian semiparametric stochastic volatility modeling 0 0 3 41 0 5 13 148
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 0 0 9
Can GARCH Models Capture Long-Range Dependence? 0 1 2 188 0 2 11 552
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 1 5 74 0 3 16 331
Components of Market Risk and Return 0 0 0 23 3 3 6 300
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 3 5 20 1,233
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 50 0 1 5 185
Do jumps contribute to the dynamics of the equity premium? 1 1 3 28 1 1 5 135
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 1 2 98
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 0 0 2 322
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 90 0 0 1 334
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 1 3 5 2,436
Improving Markov switching models using realized variance 0 0 0 3 0 0 1 42
Infinite Markov pooling of predictive distributions 0 0 2 5 0 0 5 10
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 0 1 57
Learning, forecasting and structural breaks 0 0 0 96 0 0 2 334
Modeling Realized Covariances and Returns 0 0 0 34 0 0 0 107
Modeling covariance breakdowns in multivariate GARCH 0 0 0 8 0 0 4 56
Nonlinear Features of Realized FX Volatility 0 0 1 104 0 1 3 501
Nonparametric Dynamic Conditional Beta* 0 0 0 3 0 1 4 14
Oil price shocks and economic growth: The volatility link 0 0 0 11 0 0 5 53
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 0 2 64
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 1 1 119
Total Journal Articles 2 6 24 1,087 12 36 142 8,198


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 1 1
Total Chapters 0 0 0 0 0 0 1 1


Statistics updated 2024-05-04