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 6 7
A Multivariate GARCH-Jump Mixture Model 0 0 0 38 0 4 13 98
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 43 0 4 14 100
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 3 13 169
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 1 9 534
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 2 6 133
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 1 1 1 114 1 1 15 80
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 52 0 3 15 99
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 0 48 0 6 20 111
An Infinite Hidden Markov Model with Stochastic Volatility 0 0 0 70 1 7 18 62
Are there Structural Breaks in Realized Volatility? 0 0 0 225 0 4 11 563
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 168 1 6 20 587
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 0 66 1 6 13 206
Bayesian Forecasting in Economics and Finance: A Modern Review 0 2 5 84 0 8 35 113
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 2 77 3 7 27 93
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 5 11 77
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 25 0 0 2 71
Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 0 0 0 64 0 2 15 45
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 45 0 3 13 113
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 17 0 6 18 113
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 0 60 0 3 11 150
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 1 4 13 189
Bayesian semiparametric multivariate GARCH modeling 0 0 0 41 0 0 7 149
Bayesian semiparametric multivariate GARCH modeling 0 0 0 37 0 2 7 93
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 1 1 15 409
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 1 8 178
Bull and Bear Markets During the COVID-19 Pandemic 0 1 1 44 0 1 11 236
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 1 6 39
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 2 6 20 511
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 1 14 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 0 1 11 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 1 6 19 339
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 0 3 21 244
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 29 0 3 13 140
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 23 0 5 13 90
Extracting bull and bear markets from stock returns 1 2 4 363 2 3 18 1,027
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 1 4 368 1 10 43 1,066
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 2 5 14 2,080
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 0 2 13 72
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 20 1 6 25 55
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 0 0 176 0 2 10 473
Improving Markov switching models using realized variance 0 0 1 75 0 6 19 97
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 1 10 43 288
Learning, Forecasting and Structural Breaks 0 0 0 173 1 3 10 463
Learning, Forecasting and Structural Breaks 0 0 0 721 0 2 10 2,515
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 3 211 0 8 32 478
Modeling Covariance Breakdowns in Multivariate GARCH 0 1 1 43 0 1 9 81
Modeling foreign exchange rates with jumps 0 0 0 294 0 2 9 733
Modelling Realized Covariances 0 0 0 67 1 1 13 162
Modelling Realized Covariances and Returns 0 0 0 51 2 5 14 124
Modelling Realized Covariances and Returns 0 0 1 99 0 3 9 230
Modelling Realized Covariances and Returns 0 0 1 46 0 6 14 148
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 3 8 1,107
Nonlinear Features of Realized FX Volatility 0 0 0 295 1 1 6 1,083
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 3 16 70
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 42 0 0 3 87
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 0 2 23 98
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 32 1 9 21 60
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 72 1 8 18 226
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 36 0 1 6 145
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 0 3 14 419
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 1 4 14 123
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 2 12 159
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 1 2 5 88
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 1 4 251
Total Working Papers 2 8 27 6,798 29 230 938 20,735
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 1 12 46
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 5 15 45
An infinite hidden Markov model for short-term interest rates 0 0 2 9 1 6 19 61
An infinite hidden Markov model with stochastic volatility 0 0 4 4 0 7 19 23
Are There Structural Breaks in Realized Volatility? 0 0 0 56 0 3 19 194
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 2 11 17
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 0 6 16 118
Bayesian forecasting in economics and finance: A modern review 0 1 6 13 6 10 65 92
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 2 14 51
Bayesian semiparametric modeling of realized covariance matrices 0 0 1 13 1 3 15 82
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 0 2 10 134
Bayesian semiparametric stochastic volatility modeling 0 0 0 43 1 3 12 164
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 3 15 27
Can GARCH Models Capture Long-Range Dependence? 0 0 3 192 1 7 23 584
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 2 5 22 361
Components of Market Risk and Return 0 0 1 24 0 2 16 318
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 2 24 1,266
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 2 53 2 8 20 208
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 1 4 9 154
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 6 19 118
Forecasting realized volatility: a Bayesian model-averaging approach 0 1 2 92 2 5 20 348
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 2 13 352
Identification and forecasting of bull and bear markets using multivariate returns 0 1 4 16 0 6 31 55
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 12 40 2,485
Improving Markov switching models using realized variance 0 0 0 3 0 6 14 58
Infinite Markov pooling of predictive distributions 0 0 2 8 0 2 14 29
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 1 3 12 69
Learning, forecasting and structural breaks 0 0 0 96 0 3 13 348
Modeling Realized Covariances and Returns 0 0 0 35 0 4 11 121
Modeling covariance breakdowns in multivariate GARCH 0 0 0 9 0 4 12 69
Modeling ex post variance jumps: implications for density and tail risk forecasting 0 0 2 2 0 4 7 7
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 2 11 514
Nonparametric Dynamic Conditional Beta* 0 0 1 5 0 0 16 34
Oil price shocks and economic growth: The volatility link 0 0 1 13 0 2 19 74
Real time detection of structural breaks in GARCH models 0 0 1 36 0 4 13 176
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 3 0 5 19 94
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model 0 1 7 8 3 7 32 34
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 4 13 133
Total Journal Articles 0 4 40 1,163 23 162 685 9,063
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 2 4 9
Total Chapters 0 0 0 0 0 2 4 9

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Statistics updated 2026-07-10