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


Statistics updated 2020-09-04