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 1 1
A Multivariate GARCH-Jump Mixture Model 0 0 1 38 0 3 7 85
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 0 56 0 0 0 156
A New Structural Break Model with Application to Canadian Inflation Forecasting 0 0 1 43 0 0 1 86
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 1 2 525
A new structural break model with application to Canadian inflation forecasting 0 0 0 60 0 0 2 127
An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series 0 0 0 113 0 1 3 65
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 1 48 0 0 2 91
An Infinite Hidden Markov Model for Short-term Interest Rates 0 0 2 51 0 0 3 84
An Infinite Hidden Markov Model with Stochastic Volatility 1 1 1 70 1 1 5 44
Are there Structural Breaks in Realized Volatility? 0 0 0 225 1 2 2 552
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 1 168 0 0 3 567
Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models 0 0 1 66 0 0 2 193
Bayesian Forecasting in Economics and Finance: A Modern Review 0 1 2 79 3 7 19 78
Bayesian Forecasting in the 21st Century: A Modern Review 0 0 4 75 0 0 9 66
Bayesian Nonparametric Estimation of Ex-post Variance 0 0 0 46 0 1 2 66
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 0 0 0 30
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 0 44 1 1 2 100
Bayesian Semiparametric Modeling of Realized Covariance Matrices 0 0 1 17 0 0 1 95
Bayesian Semiparametric Multivariate GARCH Modeling 0 0 1 60 1 1 2 139
Bayesian Semiparametric Stochastic Volatility Modeling 0 0 0 47 0 0 1 176
Bayesian semiparametric multivariate GARCH modeling 0 0 1 41 0 0 1 142
Bayesian semiparametric multivariate GARCH modeling 0 0 2 37 0 0 2 86
Bayesian semiparametric stochastic volatility modeling 0 0 0 48 0 0 1 170
Bayesian semiparametric stochastic volatility modeling 0 0 0 135 0 0 0 394
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 1 2 33
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 2 225
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 0 2 3 491
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 3 109
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 1 3 141 0 3 13 452
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 1 1 1 320
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 0 36 1 2 9 223
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture 0 0 1 29 0 0 1 127
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 2 359 0 2 8 1,009
Forecasting Realized Volatility: A Bayesian Model Averaging Approach 0 0 1 364 1 1 7 1,023
How useful are historical data for forecasting the long-run equity return distribution? 0 0 2 9 0 0 4 59
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 1 4 2,066
Identification and Forecasting of Bull and Bear Markets using Multivariate Returns 0 0 1 19 2 3 10 30
Improving Forecasts of Inflation using the Term Structure of Interest Rates 0 1 1 176 0 1 3 463
Improving Markov switching models using realized variance 0 0 1 74 1 2 4 78
Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market 0 0 0 68 0 0 2 245
Learning, Forecasting and Structural Breaks 0 0 0 721 0 0 2 2,505
Learning, Forecasting and Structural Breaks 0 0 0 173 0 0 2 453
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 0 42 0 0 1 72
Modeling Covariance Breakdowns in Multivariate GARCH 0 0 1 208 0 0 8 446
Modeling foreign exchange rates with jumps 2 2 5 294 2 2 17 724
Modelling Realized Covariances 0 0 0 67 0 0 0 149
Modelling Realized Covariances and Returns 1 1 3 51 1 1 4 110
Modelling Realized Covariances and Returns 0 0 0 45 0 0 0 134
Modelling Realized Covariances and Returns 0 0 0 98 0 0 1 221
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 0 1 1,099
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 0 1,077
Nonparametric Dynamic Conditional Beta 0 0 0 49 0 1 1 54
Oil Price Shocks and Economic Growth: The Volatility Link 0 1 1 32 0 1 1 39
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 0 44 1 1 3 75
Oil Price Shocks and Economic Growth: The Volatility Link 0 0 1 42 0 0 1 84
Real Time Detection of Structural Breaks in GARCH Models 0 0 0 155 0 0 1 405
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 72 0 0 1 208
Real Time Detection of Structural Breaks in GARCH Models 0 0 1 36 0 0 2 139
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 14 0 0 1 109
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 43 0 1 2 147
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis 0 0 0 7 0 0 1 83
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 1 2 247
Total Working Papers 4 8 45 6,771 21 45 201 19,797
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 0 34
An efficient Bayesian approach to multiple structural change in multivariate time series 0 0 0 2 0 0 1 30
An infinite hidden Markov model for short-term interest rates 0 0 0 7 0 0 1 42
An infinite hidden Markov model with stochastic volatility 0 0 0 0 0 1 4 4
Are There Structural Breaks in Realized Volatility? 0 0 0 56 0 0 2 175
Bayesian Nonparametric Estimation of Ex Post Variance* 0 0 0 0 0 0 3 6
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models 0 0 0 16 0 0 3 102
Bayesian forecasting in economics and finance: A modern review 0 1 6 7 1 7 23 27
Bayesian parametric and semiparametric factor models for large realized covariance matrices 0 0 0 7 0 0 3 37
Bayesian semiparametric modeling of realized covariance matrices 0 0 0 12 0 0 2 67
Bayesian semiparametric multivariate GARCH modeling 0 0 0 33 1 1 3 124
Bayesian semiparametric stochastic volatility modeling 0 0 2 43 0 0 3 152
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 2 3 12
Can GARCH Models Capture Long-Range Dependence? 0 1 1 189 1 2 7 561
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 3 77 1 1 7 339
Components of Market Risk and Return 0 0 0 23 1 1 2 302
Conditional Jump Dynamics in Stock Market Returns 0 0 0 0 0 3 7 1,242
Do high-frequency measures of volatility improve forecasts of return distributions? 0 1 1 51 0 1 2 188
Do jumps contribute to the dynamics of the equity premium? 0 0 2 30 1 5 10 145
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 0 0 0 19 0 0 1 99
Forecasting realized volatility: a Bayesian model-averaging approach 0 0 0 90 2 2 5 328
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 1 91 0 1 5 339
Identification and forecasting of bull and bear markets using multivariate returns 0 1 12 12 0 1 24 24
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 0 3 7 2,445
Improving Markov switching models using realized variance 0 0 0 3 0 0 2 44
Infinite Markov pooling of predictive distributions 0 0 0 6 0 0 4 15
Intraday dynamics of volatility and duration: Evidence from Chinese stocks 0 0 0 11 0 0 0 57
Learning, forecasting and structural breaks 0 0 0 96 0 0 1 335
Modeling Realized Covariances and Returns 0 0 1 35 1 1 2 110
Modeling covariance breakdowns in multivariate GARCH 0 0 1 9 0 0 1 57
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 0 2 503
Nonparametric Dynamic Conditional Beta* 0 0 1 4 0 0 3 18
Oil price shocks and economic growth: The volatility link 0 0 1 12 0 0 1 55
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 1 3 7 75
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 1 1 120
Total Journal Articles 0 4 32 1,122 10 36 152 8,376
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 0 4 5
Total Chapters 0 0 0 0 0 0 4 5

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Statistics updated 2025-07-04