Prati
John M Maheu
John M Maheu
DeGroote School of Business, McMaster University
Potvrđena adresa e-pošte na mcmaster.ca - Početna stranica
Naslov
Citirano
Citirano
Godina
News arrival, jump dynamics, and volatility components for individual stock returns
JM Maheu, TH McCurdy
The Journal of Finance 59 (2), 755-793, 2004
7212004
Identifying bull and bear markets in stock returns
JM Maheu, TH McCurdy
Journal of Business & Economic Statistics 18 (1), 100-112, 2000
5502000
Conditional jump dynamics in stock market returns
WH Chan, JM Maheu
Journal of Business & Economic Statistics 20 (3), 377-389, 2002
4562002
Nonlinear features of realized FX volatility
JM Maheu, TH McCurdy
Review of Economics and Statistics 84 (4), 668-681, 2002
1602002
Do high-frequency measures of volatility improve forecasts of return distributions?
JM Maheu, TH McCurdy
Journal of Econometrics 160 (1), 69-76, 2011
1572011
Bayesian semiparametric stochastic volatility modeling
MJ Jensen, JM Maheu
Journal of Econometrics 157 (2), 306-316, 2010
1342010
Modeling realized covariances and returns
X Jin, JM Maheu
Journal of Financial Econometrics 11 (2), 335-369, 2013
1332013
Are there structural breaks in realized volatility?
C Liu, JM Maheu
Journal of Financial Econometrics 6 (3), 326-360, 2008
1202008
Forecasting realized volatility: a Bayesian model‐averaging approach
C Liu, JM Maheu
Journal of Applied Econometrics 24 (5), 709-733, 2009
1122009
Components of bull and bear markets: bull corrections and bear rallies
JM Maheu, TH McCurdy, Y Song
Journal of Business & Economic Statistics 30 (3), 391-403, 2012
1092012
Learning, forecasting and structural breaks
JM Maheu, S Gordon
Journal of Applied Econometrics 23 (5), 553-583, 2008
832008
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
MJ Jensen, JM Maheu
Journal of Econometrics 178, 523-538, 2014
782014
Can GARCH models capture long-range dependence?
J Maheu
Studies in Nonlinear Dynamics & Econometrics 9 (4), 2005
752005
Do jumps contribute to the dynamics of the equity premium?
JM Maheu, TH McCurdy, X Zhao
Journal of Financial Economics 110 (2), 457-477, 2013
742013
Real time detection of structural breaks in GARCH models
Z He, JM Maheu
Computational Statistics & Data Analysis 54 (11), 2628-2640, 2010
602010
Bayesian semiparametric multivariate GARCH modeling
MJ Jensen, JM Maheu
Journal of Econometrics 176 (1), 3-17, 2013
582013
Bayesian semiparametric modeling of realized covariance matrices
X Jin, JM Maheu
Journal of Econometrics 192 (1), 19-39, 2016
532016
Components of market risk and return
JM Maheu, TH McCurdy
Journal of Financial Econometrics 5 (4), 560-590, 2007
532007
Oil price shocks and economic growth: The volatility link
JM Maheu, Y Song, Q Yang
International Journal of Forecasting 36 (2), 570-587, 2020
452020
An infinite hidden Markov model for short-term interest rates
JM Maheu, Q Yang
Journal of Empirical Finance 38 (A), 202–220, 2016
382016
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