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John M. Maheu

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This is information that was supplied by John Maheu in registering through RePEc. If you are John M. Maheu , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: John
Middle Name: M.
Last Name: Maheu
Suffix:

RePEc Short-ID: pma144

Email:
Homepage: http://profs.degroote.mcmaster.ca/ads/maheujm/
Postal Address: DeGroote School of Business, McMaster University, 1280 Main Street West, Hamilton, ON, Canada L8S4M4
Phone: 905-525-9140 ext. 26198

Affiliation

(99%) DeGroote School of Business
McMaster University
Location: Hamilton, Canada
Homepage: http://www.degroote.mcmaster.ca/
Email:
Phone: 905-525-9140 ext. 24648
Fax: 905-521-8995
Postal: 1280 Main Street West, Hamilton, Ontario, L8S 4M4
Handle: RePEc:edi:sbmcmca (more details at EDIRC)
(1%) Rimini Centre for Economic Analysis (RCEA)
Location: Rimini, Italy
Homepage: http://www.rcfea.org/
Email:
Phone: +390541434142
Fax: +39054155431
Postal: Via Patara, 3, 47921 Rimini (RN)
Handle: RePEc:edi:rcfeait (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Queen's Economics Department PhD Graduates

Works

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Working papers

  1. Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  2. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  3. Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
  4. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  5. Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Working Paper 2012-06, Federal Reserve Bank of Atlanta.
  6. Martin Burda & John M. Maheu, 2012. "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper Series 46_12, The Rimini Centre for Economic Analysis.
  7. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper Series 47_12, The Rimini Centre for Economic Analysis.
  8. Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
  9. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  10. Xin Jin & John M Maheu, 2010. "Modelling Realized Covariances and Returns," Working Papers tecipa-408, University of Toronto, Department of Economics.
  11. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
  12. Xin Jin & John M Maheu, 2009. "Modelling Realized Covariances," Working Papers tecipa-382, University of Toronto, Department of Economics.
  13. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
  14. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
  15. John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
  16. Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
  17. Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
  18. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  19. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
  20. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
  21. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  22. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
  23. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  24. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  25. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  26. Maheu, J.M. & McCurdy, T.H., 1999. "A Semi-Markov Approach to Modeling Volatility Dynamics," Rotman School of Management - Finance 99-004, Rotman School of Management, University of Toronto.

Articles

  1. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  2. Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
  3. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  4. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  5. Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 335-369, March.
  6. Burda Martin & Maheu John M., 2013. "Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 345-372, September.
  7. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  8. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
  9. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  10. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
  11. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  12. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  13. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
  14. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  15. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.
  16. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 560-590, Fall.
  17. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
  18. John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 755-793, 04.
  19. Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-89, July.
  20. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  21. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
  22. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.

NEP Fields

34 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2007-04-09 2008-04-15 2008-05-24
  2. NEP-ECM: Econometrics (21) 2003-07-16 2004-10-21 2007-02-10 2007-04-09 2007-06-30 2007-11-03 2008-01-05 2008-04-15 2008-05-05 2008-09-29 2009-08-16 2009-11-14 2009-12-05 2010-07-24 2011-07-13 2012-03-08 2012-05-02 2012-07-08 2012-07-08 2013-12-15 2014-04-18. Author is listed
  3. NEP-ETS: Econometric Time Series (26) 2004-10-21 2007-04-09 2007-06-30 2008-01-05 2008-04-15 2008-05-05 2008-06-27 2008-08-21 2008-09-29 2009-11-14 2009-12-05 2010-04-17 2010-04-17 2010-07-24 2011-07-13 2012-03-21 2012-05-02 2012-05-15 2012-06-25 2012-07-08 2012-07-08 2012-07-08 2012-07-08 2012-07-14 2012-08-23 2014-04-18. Author is listed
  4. NEP-FIN: Finance (1) 2003-07-13
  5. NEP-FMK: Financial Markets (1) 2008-01-05
  6. NEP-FOR: Forecasting (20) 2007-02-10 2007-04-09 2007-06-30 2007-11-03 2008-04-15 2008-05-24 2008-08-21 2009-11-14 2010-07-24 2011-01-30 2012-03-08 2012-03-21 2012-05-02 2012-05-15 2012-06-25 2012-07-08 2012-07-08 2012-07-08 2012-07-14 2012-08-23. Author is listed
  7. NEP-IFN: International Finance (1) 2007-02-10
  8. NEP-LAB: Labour Economics (2) 2007-06-30 2007-11-03
  9. NEP-MAC: Macroeconomics (1) 2008-05-24
  10. NEP-MON: Monetary Economics (3) 2008-05-24 2012-03-08 2012-06-25
  11. NEP-MST: Market Microstructure (5) 2007-02-10 2008-01-05 2008-04-15 2008-08-21 2010-04-17. Author is listed
  12. NEP-ORE: Operations Research (6) 2008-05-05 2011-07-13 2012-05-02 2012-07-08 2012-07-08 2014-04-18. Author is listed
  13. NEP-RMG: Risk Management (5) 2007-06-30 2007-11-03 2008-04-15 2008-08-21 2012-07-08. Author is listed
  14. NEP-TRA: Transition Economics (1) 2010-04-17
  15. NEP-UPT: Utility Models & Prospect Theory (1) 2012-07-08

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Wu-Index
  3. Strength of students

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