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Information about:
John M. Maheu

Personal Details | Affiliation | Lists | Works
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 RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

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

RePEc Short-ID: pma144

Email:
Homepage: http://www.chass.utoronto.ca/~jmaheu/
Postal Address: Department of Economics University of Toronto 150 St. George St. Toronto, Canada M5S 3G7
Phone: 416-978-1495

Affiliation

(in no particular order)

Lists

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

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]

  2. Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics. [Downloadable!]
    Other versions:

  3. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics. [Downloadable!]

  4. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics. [Downloadable!]

  5. 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. [Downloadable!]
    Other versions:

  6. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics. [Downloadable!]

  7. John M Maheu & Thomas H McCurdy, 2005. "The long-run relationship between market risk and return," Working Papers tecipa-204, University of Toronto, Department of Economics. [Downloadable!]

  8. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE. [Downloadable!]
    Other versions:

  9. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO. [Downloadable!]
    Published as:

  10. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]
    Published as:

  11. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society. [Downloadable!]
    Published as:

  12. 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. John Maheu, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(4), pages 1269-1269. [Downloadable!] (restricted)

  2. 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. [Downloadable!] (restricted)
    Other versions:

  3. 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.

  4. 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, October. [Downloadable!] (restricted)
    Other versions:

  5. 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. [Downloadable!] (restricted)
    Other versions:

  6. 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.

NEP Fields

11 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 Author is listed
  2. NEP-ECM: Econometrics (9) 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 Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2004-10-21 2007-04-09 2007-06-30 2008-01-05 2008-04-15 2008-05-05 2008-06-27 Author is listed
  4. NEP-FIN: Finance (2) 2003-07-13 2006-03-11
  5. NEP-FMK: Financial Markets (2) 2006-03-11 2008-01-05
  6. NEP-FOR: Forecasting (7) 2006-03-11 2007-02-10 2007-04-09 2007-06-30 2007-11-03 2008-04-15 2008-05-24 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 (1) 2008-05-24
  11. NEP-MST: Market Microstructure (3) 2007-02-10 2008-01-05 2008-04-15 Author is listed
  12. NEP-ORE: Operations Research (1) 2008-05-05
  13. NEP-RMG: Risk Management (4) 2006-03-11 2007-06-30 2007-11-03 2008-04-15 Author is listed
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This page was last updated on 2008-8-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.