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Publications

by members of

McMaster University → DeGroote School of Business

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2023

  1. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023, "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/23.
  2. Liu, Jia & Maheu, John M & Song, Yong, 2023, "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper, University Library of Munich, Germany, number 119515.

2022

  1. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022, "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers, arXiv.org, number 2212.03471, Dec, revised Jul 2023.
  2. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022, "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper, University Library of Munich, Germany, number 115456, Nov.

2020

  1. John M. Maheu & Thomas H. McCurdy & Yong Song, 2020, "Bull and Bear Markets During the COVID-19 Pandemic," Papers, arXiv.org, number 2012.01623, Dec.
  2. Li, Chenxing & Maheu, John M, 2020, "A Multivariate GARCH-Jump Mixture Model," MPRA Paper, University Library of Munich, Germany, number 104770, Dec.

2019

  1. John R. Graham & Hyunseob Kim & Si Li & Jiaping Qiu, 2019, "Employee Costs of Corporate Bankruptcy," NBER Working Papers, National Bureau of Economic Research, Inc, number 25922, Jun.

2018

  1. Maheu, John M & Yang, Qiao & Song, Yong, 2018, "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper, University Library of Munich, Germany, number 83779.

2017

  1. Maheu, John M & Song, Yong, 2017, "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper, University Library of Munich, Germany, number 79211, May.
  2. Jin, Xin & Maheu, John M & Yang, Qiao, 2017, "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 81920, Oct.
  3. Murillo Campello & Janet Gao & Jiaping Qiu & Yue Zhang, 2017, "Bankruptcy and the Cost of Organized Labor: Evidence from Union Elections," NBER Working Papers, National Bureau of Economic Research, Inc, number 23869, Sep.

2016

  1. Griffin, Jim & Liu, Jia & Maheu, John M, 2016, "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper, University Library of Munich, Germany, number 71220, May.
  2. Maheu, John M & Shamsi, Azam, 2016, "Nonparametric Dynamic Conditional Beta," MPRA Paper, University Library of Munich, Germany, number 73764, Sep.

2015

  1. Liu, Jia & Maheu, John M, 2015, "Improving Markov switching models using realized variance," MPRA Paper, University Library of Munich, Germany, number 71120, Sep.
  2. Maheu, John M & Yang, Qiao, 2015, "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper, University Library of Munich, Germany, number 62408, Jan.

2014

  1. Mark J. Jensen & John M. Maheu, 2014, "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-6, Jun.
  2. Jin, Xin & Maheu, John M, 2014, "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper, University Library of Munich, Germany, number 55243, Apr.
  3. Jin, Xin & Maheu, John M, 2014, "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper, University Library of Munich, Germany, number 60102, Nov.

2012

  1. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012, "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124676, DOI: 10.22004/ag.econ.124676.
  2. Mark J. Jensen & John M. Maheu, 2012, "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-06.
  3. Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
  4. Maheu, John & Song, Yong, 2012, "A new structural break model with application to Canadian inflation forecasting," MPRA Paper, University Library of Munich, Germany, number 36870, Feb.
  5. Martin Burda & John M. Maheu, 2012, "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series, Rimini Centre for Economic Analysis, number 46_12, Jun.
  6. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012, "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series, Rimini Centre for Economic Analysis, number 47_12, Jun.
  7. Kisswani, Khalid /M. & Nusair, Salah /A., 2012, "Non-linearities in the dynamics of oil prices," MPRA Paper, University Library of Munich, Germany, number 36586, Feb.

2011

  1. Xin Jin & John M. Maheu, 2011, "Modelling Realized Covariances and Returns," Working Paper series, Rimini Centre for Economic Analysis, number 08_11, Jan.
  2. Martin Burda & John Maheu, 2011, "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers, University of Toronto, Department of Economics, number tecipa-438, Jun.
  3. Kisswani, Khalid/ M. & Nusair, Salah/ A., 2011, "Non-linear convergence in Asian interest rates and inflation rates," MPRA Paper, University Library of Munich, Germany, number 34179, Jul.
  4. John R. Graham & Si Li & Jiaping Qiu, 2011, "Managerial Attributes and Executive Compensation," NBER Working Papers, National Bureau of Economic Research, Inc, number 17368, Aug.

2010

  1. Chun Liu & John M Maheu, 2010, "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers, University of Toronto, Department of Economics, number tecipa-401, Apr.
  2. John M Maheu & Thomas H McCurdy & Yong Song, 2010, "Components of bull and bear markets: bull corrections and bear rallies," Working Papers, University of Toronto, Department of Economics, number tecipa-402, Apr.

2009

  1. Luo, Guo Ying, 2009, "Natural Selection, Irrationality and Monopolistic Competition," MPRA Paper, University Library of Munich, Germany, number 15357, May.
  2. Zhongfang He & John M. Maheu, 2009, "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers, Bank of Canada, number 09-31, DOI: 10.34989/swp-2009-31.
  3. John M. Maheu & Thomas H. McCurdy, 2009, "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series, Rimini Centre for Economic Analysis, number 19_09, Jan.
  4. John M Maheu & Thomas H McCurdy & Yong Song, 2009, "Extracting bull and bear markets from stock returns," Working Papers, University of Toronto, Department of Economics, number tecipa-369, Aug.
  5. Xin Jin & John M Maheu, 2009, "Modelling Realized Covariances," Working Papers, University of Toronto, Department of Economics, number tecipa-382, Nov.

2008

  1. Mark J. Jensen & John M. Maheu, 2008, "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-15.
  2. Chun Liu & John M Maheu, 2008, "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics, number tecipa-313, Apr.
  3. Alonso Gomez & John M Maheu & Alex Maynard, 2008, "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers, University of Toronto, Department of Economics, number tecipa-319, May.
  4. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008, "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation, number 19110.

2007

  1. John M. Maheu & Thomas H. McCurdy, 2007, "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper series, Rimini Centre for Economic Analysis, number 19_07, Jul.
  2. John M Maheu & Thomas H McCurdy, 2007, "Modeling foreign exchange rates with jumps," Working Papers, University of Toronto, Department of Economics, number tecipa-279, Feb.
  3. Chun Liu & John M Maheu, 2007, "Are there Structural Breaks in Realized Volatility?," Working Papers, University of Toronto, Department of Economics, number tecipa-304, Dec.
  4. John R. Graham & Si Li & Jiaping Qiu, 2007, "Corporate Misreporting and Bank Loan Contracting," NBER Working Papers, National Bureau of Economic Research, Inc, number 13708, Dec.

2005

  1. Ronald J. Balvers & Yangru Wu, 2005, "Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration," Working Papers, Hong Kong Institute for Monetary Research, number 022005, Feb.

2004

  1. John M. Maheu & Stephen Gordon, 2004, "Learning, Forecasting and Structural Breaks," Cahiers de recherche, CIRPEE, number 0422.

2003

  1. John M. Maheu & Thomas McCurdy, 2003, "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers, CIRANO, number 2003s-38, Jun.

2002

  1. Ronald J. Balvers & Yangru Wu, 2002, "Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study," Working Papers, Hong Kong Institute for Monetary Research, number 112002, May.

2001

  1. Ronald J. Balvers & Douglas W. Mitchell, 2001, "Reducing the Dimensionality of Linear Quadratic Control Problems," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-043/2, Apr.
  2. Guo Ying (Rosemary) Luo, 2001, "Evolution, Efficiency and Noise Traders in a One-Sided Auction Market," Computing in Economics and Finance 2001, Society for Computational Economics, number 49, Apr.
  3. John M. Maheu & Thomas McCurdy, 2001, "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers, CIRANO, number 2001s-42, Jun.
  4. Michael K. Berkowitz & Jiaping Qiu, 2001, "Ownership, Risk and Performance of Mutual Fund Management Companies," Working Papers, University of Toronto, Department of Economics, number berk-01-01, Jul.

2000

  1. Hirshleifer, David & Luo, Guo Ying, 2000, "On the Survival of Overconfident Traders in a Competitive Securities Market," MPRA Paper, University Library of Munich, Germany, number 15347.
  2. John M. Maheu & Tom McCurdy, 2000, "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1427, Aug.

1999

  1. Maheu, J.M. & McCurdy, T.H., 1999, "A Semi-Markov Approach to Modeling Volatility Dynamics," Rotman School of Management - Finance, Rotman School of Management, University of Toronto, number 99-004.

Journal articles

2026

  1. John M. Maheu & Efthimios Nikolakopoulos, 2026, "Modeling ex post variance jumps: implications for density and tail risk forecasting," Quantitative Finance, Taylor & Francis Journals, volume 26, issue 2, pages 161-183, February, DOI: 10.1080/14697688.2025.2565290.

2025

  1. Maheu, John M. & Shamsi Zamenjani, Azam, 2025, "The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model," Journal of Empirical Finance, Elsevier, volume 82, issue C, DOI: 10.1016/j.jempfin.2025.101620.

2024

  1. Anna Danielova & Wei-Ju Liao, 2024, "The curious case of one-dollar CEO salaries: evidence from market reaction to salary decision announcements," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 21, issue 3, pages 667-692, December, DOI: 10.1108/IJMF-10-2023-0485.
  2. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024, "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, volume 40, issue 2, pages 811-839, DOI: 10.1016/j.ijforecast.2023.05.002.
  3. Jia Liu & John M. Maheu & Yong Song, 2024, "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 39, issue 5, pages 723-745, August, DOI: 10.1002/jae.3048.
  4. Chenxing Li & John M. Maheu & Qiao Yang, 2024, "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 6, pages 2187-2211, September, DOI: 10.1002/for.3123.
  5. Nusair, Salah A. & Olson, Dennis & Al-Khasawneh, Jamal A., 2024, "Asymmetric effects of economic policy uncertainty on demand for money in developed countries," The Journal of Economic Asymmetries, Elsevier, volume 29, issue C, DOI: 10.1016/j.jeca.2023.e00350.

2023

  1. Danielova, Anna & Francis, Bill B. & Teng, Haimeng & Wu, Qiang, 2023, "The Effect of Organization Capital on the Cost of Bank Loans," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 58, issue 6, pages 2579-2616, September.
  2. Salah A. Nusair & Jamal A. Al-Khasawneh, 2023, "Changes in oil price and economic policy uncertainty and the G7 stock returns: evidence from asymmetric quantile regression analysis," Economic Change and Restructuring, Springer, volume 56, issue 3, pages 1849-1893, June, DOI: 10.1007/s10644-023-09494-9.
  3. Jamal Ali Al-Khasawneh & Naceur Essaddam & Salah A. Nusair & Benito A. Sanchez, 2023, "Productivity-conditioned market reaction of US Bank acquisitions during regulation-deregulation eras," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 47, issue 2, pages 368-385, June, DOI: 10.1007/s12197-022-09610-x.

2022

  1. Song, Jian & Balvers, Ronald J., 2022, "Seasonality and momentum across national equity markets," The North American Journal of Economics and Finance, Elsevier, volume 61, issue C, DOI: 10.1016/j.najef.2022.101706.
  2. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022, "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, volume 228, issue 2, pages 302-321, DOI: 10.1016/j.jeconom.2021.10.010.
  3. Nusair, Salah A. & Olson, Dennis, 2022, "Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 78, issue C, DOI: 10.1016/j.intfin.2022.101541.
  4. Nusair, Salah A. & Al-Khasawneh, Jamal A., 2022, "Impact of economic policy uncertainty on the stock markets of the G7 Countries:A nonlinear ARDL approach," The Journal of Economic Asymmetries, Elsevier, volume 26, issue C, DOI: 10.1016/j.jeca.2022.e00251.
  5. Salah A. Nusair & Jamal A. Al-Khasawneh, 2022, "On the relationship between Asian exchange rates and stock prices: a nonlinear analysis," Economic Change and Restructuring, Springer, volume 55, issue 1, pages 361-400, February, DOI: 10.1007/s10644-021-09318-8.
  6. Salah A. Nusair, 2022, "The Asymmetric Effects of Exchange Rate Changes on Output: Evidence from Asian Countries," The International Trade Journal, Taylor & Francis Journals, volume 36, issue 4, pages 324-349, July, DOI: 10.1080/08853908.2021.1940392.

2021

  1. Wang, Qiao & Balvers, Ronald, 2021, "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106278.
  2. Balvers, Ronald J. & McDonald, Bill, 2021, "Designing a global digital currency," Journal of International Money and Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jimonfin.2020.102317.
  3. Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021, "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.102091.
  4. John M Maheu & Azam Shamsi Zamenjani, 2021, "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 4, pages 583-613.
  5. Jim Griffin & Jia Liu & John M. Maheu, 2021, "Bayesian Nonparametric Estimation of Ex Post Variance
    [Out of Sample Forecasts of Quadratic Variation]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 5, pages 823-859.
  6. Nusair, Salah A. & Olson, Dennis, 2021, "Asymmetric oil price and Asian economies: A nonlinear ARDL approach," Energy, Elsevier, volume 219, issue C, DOI: 10.1016/j.energy.2020.119594.
  7. Salah A. Nusair & Dennis O. Olson, 2021, "Testing Wagner’s law versus the Keynesian hypothesis for GCC countries," Applied Economics, Taylor & Francis Journals, volume 53, issue 12, pages 1395-1417, March, DOI: 10.1080/00036846.2020.1832196.

2020

  1. Maheu, John M. & Song, Yong & Yang, Qiao, 2020, "Oil price shocks and economic growth: The volatility link," International Journal of Forecasting, Elsevier, volume 36, issue 2, pages 570-587, DOI: 10.1016/j.ijforecast.2019.07.008.
  2. Nusair, Salah A., 2020, "The asymmetric effects of oil price changes on unemployment: Evidence from Canada and the U.S," The Journal of Economic Asymmetries, Elsevier, volume 21, issue C, DOI: 10.1016/j.jeca.2019.e00153.

2019

  1. Xin Jin & John M. Maheu & Qiao Yang, 2019, "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 5, pages 641-660, August, DOI: 10.1002/jae.2685.
  2. Nusair, Salah A. & Olson, Dennis, 2019, "The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis," Energy Economics, Elsevier, volume 78, issue C, pages 44-63, DOI: 10.1016/j.eneco.2018.11.009.
  3. Nusair, Salah A., 2019, "Oil price and inflation dynamics in the Gulf Cooperation Council countries," Energy, Elsevier, volume 181, issue C, pages 997-1011, DOI: 10.1016/j.energy.2019.05.208.

2018

  1. Mark J. Jensen & John M. Maheu, 2018, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, volume 11, issue 3, pages 1-29, September.
  2. John M. Maheu & Yong Song, 2018, "An efficient Bayesian approach to multiple structural change in multivariate time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 33, issue 2, pages 251-270, March, DOI: 10.1002/jae.2606.
  3. Jia Liu & John M. Maheu, 2018, "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 33, issue 3, pages 297-318, April, DOI: 10.1002/jae.2605.
  4. Salah A. Nusair & Jamal A. Al-Khasawneh, 2018, "Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis," Economic Change and Restructuring, Springer, volume 51, issue 4, pages 339-372, November, DOI: 10.1007/s10644-017-9207-4.

2017

  1. Luo, H. Arthur & Balvers, Ronald J., 2017, "Social Screens and Systematic Investor Boycott Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 52, issue 1, pages 365-399, February.
  2. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017, "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 18-34, DOI: 10.1016/j.jbankfin.2016.12.013.
  3. Ronald J. Balvers & Li Gu & Dayong Huang, 2017, "Profitability, Value, and Stock Returns in Production‐Based Asset Pricing without Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 7, pages 1621-1651, October, DOI: 10.1111/jmcb.12426.
  4. Salah A Nusair, 2017, "On the Nominal and Real Currency Devaluation Nexus in European Transition Economies," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, volume 43, issue 4, pages 677-698, September, DOI: 10.1057/eej.2015.45.
  5. Salah A. Nusair, 2017, "The J-Curve phenomenon in European transition economies: A nonlinear ARDL approach," International Review of Applied Economics, Taylor & Francis Journals, volume 31, issue 1, pages 1-27, January, DOI: 10.1080/02692171.2016.1214109.

2016

  1. Ronald J. Balvers & John F. Gaski & Bill McDonald, 2016, "Financial Disclosure and Customer Satisfaction: Do Companies Talking the Talk Actually Walk the Walk?," Journal of Business Ethics, Springer, volume 139, issue 1, pages 29-45, November, DOI: 10.1007/s10551-015-2612-6.
  2. Jin, Xin & Maheu, John M., 2016, "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 19-39, DOI: 10.1016/j.jeconom.2015.11.001.
  3. Jin, Xin & Maheu, John M., 2016, "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 1-23, DOI: 10.1016/j.jeconom.2016.03.003.
  4. Maheu, John M. & Yang, Qiao, 2016, "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 202-220, DOI: 10.1016/j.jempfin.2016.06.006.
  5. Nusair, Salah A., 2016, "The effects of oil price shocks on the economies of the Gulf Co-operation Council countries: Nonlinear analysis," Energy Policy, Elsevier, volume 91, issue C, pages 256-267, DOI: 10.1016/j.enpol.2016.01.013.

2015

  1. Salah A. Nusair & Khalid M. Kisswani, 2015, "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, volume 67, issue S1, pages 1-25, December.

2014

  1. Balvers, Ronald J. & Klein, Alina F., 2014, "Currency risk premia and uncovered interest parity in the International CAPM," Journal of International Money and Finance, Elsevier, volume 41, issue C, pages 214-230, DOI: 10.1016/j.jimonfin.2013.12.002.
  2. Jensen, Mark J. & Maheu, John M., 2014, "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 523-538, DOI: 10.1016/j.jeconom.2013.08.018.
  3. Maheu, John M. & Song, Yong, 2014, "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 144-160, DOI: 10.1016/j.ijforecast.2013.06.004.
  4. Salah A. Nusair, 2014, "Are Devaluations Expansionary or Contractionary in Transition Economies?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 60, issue 3, pages 215-251, DOI: 10.3790/aeq.60.3.215.
  5. Khalid Kisswani & Salah Nusair, 2014, "Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries," Economic Change and Restructuring, Springer, volume 47, issue 3, pages 155-186, August, DOI: 10.1007/s10644-013-9146-7.

2013

  1. Anna N. Danielova & Sudipto Sarkar & Gwangheon Hong, 2013, "Empirical Evidence on Corporate Risk-Shifting," The Financial Review, Eastern Finance Association, volume 48, issue 3, pages 443-460, August.
  2. 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, volume 17, issue 4, pages 345-372, September, DOI: 10.1515/snde-2013-0020.
  3. Jensen, Mark J. & Maheu, John M., 2013, "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, volume 176, issue 1, pages 3-17, DOI: 10.1016/j.jeconom.2013.03.009.
  4. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013, "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 457-477, DOI: 10.1016/j.jfineco.2013.07.006.
  5. Xin Jin & John M. Maheu, 2013, "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 2, pages 335-369, March.
  6. Kisswani, Khalid M. & Nusair, Salah A., 2013, "Non-linearities in the dynamics of oil prices," Energy Economics, Elsevier, volume 36, issue C, pages 341-353, DOI: 10.1016/j.eneco.2012.09.007.
  7. Salah A. Nusair, 2013, "Real Exchange Rate Dynamics In Transition Economies: A Nonlinear Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 18, issue 2, pages 188-204, March.
  8. Salah A. Nusair, 2013, "Examining The Underlying Parity Conditions Sufficient For Real Interest Parity For Asian Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 58, issue 01, pages 1-26, DOI: 10.1142/S0217590813500021.

2012

  1. Ronald J. Balvers & Ou Hu & Dayong Huang, 2012, "Transitory Market States And The Joint Occurrence Of Momentum And Mean Reversion," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 35, issue 4, pages 471-495, December, DOI: j.1475-6803.2012.01325.x.
  2. Anna Danielova & Scott Smart, 2012, "Stock Price Effects of Mandatory Exchangeable Debt," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 18, issue 1, pages 40-52, February, DOI: 10.1007/s11294-011-9337-9.
  3. Liu, Chun & Maheu, John M., 2012, "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 329-348, DOI: 10.1016/j.pacfin.2011.11.001.
  4. 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, volume 30, issue 3, pages 391-403, February, DOI: 10.1080/07350015.2012.680412.
  5. Salah A. Nusair, 2012, "Is the G ulf C ooperation C ouncil an Optimum Currency Area?," The Developing Economies, Institute of Developing Economies, volume 50, issue 4, pages 351-377, December.
  6. Salah Nusair, 2012, "Nonlinear adjustment of Asian real exchange rates," Economic Change and Restructuring, Springer, volume 45, issue 3, pages 221-246, August, DOI: 10.1007/s10644-011-9116-x.
  7. Salah A. Nusair & Naser I. Abumustafa, 2012, "Recursive Cointegration Analysis of Purchasing Power Parity: An Application to Asian Countries," The American Economist, Sage Publications, volume 57, issue 2, pages 196-209, November, DOI: 10.1177/056943451205700205.
  8. Salah Nusair, 2012, "Is East Asia an optimum currency area? A test of generalized purchasing power parity in the presence of structural breaks," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 17, issue 3, pages 399-425, DOI: 10.1080/13547860.2012.694696.
  9. Alireza Tajbakhsh & Kourosh Eshghi & Azam Shamsi, 2012, "A hybrid PSO-SA algorithm for the travelling tournament problem," European Journal of Industrial Engineering, Inderscience Enterprises Ltd, volume 6, issue 1, pages 2-25.

2011

  1. Danielova, Anna & Sarkar, Sudipto, 2011, "The effect of leverage on the tax-cut versus investment-subsidy argument," Review of Financial Economics, Elsevier, volume 20, issue 4, pages 123-129, DOI: 10.1016/j.rfe.2011.10.001.
  2. Maheu, John M. & McCurdy, Thomas H., 2011, "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 69-76, January.
  3. Naser Abumustafa & Salah Nusair, 2011, "Insider trading during the 2008 financial crisis," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 5, pages 301-307, DOI: 10.1080/09603107.2010.530217.
  4. Shujing Li & Jiaping Qiu & Chi Wan, 2011, "Corporate globalization and bank lending," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 42, issue 8, pages 1016-1042, October.

2010

  1. Balvers, Ronald & Wu, Yangru, 2010, "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 129-156, February.
  2. Danielova, Anna N. & Smart, Scott B. & Boquist, John, 2010, "What motivates exchangeable debt offerings?," Journal of Corporate Finance, Elsevier, volume 16, issue 2, pages 159-169, April.
  3. He, Zhongfang & Maheu, John M., 2010, "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2628-2640, November.
  4. Jensen, Mark J. & Maheu, John M., 2010, "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 306-316, August.

2009

  1. Balvers, Ronald J. & Huang, Dayong, 2009, "Money and the C-CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 44, issue 2, pages 337-368, April.
  2. Balvers, Ronald J. & Huang, Dayong, 2009, "Evaluation of linear asset pricing models by implied portfolio performance," Journal of Banking & Finance, Elsevier, volume 33, issue 9, pages 1586-1596, September.
  3. Luo, Guo Ying, 2009, "Irrationality and monopolistic competition: An evolutionary approach," European Economic Review, Elsevier, volume 53, issue 5, pages 512-526, July.
  4. Richard Deaves & Erik Lüders & Guo Ying Luo, 2009, "An Experimental Test of the Impact of Overconfidence and Gender on Trading Activity," Review of Finance, European Finance Association, volume 13, issue 3, pages 555-575.
  5. 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, volume 27, pages 95-112.
  6. Chun Liu & John M. Maheu, 2009, "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 24, issue 5, pages 709-733, DOI: 10.1002/jae.1070.
  7. Packey Daniel J & Nusair Salah, 2009, "Kuwaiti Consumption in the Presence of Dramatic Economic Events: 1973-2003," Review of Middle East Economics and Finance, De Gruyter, volume 5, issue 2, pages 1-20, September, DOI: 10.2202/1475-3693.1103.
  8. Salah Nusair, 2009, "Non-linear Co-integration between Nominal Interest Rates and Inflation: An Examination of the Fisher Hypothesis for Asian Countries," Global Economic Review, Taylor & Francis Journals, volume 38, issue 2, pages 143-159, DOI: 10.1080/12265080902891446.
  9. Qiu, Jiaping & Yu, Fan, 2009, "The market for corporate control and the cost of debt," Journal of Financial Economics, Elsevier, volume 93, issue 3, pages 505-524, September.

2008

  1. Anna N. Danielova, 2008, "Tracking Stock or Spin‐Off? Determinants of Choice," Financial Management, Financial Management Association International, volume 37, issue 1, pages 125-139, March, DOI: 10.1111/j.1755-053X.2008.00003.x.
  2. John M. Maheu & Stephen Gordon, 2008, "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 23, issue 5, pages 553-583, DOI: 10.1002/jae.1018.
  3. Chun Liu & John M. Maheu, 2008, "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 3, pages 326-360, Summer.
  4. Salah A. Nusair, 2008, "Purchasing Power Parity under Regime Shifts: An Application to Asian Countries," Asian Economic Journal, East Asian Economic Association, volume 22, issue 3, pages 241-266, September, DOI: 10.1111/j.1467-8381.2008.00277.x.
  5. Salah Nusair, 2008, "Testing for the Fisher hypothesis under regime shifts: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, volume 22, issue 2, pages 273-284, DOI: 10.1080/10168730802095660.
  6. Graham, John R. & Li, Si & Qiu, Jiaping, 2008, "Corporate misreporting and bank loan contracting," Journal of Financial Economics, Elsevier, volume 89, issue 1, pages 44-61, July.

2007

  1. Balvers, Ronald J. & Mitchell, Douglas W., 2007, "Reducing the dimensionality of linear quadratic control problems," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 1, pages 141-159, January.
  2. Balvers, Ronald J. & Huang, Dayong, 2007, "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, volume 86, issue 2, pages 405-445, November.
  3. John M. Maheu & Thomas H. McCurdy, 2007, "Components of Market Risk and Return," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 4, pages 560-590, Fall.
  4. Han, Seungjin & Qiu, Jiaping, 2007, "Corporate precautionary cash holdings," Journal of Corporate Finance, Elsevier, volume 13, issue 1, pages 43-57, March.
  5. Ge, Ying & Qiu, Jiaping, 2007, "Financial development, bank discrimination and trade credit," Journal of Banking & Finance, Elsevier, volume 31, issue 2, pages 513-530, February.

2006

  1. Balvers, Ronald J. & Wu, Yangru, 2006, "Momentum and mean reversion across national equity markets," Journal of Empirical Finance, Elsevier, volume 13, issue 1, pages 24-48, January.
  2. Salah A. Nusair, 2006, "Real Interest Rate Parity: Evidence from Industrialized Countries," Annals of Economics and Finance, Society for AEF, volume 7, issue 2, pages 425-457, November.
  3. Berkowitz, Michael K. & Qiu, Jiaping, 2006, "A further look at household portfolio choice and health status," Journal of Banking & Finance, Elsevier, volume 30, issue 4, pages 1201-1217, April.

2005

  1. Maheu John, 2005, "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-43, December, DOI: 10.2202/1558-3708.1269.
  2. Aivazian, Varouj A. & Ge, Ying & Qiu, Jiaping, 2005, "Corporate governance and manager turnover: An unusual social experiment," Journal of Banking & Finance, Elsevier, volume 29, issue 6, pages 1459-1481, June.
  3. Aivazian, Varouj A. & Ge, Ying & Qiu, Jiaping, 2005, "The impact of leverage on firm investment: Canadian evidence," Journal of Corporate Finance, Elsevier, volume 11, issue 1-2, pages 277-291, March.
  4. Aivazian, Varouj A. & Ge, Ying & Qiu, Jiaping, 2005, "Can corporatization improve the performance of state-owned enterprises even without privatization?," Journal of Corporate Finance, Elsevier, volume 11, issue 5, pages 791-808, October.
  5. Varouj A. Aivazian & Ying Ge & Jiaping Qiu, 2005, "Debt Maturity Structure and Firm Investment," Financial Management, Financial Management Association, volume 34, issue 4, Winter.

2004

  1. Arnab K. Acharya & Ronald J. Balvers, 2004, "Time Preference and Life Cycle Consumption with Endogenous Survival," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 667-678, October.

2003

  1. Luo, Guo Ying, 2003, "Evolution, efficiency and noise traders in a one-sided auction market," Journal of Financial Markets, Elsevier, volume 6, issue 2, pages 163-197, April.
  2. Salah A. Nusair, 2003, "Testing The Validity Of Purchasing Power Parity For Asian Countries During The Current Float," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 28, issue 2, pages 129-147, December.
  3. Berkowitz, Michael K. & Qiu, Jiaping, 2003, "Ownership, risk and performance of mutual fund management companies," Journal of Economics and Business, Elsevier, volume 55, issue 2, pages 109-134.

2002

  1. Balvers, Ronald J. & Bergstrand, Jeffrey H., 2002, "Government expenditure and equilibrium real exchange rates," Journal of International Money and Finance, Elsevier, volume 21, issue 5, pages 667-692, October.
  2. Luo, Guo Ying, 2002, "Collective Decision-Making and Heterogeneity in Tastes," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 2, pages 213-226, April.
  3. Luo, Guo Ying & Brick, Ivan & Frierman, Michael, 2002, "Strategic Decision Making of the Firm under Asymmetric Information," Review of Quantitative Finance and Accounting, Springer, volume 19, issue 2, pages 215-237, September.
  4. Chan, Wing H & Maheu, John M, 2002, "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 3, pages 377-389, July.
  5. John M. Maheu & Thomas H. McCurdy, 2002, "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, volume 84, issue 4, pages 668-681, November.

2001

  1. Hirshleifer, David & Luo, Guo Ying, 2001, "On the survival of overconfident traders in a competitive securities market," Journal of Financial Markets, Elsevier, volume 4, issue 1, pages 73-84, January.
  2. Salah Nusair, 2001, "Testing for PPP in developing countries using confirmatory analysis and different base countries: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, volume 18, issue 4, pages 467-489, DOI: 10.1080/1016873042000299945.

2000

  1. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000, "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, volume 55, issue 2, pages 745-772, April, DOI: 10.1111/0022-1082.00225.
  2. Balvers, Ronald J. & Mitchell, Douglas W., 2000, "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 1, pages 21-38, January.
  3. Balvers, Ronald J & Szerb, Laszlo, 2000, "Precaution and Liquidity in the Demand for Housing," Economic Inquiry, Western Economic Association International, volume 38, issue 2, pages 289-303, April.
  4. Jimmy Ran & Ronald Balvers, 2000, "Exchange Rate Shocks and the Speed of Trade Price Adjustment," Southern Economic Journal, John Wiley & Sons, volume 67, issue 1, pages 200-211, July, DOI: 10.1002/j.2325-8012.2000.tb00329.x.
  5. Maheu, John M & McCurdy, Thomas H, 2000, "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, volume 18, issue 1, pages 100-112, January.
  6. Maheu, John M. & McCurdy, Thomas H., 2000, "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, volume 7, issue 3-4, pages 345-372, November.

1998

  1. Luo, Guo Ying, 1998, "Market Efficiency and Natural Selection in a Commodity Futures Market," The Review of Financial Studies, Society for Financial Studies, volume 11, issue 3, pages 647-674.
  2. Luo, Guo Ying, 1998, "The evolution of money as a medium of exchange," Journal of Economic Dynamics and Control, Elsevier, volume 23, issue 3, pages 415-458, November.

1997

  1. Balvers, Ronald J. & H. Bergstrand, Jeffrey, 1997, "Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence," Journal of International Money and Finance, Elsevier, volume 16, issue 3, pages 345-366, June.
  2. Ronald J. Balvers & Douglas W. Mitchell, 1997, "Autocorrelated Returns and Optimal Intertemporal Portfolio Choice," Management Science, INFORMS, volume 43, issue 11, pages 1537-1551, November, DOI: 10.1287/mnsc.43.11.1537.

1996

  1. Balvers, Ronald & Szerb, Lazlo, 1996, "Location in the Hotelling duopoly model with demand uncertainty," European Economic Review, Elsevier, volume 40, issue 7, pages 1453-1461, August.

1995

  1. Luo Guo Ying, 1995, "Evolution and Market Competition," Journal of Economic Theory, Elsevier, volume 67, issue 1, pages 223-250, October.

1994

  1. Ronald J. Balvers & Thomas F. Cosimano, 1994, "Inflation Variability and Gradualist Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, volume 61, issue 4, pages 721-738.

1993

  1. Balvers, Ronald J. & Cosimano, Thomas F., 1993, "Periodic learning about a hidden state variable," Journal of Economic Dynamics and Control, Elsevier, volume 17, issue 5-6, pages 805-827.

1992

  1. Balvers, Ronald J & Miller, Norman C, 1992, "Profits under Conditions of Uncertainty," Australian Economic Papers, Wiley Blackwell, volume 31, issue 59, pages 245-259, December.
  2. Ronald Balvers, 1992, "A Keynesian general equilibrium model with competitive firms and rational expectations," Journal of Economics, Springer, volume 56, issue 1, pages 23-38, February, DOI: 10.1007/BF01239490.
  3. Balvers, Ronald J & Miller, Norman C, 1992, "Factor Demand under Conditions of Product Demand and Supply Uncertainty," Economic Inquiry, Western Economic Association International, volume 30, issue 3, pages 544-555, July.

1990

  1. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990, "Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, volume 45, issue 4, pages 1109-1128, September.
  2. Balvers, Ronald J & Cosimano, Thomas F, 1990, "Actively Learning about Demand and the Dynamics of Price Adjustment," Economic Journal, Royal Economic Society, volume 100, issue 402, pages 882-898, September.
  3. Balvers, Ronald J, 1990, "Variability and the Duration of Search," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 31, issue 3, pages 747-751, August.

1988

  1. Balvers, Ronald J, 1988, "Monopoly Power and Downward Price Rigidity under Costly Price Adjustment," Bulletin of Economic Research, Wiley Blackwell, volume 40, issue 2, pages 115-131, April.
  2. Balvers, Ronald J, 1988, "Money Supply Variability in a Macro Model of Monopolistic Competition," Economic Inquiry, Western Economic Association International, volume 26, issue 4, pages 661-685, October.

Chapters

2008

  1. John M. Maheu & Thomas H. McCurdy, 2008, "Chapter 12 Modeling Foreign Exchange Rates with Jumps," Frontiers of Economics and Globalization, Emerald Group Publishing Limited, "Forecasting in the Presence of Structural Breaks and Model Uncertainty", DOI: 10.1016/S1574-8715(07)00212-6.

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