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John M. Maheu · Study
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Author
John M. Maheu
18 works
· latest 2015
· 2 institutions
cluster: provisional
Works
18 shown
Bayesian semiparametric modeling of realized covariance matrices
Journal of Econometrics
·
2015
·
2 authors
45
citations
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Journal of Econometrics
·
2013
·
2 authors
·
Open access
62
citations
Do jumps contribute to the dynamics of the equity premium?
Journal of Financial Economics
·
2013
·
3 authors
·
Open access
69
citations
Bayesian semiparametric multivariate GARCH modeling
Journal of Econometrics
·
2013
·
2 authors
49
citations
Modeling Realized Covariances and Returns
Journal of Financial Econometrics
·
2012
·
1 author
92
citations
Do high-frequency measures of volatility improve forecasts of return distributions?
Journal of Econometrics
·
2010
·
2 authors
·
Open access
147
citations
Bayesian semiparametric stochastic volatility modeling
Journal of Econometrics
·
2010
·
2 authors
124
citations
Real time detection of structural breaks in GARCH models
Computational Statistics & Data Analysis
·
2009
·
2 authors
·
Open access
52
citations
Forecasting realized volatility: a Bayesian model‐averaging approach
Journal of Applied Econometrics
·
2009
·
2 authors
·
Open access
107
citations
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
Journal of Business and Economic Statistics
·
2009
·
2 authors
·
Open access
38
citations
Learning, forecasting and structural breaks
Journal of Applied Econometrics
·
2008
·
2 authors
·
Open access
76
citations
Are There Structural Breaks in Realized Volatility?
Journal of Financial Econometrics
·
2008
·
2 authors
·
Open access
86
citations
Components of Market Risk and Return
Journal of Financial Econometrics
·
2007
·
2 authors
·
Open access
41
citations
Can GARCH Models Capture Long-Range Dependence?
Studies in Nonlinear Dynamics and Econometrics
·
2005
·
1 author
48
citations
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
The Journal of Finance
·
2004
·
2 authors
·
Open access
561
citations
Nonlinear Features of Realized FX Volatility
The Review of Economics and Statistics
·
2002
·
2 authors
·
Open access
112
citations
Conditional Jump Dynamics in Stock Market Returns
Journal of Business and Economic Statistics
·
2002
·
1 author
358
citations
Identifying Bull and Bear Markets in Stock Returns
Journal of Business and Economic Statistics
·
2000
·
2 authors
229
citations