Publications of John Maheu
2013
Martin Burda and John Maheu, "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models", Studies in Nonlinear Dynamics & Econometrics 17 (4) (2013), 345–372.
2011
John Maheu and Tom McCurdy, "Do high-frequency measures of volatility improve forecasts of return distributions?", Journal of Econometrics 160 (1) (2011), 69–76.
2010
John Maheu, J. J. Reeves, X. Xie, "Forecasting Volatility in the Presence of Model Instability", Australian & New Zealand Journal of Statistics 52 (2010), 221–237.
2009
John Maheu and Chun Liu, "Forecasting Realized Volatility: A Bayesian Model-Averaging Approach", Journal of Applied Econometrics 24 (5) (2009), 709–733.
John Maheu and Tom McCurdy, "How useful are historical data for forecasting the long-run equity return distribution?", Journal of Business and Economic Statistics 27 (1) (2009), 95–112.
2008
John Maheu and Stephen Gordon, "Learning, forecasting and structural breaks", Journal of Applied Econometrics 23 (5) (2008), 553–583.
John Maheu and Chun Liu, "Are there Structural Breaks in Realized Volatility", Journal of Financial Econometrics 6 (3) (2008), 326–360.
John Maheu and Tom McCurdy, "Modeling Foreign Exchange Rates with Jumps", in Forecasting in the Presence of Structural Breaks and Model Uncertainty (edited by David E. Rapach and Mark E. Wohar), Emerald Group , UK, 2008, 449–475.
2007
John Maheu and Tom McCurdy, "Components of Market Risk and Return", Journal of Financial Econometrics 5 (4) (2007), 560–590.
2005
John Maheu, "Can GARCH Models Capture the Long-Range Dependence in Financial Market Volatility?", Studies in Nonlinear Dynamics & Econometrics 9 (4) (2005), 43–pgs.
2004
John Maheu and Tom McCurdy, "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns", Journal of Finance 59 (2) (2004), 755–793.
2002
W. H. Chan and John Maheu, "Conditional Jump Dynamics in Stock Market Returns", Journal of Business and Economic Statistics 20 (3) (2002), 377–389.
John Maheu and Tom McCurdy, "Nonlinear Features of Realized FX Volatility", Review of Economics and Statistics 84 (4) (2002), 668–681.
2000
John Maheu and Tom McCurdy, "Identifying Bull and Bear Markets in Stock Returns", Journal of Business and Economic Statistics 18 (1) (2000), 100–112.
John Maheu and Tom McCurdy, "Volatility Dynamics under Duration-Dependent Mixing", Journal of Empirical Finance 7 (2000), 345–372.