How useful are historical data for forecasting the long-run equity return distribution?
Journal of Business and Economic Statistics,
2009
John Maheu and Tom McCurdy
Learning, forecasting and structural breaks
Journal of Applied Econometrics,
2008
John Maheu and Stephen Gordon
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
Journal of Finance,
2004
John Maheu and Tom McCurdy
Conditional Jump Dynamics in Stock Market Returns
Journal of Business and Economic Statistics,
2002
W. H. Chan and John Maheu