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Publications of John Maheu

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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

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

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

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

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