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.
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 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.