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John M. Maheu

Personal Details

First Name:John
Middle Name:M.
Last Name:Maheu
Suffix:
RePEc Short-ID:pma144
[This author has chosen not to make the email address public]
https://profs.degroote.mcmaster.ca/ads/maheujm/
DeGroote School of Business, McMaster University, 1280 Main Street West, Hamilton, ON, Canada L8S4M4
905-525-9140 ext. 26
Terminal Degree:1998 Economics Department; Queen's University (from RePEc Genealogy)

Affiliation

DeGroote School of Business
McMaster University

Hamilton, Canada
http://www.degroote.mcmaster.ca/
RePEc:edi:sbmcmca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
  2. Liu, Jia & Maheu, John M & Song, Yong, 2023. "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper 119515, University Library of Munich, Germany.
  3. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
  4. Li, Chenxing & Maheu, John M & Yang, Qiao, 2022. "An Infinite Hidden Markov Model with Stochastic Volatility," MPRA Paper 115456, University Library of Munich, Germany.
  5. John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
  6. Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.
  7. Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
  8. Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
  9. Maheu, John M & Song, Yong, 2017. "An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series," MPRA Paper 79211, University Library of Munich, Germany.
  10. Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
  11. Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
  12. Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
  13. Maheu, John M & Yang, Qiao, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper 62408, University Library of Munich, Germany.
  14. Jin, Xin & Maheu, John M, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," MPRA Paper 60102, University Library of Munich, Germany.
  15. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper 2014-6, Federal Reserve Bank of Atlanta.
  16. Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  17. Maheu, John & Song, Yong, 2012. "A new structural break model with application to Canadian inflation forecasting," MPRA Paper 36870, University Library of Munich, Germany.
  18. Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
  19. Martin Burda & John M. Maheu, 2012. "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series 46_12, Rimini Centre for Economic Analysis.
  20. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
  21. Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," FRB Atlanta Working Paper 2012-06, Federal Reserve Bank of Atlanta.
  22. Xin Jin & John M. Maheu, 2011. "Modelling Realized Covariances and Returns," Working Paper series 08_11, Rimini Centre for Economic Analysis.
  23. Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
  24. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  25. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
  26. Xin Jin & John M Maheu, 2009. "Modelling Realized Covariances," Working Papers tecipa-382, University of Toronto, Department of Economics.
  27. Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers 09-31, Bank of Canada.
  28. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
  29. John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series 19_09, Rimini Centre for Economic Analysis.
  30. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  31. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
  32. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  33. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
  34. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper series 19_07, Rimini Centre for Economic Analysis.
  35. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  36. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
  37. John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
  38. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  39. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  40. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  41. Maheu, J.M. & McCurdy, T.H., 1999. "A Semi-Markov Approach to Modeling Volatility Dynamics," Rotman School of Management - Finance 99-004, Rotman School of Management, University of Toronto.
    repec:vuw:vuwcsr:4009 is not listed on IDEAS

Articles

  1. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
  2. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
  3. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  4. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
  5. John M Maheu & Azam Shamsi Zamenjani, 2021. "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.
  6. Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  7. Jim Griffin & Jia Liu & John M. Maheu, 2021. "Bayesian Nonparametric Estimation of Ex Post Variance [Out of Sample Forecasts of Quadratic Variation]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 823-859.
  8. Maheu, John M. & Song, Yong & Yang, Qiao, 2020. "Oil price shocks and economic growth: The volatility link," International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
  9. Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
  10. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  11. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  12. John M. Maheu & Yong Song, 2018. "An efficient Bayesian approach to multiple structural change in multivariate time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 251-270, March.
  13. Jin, Xin & Maheu, John M., 2016. "Modeling covariance breakdowns in multivariate GARCH," Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
  14. Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
  15. Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  16. Maheu, John M. & Song, Yong, 2014. "A new structural break model, with an application to Canadian inflation forecasting," International Journal of Forecasting, Elsevier, vol. 30(1), pages 144-160.
  17. Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
  18. Burda Martin & Maheu John M., 2013. "Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 345-372, September.
  19. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  20. Xin Jin & John M. Maheu, 2013. "Modeling Realized Covariances and Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 335-369, March.
  21. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  22. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  23. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
  24. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  25. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  26. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
  27. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
  28. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  29. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 326-360, Summer.
  30. John M. Maheu & Stephen Gordon, 2008. "Learning, forecasting and structural breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
  31. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 560-590, Fall.
  32. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
  33. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  34. Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-389, July.
  35. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.
  36. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
    RePEc:bla:jfinan:v:59:y:2004:i:2:p:755-793 is not listed on IDEAS

Chapters

  1. John M. Maheu & Thomas H. McCurdy, 2008. "Chapter 12 Modeling Foreign Exchange Rates with Jumps," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 449-475, Emerald Group Publishing Limited.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Journal Pages, Weighted by Simple Impact Factor
  6. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  7. Betweenness measure in co-authorship network
  8. Wu-Index
  9. Record of graduates

Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
  1. Queen's Economics Department PhD Graduates

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 56 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (37) 2001-07-13 2004-10-21 2007-04-09 2007-06-30 2008-01-05 2008-04-15 2008-05-05 2008-06-27 2008-08-21 2008-09-29 2009-11-14 2009-12-05 2010-04-17 2010-04-17 2010-07-24 2011-07-13 2012-03-21 2012-05-02 2012-05-15 2012-06-25 2012-07-08 2012-07-08 2012-07-08 2012-07-08 2012-07-14 2012-08-23 2014-04-18 2014-12-29 2016-05-14 2016-09-25 2017-05-28 2017-10-15 2018-03-05 2021-01-25 2023-01-02 2023-01-16 2024-01-29. Author is listed
  2. NEP-ECM: Econometrics (32) 2001-07-17 2003-07-16 2004-10-21 2007-02-10 2007-04-09 2007-06-30 2008-01-05 2008-04-15 2008-05-05 2008-09-29 2009-08-16 2009-11-14 2009-12-05 2010-07-24 2011-07-13 2012-03-08 2012-05-02 2012-07-08 2012-07-08 2013-12-15 2014-04-18 2015-01-09 2015-03-05 2016-05-14 2016-05-21 2016-09-25 2017-05-28 2017-10-15 2021-01-25 2023-01-02 2023-05-01 2024-01-29. Author is listed
  3. NEP-FOR: Forecasting (28) 2007-02-10 2007-04-09 2007-06-30 2008-04-15 2008-05-24 2008-08-21 2009-11-14 2010-07-24 2011-01-30 2012-03-08 2012-03-21 2012-05-02 2012-05-15 2012-06-25 2012-07-08 2012-07-08 2012-07-08 2012-07-14 2012-08-23 2015-01-09 2015-02-28 2015-03-05 2016-05-14 2018-02-19 2018-02-19 2018-03-05 2023-01-16 2023-05-01. Author is listed
  4. NEP-ORE: Operations Research (15) 2008-05-05 2011-07-13 2012-05-02 2012-07-08 2012-07-08 2014-04-18 2015-01-09 2015-03-05 2016-05-14 2016-09-25 2017-05-28 2017-10-15 2018-03-05 2021-01-18 2021-01-25. Author is listed
  5. NEP-RMG: Risk Management (10) 2007-06-30 2008-04-15 2008-08-21 2012-07-08 2014-12-24 2016-05-14 2021-01-18 2021-01-25 2023-01-02 2024-01-29. Author is listed
  6. NEP-MST: Market Microstructure (5) 2007-02-10 2008-01-05 2008-04-15 2008-08-21 2010-04-17. Author is listed
  7. NEP-MON: Monetary Economics (4) 2008-05-24 2012-03-08 2012-06-25 2020-12-21
  8. NEP-CBA: Central Banking (3) 2007-04-09 2008-04-15 2008-05-24
  9. NEP-FMK: Financial Markets (3) 2001-07-13 2008-01-05 2021-01-18
  10. NEP-MAC: Macroeconomics (3) 2008-05-24 2017-05-28 2018-02-19
  11. NEP-ENE: Energy Economics (2) 2018-02-19 2018-03-05
  12. NEP-UPT: Utility Models and Prospect Theory (2) 2012-07-08 2016-05-21
  13. NEP-CMP: Computational Economics (1) 2023-05-01
  14. NEP-FIN: Finance (1) 2003-07-13
  15. NEP-GRO: Economic Growth (1) 2018-02-19
  16. NEP-IFN: International Finance (1) 2007-02-10
  17. NEP-LAB: Labour Economics (1) 2007-06-30
  18. NEP-MFD: Microfinance (1) 2015-03-05
  19. NEP-SEA: South East Asia (1) 2023-01-02
  20. NEP-TRA: Transition Economics (1) 2010-04-17

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