.
Maheu, John M.'s
Scholarly Papers
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Aggregate Statistics
Total 2,642
Total Citations 152
1.
Identifying Bull and Bear Markets in Stock Returns
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
19 Feb 99
Last Revised:
06 Jun 02
1,079(8,181)
34
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
high-frequency data, realized volatility, semi-Markov
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
1,079
34
2.
Nonlinear Features of Realized Fx Volatility
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
24 Jul 01
Last Revised:
02 Mar 12
338(41,787)
17
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
31 Dec 01
Last Revised:
02 Mar 12
8
17
high-frequency data, realized volatility, semi-Markov
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
330
17
high-frequency data, realized volatility, semi-Markov
3.
Components of Market Risk and Return
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
28 Jun 07
Last Revised:
06 Nov 12
270(54,259)
6
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
volatility components, long-run market risk premium, realized volatility
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
270
6
volatility components, long-run market risk premium, Realized Volatility
4.
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
27 Jun 07
Last Revised:
02 Mar 12
270(54,259)
6
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
34
6
Bayesian Learning, Density Forecasts, Market Returns, Model Risk, Parameter Uncertainty, Structural Change
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
27 Jun 07
Last Revised:
02 Mar 12
236
6
density forecasts, structural change, model risk, parameter uncertainty, Bayesian learning, market returns
5.
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
Posted:
06 Oct 11
Last Revised:
17 Jan 13
169(87,721)
3
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
80
3
predictive density, long-horizon returns, Markov switching
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
Posted:
06 Oct 11
Last Revised:
06 Nov 12
89
3
predictive density, long-horizon returns, Markov Switching
6.
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
01 Sep 08
Last Revised:
05 Oct 11
137(105,699)
8
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
Realized volatility, multiperiod out-of-sample prediction, term structure of density forecasts, stochastic volatility
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
137
8
RV, multiperiod, out-of-sample, term structure of density forecasts, observable SV
7.
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
112(124,354)
4
jump clustering, jump dynamics, MCMC, predictive likelihood, realized volatility, Bayesian model average
8.
Jensen, Mark J. Federal Reserve Bank of Atlanta
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
101(134,051)
2
Bayesian nonparametrics, Dirichlet process mixture prior, Markov chain Monte Carlo, mixture models, stochastic volatility
9.
Jensen, Mark J. Federal Reserve Bank of Atlanta
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
45(209,384)
Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, forecasting, infinite mixture model, MCMC, slice sampler
10.
Liu, Chun Tsinghua University - School of Economics and Management
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
39(221,542)
Market microstructure, Transaction horizon, High-frequency data, ACD, GARCH
11.
Jensen, Mark J. Federal Reserve Bank of Atlanta
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
38(223,690)
1
Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, infinite mixture model, leverage effect, marginal likelihood, MCMC, non-normal, stochastic volatility, volatility-return relationship
12.
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
31 Jul 03
Last Revised:
05 Oct 11
37(225,881)
65
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
37
65
volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter
13.
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
18 Apr 02
Last Revised:
02 Mar 12
7(319,197)
6
time-varying transition probabilities, discrete-state volatility dynamics, time-varying hazard function
14.
Reeves, Jonathan J. Australian School of Business, University of New South Wales
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
Xie, Xuan Citigroup Australia
high-frequency data, integrated volatility, realised volatility
15.
Liu, Chun Tsinghua University - School of Economics and Management
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
C22, C11, G10, change point, GARCH, Gibbs sampling, marginal likelihood, realized volatility
16.
Chan, Wing H. Wilfrid Laurier University - Department of Economics
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
Garch, autoregressive jump intensity
