John M. Maheu

McMaster University - Michael G. DeGroote School of Business

1280 Main Street West

Hamilton, Ontario L8S 4M4

Canada

http://profs.degroote.mcmaster.ca/ads/maheujm/

RCEA

Senior Fellow

Via Patara, 3

Rimini (RN), RN 47900

Italy

http://www.rcfea.org/

  • McMaster University - Michael G. DeGroote School of Business

SCHOLARLY PAPERS

25

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Top 5,857

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108

CROSSREF CITATIONS

117

Scholarly Papers (25)

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1.

Identifying Bull and Bear Markets in Stock Returns

Downloads 2,091 (11,446)
Citation 5

Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, January 2000, Vol 18, No. 1, pp. 100-112
Number of pages: 13 Posted: 19 Feb 1999 Last Revised: 30 Aug 2021
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 2,091 (11,202)
Citation 5

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Identifying Bull and Bear Markets in Stock Returns

Posted: 03 Jun 2002
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

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high-frequency data, realized volatility, semi-Markov

2.

Bull and Bear Markets During the COVID-19 Pandemic

Forthcoming, Finance Research Letters, https://doi.org/10.1016/j.frl.2021.102091
Number of pages: 21 Posted: 15 Dec 2020 Last Revised: 30 Aug 2021
John M. Maheu, Thomas H. McCurdy and Yong Song
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Technology Sydney (UTS) - Centre for the Study of Choice
Downloads 1,421 (20,788)

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COVID-19, equity returns, Markov switching, predictive density, investment strategies

3.

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Downloads 1,386 (21,565)
Citation 10

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Rotman School of Management Working Paper No. 1939486
Number of pages: 36 Posted: 06 Oct 2011 Last Revised: 06 Nov 2012
John M. Maheu, Thomas H. McCurdy and Yong Song
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Technology Sydney (UTS) - Centre for the Study of Choice
Downloads 1,159 (27,657)
Citation 2

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predictive density, long-horizon returns, Markov Switching

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Journal of Business & Economic Statistics, July 2012, Vol. 30, No. 3, pp. 391-403, Rotman School of Management Working Paper No. 2171892
Number of pages: 13 Posted: 07 Nov 2012
John M. Maheu, Thomas H. McCurdy and Yong Song
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Technology Sydney (UTS) - Centre for the Study of Choice
Downloads 227 (203,061)
Citation 4

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predictive density, long-horizon returns, Markov switching

4.

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Downloads 442 (100,173)
Citation 10

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Number of pages: 44 Posted: 27 Jun 2007 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 388 (115,463)
Citation 4

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density forecasts, structural change, model risk, parameter uncertainty, Bayesian learning, market returns

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Journal of Business and Economic Statistics, Vol. 27, No. 1, January 2009
Number of pages: 18 Posted: 06 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 54 (565,308)
Citation 1

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Bayesian Learning, Density Forecasts, Market Returns, Model Risk, Parameter Uncertainty, Structural Change

5.

Nonlinear Features of Realized FX Volatility

Downloads 400 (112,569)
Citation 27

Nonlinear Features of Realized FX Volatility

Rotman Working Paper No. 2000-01
Number of pages: 37 Posted: 24 Jul 2001
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 365 (123,916)
Citation 3

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high-frequency data, realized volatility, semi-Markov

Nonlinear Features of Realized Fx Volatility

Review of Economics and Statistics, Vol. 84, No. 4, November 2002
Number of pages: 14 Posted: 31 Dec 2001 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 35 (674,736)
Citation 3

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high-frequency data, realized volatility, semi-Markov

6.

Components of Market Risk and Return

Downloads 333 (138,096)

Components of Market Risk and Return

Journal of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 28 Jun 2007
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 333 (137,177)
Citation 1

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volatility components, long-run market risk premium, Realized Volatility

Components of Market Risk and Return

Journal of Financial Econometrics, Vol. 5, No. 4, pp. 560-590, 2007
Posted: 01 Jun 2009
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

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volatility components, long-run market risk premium, realized volatility

7.

Do Jumps Contribute to the Dynamics of the Equity Premium?

Journal of Financial Economics 110 (2013) 457-477, Available at: http://dx.doi.org/10.1016/j.jfineco.2013.07.006
Number of pages: 48 Posted: 25 Jun 2013 Last Revised: 21 Aug 2021
John M. Maheu, Thomas H. McCurdy and Xiaofei Zhao
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and Georgetown University - McDonough School of Business
Downloads 226 (204,494)
Citation 5

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Jumps, Higher-order moments, Skewness, Kurtosis, Equity Premium

8.

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Downloads 178 (253,905)

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Number of pages: 30 Posted: 01 Sep 2008
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 178 (253,927)
Citation 10

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RV, multiperiod, out-of-sample, term structure of density forecasts, observable SV

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Journal of Econometrics, Vol. 160, No. 1, 2011
Posted: 05 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

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Realized volatility, multiperiod out-of-sample prediction, term structure of density forecasts, stochastic volatility

9.

Modeling Foreign Exchange Rates with Jumps

FORECASTING IN THE PRESENCE OF STRUCTURAL BREAKS AND MODEL UNCERTAINTY, David E. Rapach, Mark E. Wohar, eds., Elsevier, Forthcoming
Number of pages: 34 Posted: 28 Jun 2007
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 169 (265,622)

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jump clustering, jump dynamics, MCMC, predictive likelihood, realized volatility, Bayesian model average

10.

Bayesian Semiparametric Stochastic Volatility Modeling

Federal Reserve Bank of Atlanta Working Paper No. 2008-15
Number of pages: 51 Posted: 02 Jul 2008
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 154 (287,070)
Citation 12

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Bayesian nonparametrics, Dirichlet process mixture prior, Markov chain Monte Carlo, mixture models, stochastic volatility

11.

Oil Price Shocks and Economic Growth: The Volatility Link

ShanghaiTech SEM Working Paper No. 2018-004
Number of pages: 40 Posted: 10 Apr 2018 Last Revised: 16 Oct 2019
John M. Maheu, Yong Song and Qiao Yang
McMaster University - Michael G. DeGroote School of Business, University of Melbourne and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 115 (358,741)

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Bayes factors, predictive likelihoods, nonlinear dynamics, density forecast

12.

Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis

FRB Atlanta Working Paper No. 2014-6
Number of pages: 38 Posted: 04 Apr 2015
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 90 (422,989)
Citation 3

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Dirichlet process prior, slice sampling, dependent Bayesian nonparametrics

13.

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

FRB Atlanta Working Paper Series No. 2012-6
Number of pages: 39 Posted: 16 May 2012
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 86 (434,811)
Citation 4

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Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, infinite mixture model, leverage effect, marginal likelihood, MCMC, non-normal, stochastic volatility, volatility-return relationship

14.

Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks

Number of pages: 26 Posted: 12 Nov 2011
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business
Downloads 86 (434,811)
Citation 2

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Market microstructure, Transaction horizon, High-frequency data, ACD, GARCH

15.

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Downloads 85 (437,914)
Citation 66

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Number of pages: 45 Posted: 05 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 85 (442,045)
Citation 66

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volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Journal of Finance, April 2004
Posted: 31 Jul 2003
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

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volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter

16.

Bayesian Semiparametric Multivariate GARCH Modeling

FRB Atlanta Working Paper Series No. 2012-9
Number of pages: 37 Posted: 08 Aug 2012
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 83 (444,136)
Citation 1

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Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, forecasting, infinite mixture model, MCMC, slice sampler

17.

An Infinite Hidden Markov Model with Stochastic Volatility

ShanghaiTech SEM Working Paper No. 2022-001
Number of pages: 40 Posted: 29 Mar 2022 Last Revised: 28 Nov 2022
Chenxing, John M. Maheu and Qiao Yang
Hunan University - Center for Economics, Finance and Management Studies, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 67 (500,314)

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Markov-switching, MCMC, Bayesian, nonparametric, semiparametric

18.

Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices

ShanghaiTech SEM Working Paper No. 2018-005
Number of pages: 36 Posted: 10 Apr 2018 Last Revised: 08 Nov 2018
Xin Jin, John M. Maheu and Qiao Yang
Shanghai University of Finance and Economics - School of Economics, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 58 (537,337)
Citation 6

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in finite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data

19.

Infinite Markov Pooling of Predictive Distributions

ShanghaiTech SEM Working Paper No. 2020-008
Number of pages: 31 Posted: 13 Jul 2020 Last Revised: 10 Dec 2021
Xin Jin, John M. Maheu and Qiao Yang
Shanghai University of Finance and Economics - School of Economics, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 43 (610,869)

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Prediction pools, Dirichlet process, Beam sampling, Infinite Markov switching, density forecast, short-term interest rates, realized covariance matrices

20.

Volatility Dynamics Under Duration-Dependent Mixing

Journal of Empirical Finance, Vol. 7, 2000
Number of pages: 28 Posted: 18 Apr 2002 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 39 (633,452)

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time-varying transition probabilities, discrete-state volatility dynamics, time-varying hazard function

21.

An Infinite Hidden Markov Model for Short-term Interest Rates

ShanghaiTech SEM Working Paper No. 2020-003
Number of pages: 34 Posted: 17 Jan 2020 Last Revised: 02 Mar 2020
John M. Maheu and Qiao Yang
McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
Downloads 37 (645,128)
Citation 1

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hierarchical Dirichlet process prior, beam sampling, Markov switching, MCMC

22.

The Role of Macro–Finance Factors in Predicting Market Volatility: A Latent Threshold Dynamic Model

Number of pages: 32 Posted: 13 Dec 2022
John M. Maheu and Azam Shamsi
McMaster University - Michael G. DeGroote School of Business and University of New Brunswick - Fredericton
Downloads 19 (777,518)

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Latent Thresholding, Time-Varying Parameters, Realized Volatility, Portfolio Allocation

23.

Forecasting Volatility in the Presence of Model Instability

Australian & New Zealand Journal of Statistics, Vol. 52, No. 2, pp. 221–237, 2010
Posted: 25 Aug 2010
Jonathan J. Reeves, John M. Maheu and Xuan Xie
UNSW Business School, University of New South Wales, McMaster University - Michael G. DeGroote School of Business and Commonwealth Bank of Australia

Abstract:

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high-frequency data, integrated volatility, realised volatility

24.

Are There Structural Breaks in Realized Volatility?

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 326-360, 2008
Posted: 17 Jun 2008
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business

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C22, C11, G10, change point, GARCH, Gibbs sampling, marginal likelihood, realized volatility

25.

Conditional Jump Dynamics in Stock Market Returns

Journal of Business & Economic Statistics, Vol. 20, pp. 377-389, 2002
Posted: 12 Apr 2005
Wing H. Chan and John M. Maheu
Wilfrid Laurier University - School of Business & Economics and McMaster University - Michael G. DeGroote School of Business

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Garch, autoregressive jump intensity