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

20

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3,602

CITATIONS
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Top 3,019

in Total Papers Citations

168

Scholarly Papers (20)

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1.

Identifying Bull and Bear Markets in Stock Returns

Downloads 1,196 ( 16,308)
Citation 16

Identifying Bull and Bear Markets in Stock Returns

Number of pages: 13 Posted: 19 Feb 1999
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 1,196 (15,993)
Citation 16

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Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, Vol. 18, No. 1, January 2000
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.

Nonlinear Features of Realized FX Volatility

Downloads 372 ( 78,401)
Citation 14

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 346 (84,465)
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 26 (495,783)
Citation 23

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high-frequency data, realized volatility, semi-Markov

3.

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

Downloads 363 ( 80,444)
Citation 4

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 189 (157,965)
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 174 (170,301)
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 344 ( 85,643)
Citation 11

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 305 (97,288)
Citation 5

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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 39 (432,218)
Citation 9

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

5.

Components of Market Risk and Return

Downloads 293 (102,118)
Citation 8

Components of Market Risk and Return

Journal of Financial Econometrics, Forthcoming
Number of pages: 35 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 293 (101,597)
Citation 8

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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

6.

Do Jumps Contribute to the Dynamics of the Equity Premium?

Journal of Financial Economics (JFE), Forthcoming, Rotman School of Management Working Paper No. 2284276
Number of pages: 48 Posted: 25 Jun 2013
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 - Robert Emmett McDonough School of Business
Downloads 171 (172,808)
Citation 9

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

7.

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

Downloads 156 (186,864)
Citation 29

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 156 (187,225)
Citation 29

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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

8.

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 142 (201,932)
Citation 2

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

9.

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 123 (226,020)
Citation 20

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

10.

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 80 (301,373)
Citation 1

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Dirichlet process prior, slice sampling, dependent Bayesian nonparametrics

11.

Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks

Number of pages: 26 Posted: 12 Nov 2011
Chun Liu and John M. Maheu
Tsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business
Downloads 73 (317,896)
Citation 1

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

12.

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 67 (333,091)
Citation 6

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

13.

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

Downloads 60 (352,318)
Citation 98

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 60 (357,308)
Citation 98

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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

14.

Oil Price Shocks and Economic Growth: The Volatility Link

ShanghaiTech SEM Working Paper No. 2018-004
Number of pages: 45 Posted: 10 Apr 2018 Last Revised: 08 May 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 56 (364,323)

Abstract:

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Bayes factors, predictive likelihoods, nonlinear dynamics, density forecast

15.

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 55 (367,505)
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

16.

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 34 (443,577)
Citation 4

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

17.

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 17 (532,650)
Citation 11

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

18.

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

19.

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 and John M. Maheu
Tsinghua 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

20.

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