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/

SCHOLARLY PAPERS

18

DOWNLOADS
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3,244

CITATIONS
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SSRN RANKINGS

Top 3,483

in Total Papers Citations

155

Scholarly Papers (18)

1.
Downloads 1,143 ( 13,401)
Citation 35

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 1,143 (13,121)
Citation 35

Abstract:

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

Abstract:

high-frequency data, realized volatility, semi-Markov

2.
Downloads 358 ( 65,050)
Citation 17

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 337 (69,303)
Citation 17

Abstract:

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 21 (438,681)
Citation 17

Abstract:

high-frequency data, realized volatility, semi-Markov

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 169 (141,730)
Citation 2

Abstract:

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 159 (149,625)
Citation 2

Abstract:

predictive density, long-horizon returns, Markov switching

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 286 (83,532)
Citation 7

Abstract:

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 38 (360,145)
Citation 7

Abstract:

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

5.
Downloads 274 ( 88,024)
Citation 5

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 274 (87,554)
Citation 5

Abstract:

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

Abstract:

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

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 142 (164,853)
Citation 9

Abstract:

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

Abstract:

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

7.

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 University of Texas at Dallas - Naveen Jindal School of Management
Downloads 135 (171,221)

Abstract:

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

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 128 (171,221)
Citation 4

Abstract:

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 109 (196,303)
Citation 3

Abstract:

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

10.

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 54 (287,364)

Abstract:

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

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 51 (292,069)

Abstract:

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

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 50 (320,907)
Citation 67

Abstract:

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

Abstract:

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

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 39 (333,378)

Abstract:

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

14.

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 38 (280,323)

Abstract:

Dirichlet process prior, slice sampling, dependent Bayesian nonparametrics

15.

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 10 (460,360)
Citation 6

Abstract:

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

16.

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:

high-frequency data, integrated volatility, realised volatility

17.

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

Abstract:

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

18.

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

Abstract:

Garch, autoregressive jump intensity