John M. Maheu

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies Journal of Business and Economic Statistics	2025-01-20	Paper
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models Studies in Nonlinear Dynamics & Econometrics	2023-03-13	Paper
Infinite Markov pooling of predictive distributions Journal of Econometrics	2022-06-09	Paper
Applications in finance	2019-11-12	Paper
Do high-frequency measures of volatility improve forecasts of return distributions? Journal of Econometrics	2016-08-10	Paper
Bayesian semiparametric stochastic volatility modeling Journal of Econometrics	2016-08-04	Paper
Modeling covariance breakdowns in multivariate GARCH Journal of Econometrics	2016-07-27	Paper
Forecasting volatility in the presence of model instability Australian & New Zealand Journal of Statistics	2016-06-01	Paper
Bayesian semiparametric modeling of realized covariance matrices Journal of Econometrics	2016-03-01	Paper
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture Journal of Econometrics	2014-08-07	Paper
Real time detection of structural breaks in GARCH models Computational Statistics and Data Analysis	2014-04-14	Paper
Bayesian semiparametric multivariate GARCH modeling Journal of Econometrics	2014-04-04	Paper
Can GARCH Models Capture Long-Range Dependence? Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper

Research outcomes over time

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