John M. Maheu

Available identifiers

zbMath Open maheu.john-mMaRDI QIDQ250868

List of research outcomes

Publication	Date of Publication	Type
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models	2023-03-13	Paper
Infinite Markov pooling of predictive distributions	2022-06-09	Paper
https://portal.mardi4nfdi.de/entity/Q5242733	2019-11-12	Paper
Do high-frequency measures of volatility improve forecasts of return distributions?	2016-08-10	Paper
Bayesian semiparametric stochastic volatility modeling	2016-08-04	Paper
Modeling covariance breakdowns in multivariate GARCH	2016-07-27	Paper
FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY	2016-06-01	Paper
Bayesian semiparametric modeling of realized covariance matrices	2016-03-01	Paper
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture	2014-08-07	Paper
Real time detection of structural breaks in GARCH models	2014-04-14	Paper
Bayesian semiparametric multivariate GARCH modeling	2014-04-04	Paper
Can GARCH Models Capture Long-Range Dependence?	2006-01-27	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
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