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Maheu, John M.
16
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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OLC EcoSci
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News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
Maheu, John M.
;
Mccurdy, Thomas H.
- In:
The journal of finance : the journal of the American …
59
(
2004
)
2
,
pp. 755-794
Persistent link: https://www.econbiz.de/10006551775
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2
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
1
,
pp. 95-112
Persistent link: https://www.econbiz.de/10008169727
Saved in:
3
Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 69-77
Persistent link: https://www.econbiz.de/10008770553
Saved in:
4
Journal of Business & Economic Statistics - Identifying Bull and Bear Markets in Stock Returns
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 100-112
Persistent link: https://www.econbiz.de/10008217985
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5
Do jumps contribute to the dynamics of the equity premium?
Maheu, John M.
;
McCurdy, Thomas H.
;
Zhao, Xiaofei
- In:
Journal of financial economics
110
(
2013
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10010186208
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6
NONLINEAR FEATURES OF REALIZED FX VOLATILITY
Maheu, John M.
;
Mccurdy, Thomas H.
- In:
The review of economics and statistics
84
(
2002
)
4
,
pp. 668-681
Persistent link: https://www.econbiz.de/10006372782
Saved in:
7
Volatility dynamics under duration-dependent mixing
Maheu, John M.
;
Mccurdy, Thomas H.
- In:
Journal of empirical finance
7
(
2000
)
3
,
pp. 345-372
Persistent link: https://www.econbiz.de/10007241087
Saved in:
8
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
Maheu, John M.
;
McCurdy, Thomas H.
;
Song, Yong
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
3
,
pp. 391-404
Persistent link: https://www.econbiz.de/10009995981
Saved in:
9
An international economy with country-specific money and productivity growth processes
Ricketts, Nicholas
;
McCurdy, Thomas H.
- In:
The Canadian journal of economics
28
(
1995
),
pp. S141
Persistent link: https://www.econbiz.de/10007328609
Saved in:
10
Forecasting realized volatility: a Bayesian model-averaging approach
Liu, Chun
;
Maheu, John M.
- In:
Journal of applied econometrics
24
(
2009
)
5
,
pp. 709-734
Persistent link: https://www.econbiz.de/10008275186
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