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Forecasting model
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Maheu, John M.
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Journal of econometrics
3
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22-327
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ECONIS (ZBW)
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1
Forecasting volatility : roles of sampling frequency and forecasting horizon
Chan, Wing Hong
;
Cheng, Xin
;
Fung, Joseph K. W.
- In:
The journal of futures markets
30
(
2010
)
12
,
pp. 1167-1191
Persistent link: https://www.econbiz.de/10008901291
Saved in:
2
The economic value of using realized volatility in forecasting future implied volatility
Chan, Wing Hong
;
Jha, Ranjini
;
Kalimipalli, Madhu
- In:
The journal of financial research
32
(
2009
)
3
,
pp. 231-259
Persistent link: https://www.econbiz.de/10003966444
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3
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/10003805430
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4
Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun
;
Maheu, John M.
- In:
Journal of applied econometrics
24
(
2009
)
5
,
pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
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5
Components of market risk and return
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 560-590
Persistent link: https://www.econbiz.de/10003570729
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6
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. 69-76
Persistent link: https://www.econbiz.de/10009242544
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7
A new structural break model, with an application to Canadian inflation forecasting
Maheu, John M.
;
Song, Yong
- In:
International journal of forecasting
30
(
2013
)
1
,
pp. 144-160
Persistent link: https://www.econbiz.de/10010246985
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8
Learning, forecasting and structural breaks
Maheu, John M.
;
Gordon, Stephen F.
- In:
Journal of applied econometrics
23
(
2008
)
5
,
pp. 553-583
Persistent link: https://www.econbiz.de/10003760413
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9
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. 755-793
Persistent link: https://www.econbiz.de/10002013824
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10
Oil price shocks and economic growth : the volatility link
Maheu, John M.
;
Song, Yong
;
Yang, Qiao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 570-587
Persistent link: https://www.econbiz.de/10012415259
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