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Risk, Return, and Volatility Feedback : A Bayesian Nonparametric Analysis

Jensen, Mark J. - 2015

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Persistent link: https://www.econbiz.de/10013026110

Conditional jump dynamics in stock market returns

Chan, Wing Hong; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389

Persistent link: https://www.econbiz.de/10001695284

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

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

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

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/10010208659

Modeling realized covariances and returns

Jin, Xin; Maheu, John M. - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 335-369

Persistent link: https://www.econbiz.de/10009745817

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/10001441612

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

A multivariate GARCH-jump mixture model

Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207

Persistent link: https://www.econbiz.de/10014443194