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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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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
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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/10001711218
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Nonlinear features of realized FX volatility
Maheu, John M. (contributor); McCurdy, Thomas H. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001699562
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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
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J. (contributor); Maheu, John M. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003732185
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Can GARCH models capture long-range dependence?
Maheu, John M. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10003283982
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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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Are there structural breaks in realized volatility?
Liu, Chun; Maheu, John M. - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 326-360
Persistent link: https://www.econbiz.de/10003748061