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Finite-sample inferences about mean-standard deviation
Gordon, Stephen F. - In: Economics letters 49 (1995) 3, pp. 295-300
Persistent link: https://www.econbiz.de/10001188141
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Integrating quarterly data into a dynamic factor model of US monthly GDP
Vlavonou, Firmin; Gordon, Stephen F. - In: Journal of forecasting 36 (2017) 4, pp. 325-336
Persistent link: https://www.econbiz.de/10011860413
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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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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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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
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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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Real time detection of structural breaks in GARCH models
He, Zhongfang; Maheu, John M. - 2009
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...
Persistent link: https://www.econbiz.de/10003933353
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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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Intraday dynamics of volatility and duration : evidence from Chinese stocks
Liu, Chun; Maheu, John M. - In: Pacific-Basin finance journal 20 (2012) 3, pp. 329-348
Persistent link: https://www.econbiz.de/10009532264