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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. 709-734
Persistent link: https://www.econbiz.de/10008275186
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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/10008169727
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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
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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-317
Persistent link: https://www.econbiz.de/10008433400
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The 2001 JBES Invited Paper - Conditional Jump Dynamics in Stock Market Returns
Chan, Wing H.; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389
Persistent link: https://www.econbiz.de/10008216265
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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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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 176 (2013) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10010131790
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Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
Burda, Martin; Maheu, John M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 345-372
Persistent link: https://www.econbiz.de/10010185639
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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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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