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Components of bull and bear markets : bull corrections and bear rallies
Maheu, John M.; McCurdy, Thomas H.; Song, Yong - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 3, pp. 391-403
Persistent link: https://www.econbiz.de/10009657266
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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. 69-76
Persistent link: https://www.econbiz.de/10009242544
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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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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
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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/10009787988
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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
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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/10009764412
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Risk, return, and volatility feedback : a Bayesian nonparametric analysis
Jensen, Mark J.; Maheu, John M. - 2014
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/10010365633
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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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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874