John M. Maheu

发表

Computational Statistics and Data Analysis Real Time Detection of Structural Breaks in Garch Models

Zhongfang He, John M. Maheu, J. Maheu, 2022 .

Stressed log bridges

Baidar Bakht, John M. Maheu, Tatiana Bolshakova, 1996 .

An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series

Yong Song, John M. Maheu, J. Maheu, 2018 .

Special issue on risk management

Tak Kuen Siu, Marc S. Paolella, John M. Maheu, 2018 .

Special issue on Bayesian econometrics

Gary Koop, Yasuhiro Omori, Luc Bauwens, 2016, Comput. Stat. Data Anal..

Learning, Forecasting and Structural Breaks

Stephen Gordon, John M. Maheu, J. Maheu, 2008 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

A new structural break model, with an application to Canadian inflation forecasting

John M. Maheu, Yong Song, 2012 .

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2003 .

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2008 .

Bayesian semiparametric modeling of realized covariance matrices

John M. Maheu, J. Maheu, Xin Jin, 2016 .

Improving Markov switching models using realized variance

John M. Maheu, Jia Liu, J. Maheu, 2018 .

Modeling Realized Covariances and Returns

John M. Maheu, J. Maheu, Xin Jin, 2013 .

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2009 .

An infinite hidden Markov model for short-term interest rates

John M. Maheu, J. Maheu, Qiao Yang, 2015 .

Semiparametric Asymmetric Stochastic Volatility

Mark J. Jensen, John M. Maheu, J. Maheu, 2011 .

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2007 .