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1

Identifying Bull and Bear Markets in Stock Returns

maheu, John M., McCurdy, Thomas H.

Journal:

Journal of Business and Economic Statistics

Year:

2000

Language:

english

File:

PDF, 913 KB

english, 2000

2

Intraday dynamics of volatility and duration: Evidence from Chinese stocks

Chun Liu, John M. Maheu

Journal:

Pacific-Basin Finance Journal

Year:

2012

Language:

english

File:

PDF, 486 KB

english, 2012

3

Conditional Jump Dynamics in Stock Market Returns

Chan, Wing H, Maheu, John M

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 398 KB

english, 2002

4

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

Maheu, John M., McCurdy, Thomas H., Song, Yong

Journal:

Journal of Business and Economic Statistics

Year:

2012

Language:

english

File:

PDF, 850 KB

english, 2012

5

Oil Price Shocks and Economic Growth: The Volatility Link

Maheu, John M., Song, Yong, Yang, Qiao

Journal:

SSRN Electronic Journal

Year:

2018

File:

PDF, 658 KB

2018

6

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

John M. Maheu, Thomas H. McCurdy

Journal:

The Journal of Finance

Year:

2004

Language:

english

File:

PDF, 239 KB

english, 2004

7

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

John M. Maheu and Thomas H. McCurdy

Journal:

The Journal of Finance

Year:

2004

Language:

english

File:

PDF, 3.78 MB

english, 2004

8

Do jumps contribute to the dynamics of the equity premium?

Maheu, John M., McCurdy, Thomas H., Zhao, Xiaofei

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 1.10 MB

english, 2013

9

Conditional Jump Dynamics in Stock Market Returns

Wing H. Chan and John M. Maheu

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 532 KB

english, 2002

10

An infinite hidden Markov model for short-term interest rates

Maheu, John M., Yang, Qiao

Journal:

Journal of Empirical Finance

Year:

2016

Language:

english

File:

PDF, 3.85 MB

english, 2016

11

Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks

Liu, Chun, Maheu, John M.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 217 KB

english, 2011

12

Oil price shocks and economic growth: The volatility link

Maheu, John M., Song, Yong, Yang, Qiao

Journal:

International Journal of Forecasting

Year:

2019

File:

PDF, 1.60 MB

2019

13

Learning, forecasting and structural breaks

John M. Maheu, Stephen Gordon

Journal:

Journal of Applied Econometrics

Year:

2008

Language:

english

File:

PDF, 762 KB

english, 2008

14

Forecasting realized volatility: a Bayesian model-averaging approach

Chun Liu, John M. Maheu

Journal:

Journal of Applied Econometrics

Year:

2009

Language:

english

File:

PDF, 261 KB

english, 2009

15

Real time detection of structural breaks in GARCH models

Zhongfang He, John M. Maheu

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.27 MB

english, 2010

16

Bayesian semiparametric stochastic volatility modeling

Mark J. Jensen, John M. Maheu

Journal:

Journal of Econometrics

Year:

2010

Language:

english

File:

PDF, 625 KB

english, 2010

17

Do high-frequency measures of volatility improve forecasts of return distributions?

John M. Maheu, Thomas H. McCurdy

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 367 KB

english, 2011

18

FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY

John M. Maheu, Jonathan J. Reeves, Xuan Xie

Journal:

Australian & New Zealand Journal of Statistics

Year:

2010

Language:

english

File:

PDF, 510 KB

english, 2010

19

A preliminary study of medial temporal lobe function in youths with a history of caregiver deprivation and emotional neglect

Françoise S. Maheu, Mary Dozier, Amanda E. Guyer, Darcy Mandell, Elizabeth Peloso, Kaitlin Poeth, Jessica Jenness, Jennifer Y. F. Lau, John P. Ackerman, Daniel S. Pine, Monique Ernst

Journal:

Cognitive, Affective, & Behavioral Neuroscience

Year:

2010

Language:

english

File:

PDF, 912 KB

english, 2010

20

Volatility dynamics under duration-dependent mixing

John M. Maheu, Thomas H. McCurdy

Journal:

Journal of Empirical Finance

Year:

2000

Language:

english

File:

PDF, 311 KB

english, 2000

21

Nonlinear Features of Realized FX Volatility

Maheu, John M., McCurdy, Thomas H.

Journal:

Review of Economics and Statistics

Year:

2002

Language:

english

File:

PDF, 162 KB

english, 2002

22

Bayesian semiparametric multivariate GARCH modeling

Jensen, Mark J., Maheu, John M.

Journal:

Journal of Econometrics

Year:

2013

Language:

english

File:

PDF, 1.21 MB

english, 2013

23

Identifying Bull and Bear Markets in Stock Returns

John M. Maheu and Thomas H. McCurdy

Journal:

Journal of Business and Economic Statistics

Year:

2000

Language:

english

File:

PDF, 478 KB

english, 2000

24

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

Burda, Martin, Maheu, John M.

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2013

Language:

english

File:

PDF, 4.87 MB

english, 2013

25

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

Maheu, John M., Song, Yong

Journal:

International Journal of Forecasting

Year:

2014

Language:

english

File:

PDF, 492 KB

english, 2014

26

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

Jensen, Mark J., Maheu, John M.

Journal:

Journal of Econometrics

Year:

2014

Language:

english

File:

PDF, 1.61 MB

english, 2014

27

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

Maheu, John M., McCurdy, Thomas H.

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 395 KB

english, 2009

28

Stressed log bridges

Bakht, Baidar, Maheu, John, Bolshakova, Tatiana

Journal:

Canadian Journal of Civil Engineering

Year:

1996

Language:

english

File:

PDF, 1001 KB

english, 1996

29

Learning, Forecasting and Structural Breaks

John M. Maheu and Stephen Gordon

Journal:

Journal of Applied Econometrics

Year:

2008

Language:

english

File:

PDF, 3.80 MB

english, 2008

30

Comments on the discordant recommendations for the use of symptomatic slow-acting drugs in knee osteoarthritis

Reginster, Jean-Yves, Cooper, Cyrus, Hochberg, Marc, Pelletier, Jean-Pierre, Rizzoli, René, Kanis, John, Abadie, Eric, Maheu, Emmanuel, Brandi, Maria Luisa, Devogelaer, Jean-Pierre, Branco, Jaime, Her

Journal:

Current Medical Research and Opinion

Year:

2015

Language:

english

File:

PDF, 169 KB

english, 2015

31

A consensus statement on the European Society for Clinical and Economic Aspects of Osteoporosis and Osteoarthritis (ESCEO) algorithm for the management of knee osteoarthritis—From evidence-based medicine to the real-life setting

Bruyère, Olivier, Cooper, Cyrus, Pelletier, Jean-Pierre, Maheu, Emmanuel, Rannou, François, Branco, Jaime, Luisa Brandi, Maria, Kanis, John A., Altman, Roy D., Hochberg, Marc C., Martel-Pelletier, Joh

Journal:

Seminars in Arthritis and Rheumatism

Year:

2015

Language:

english

File:

PDF, 483 KB

english, 2015

32

Diacerein: Benefits, Risks and Place in the Management of Osteoarthritis. An Opinion-Based Report from the ESCEO

Pavelka, Karel, Bruyère, Olivier, Cooper, Cyrus, Kanis, John A., Leeb, Burkhard F., Maheu, Emmanuel, Martel-Pelletier, Johanne, Monfort, Jordi, Pelletier, Jean-Pierre, Rizzoli, René, Reginster, Jean-Y

Journal:

Year:

2016

Language:

english

File:

PDF, 652 KB

english, 2016

33

Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin, Maheu, John M.

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 1.07 MB

english, 2016

34

Modeling covariance breakdowns in multivariate GARCH

Jin, Xin, Maheu, John M.

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 1.23 MB

english, 2016

35

Special issue on Bayesian econometrics

Bauwens, Luc, Koop, Gary, Maheu, John, Omori, Yasuhiro

Journal:

Computational Statistics & Data Analysis

Year:

2016

Language:

english

File:

PDF, 298 KB

english, 2016

36

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

John M. Maheu and Thomas H. McCurdy

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 2.49 MB

english, 2009

37

Forecasting Realized Volatility: A Bayesian Model-Averaging Approach

Chun Liu and John M. Maheu

Journal:

Journal of Applied Econometrics

Year:

2009

Language:

english

File:

PDF, 2.40 MB

english, 2009

38

Nonlinear Features of Realized FX Volatility

John M. Maheu and Thomas H. McCurdy

Journal:

Review of Economics and Statistics

Year:

2002

Language:

english

File:

PDF, 707 KB

english, 2002

39

Erratum to: Diacerein: Benefits, Risks and Place in the Management of Osteoarthritis. An Opinion-Based Report from the ESCEO

Pavelka, Karel, Bruyère, Olivier, Cooper, Cyrus, Kanis, John A., Leeb, Burkhard F., Maheu, Emmanuel, Martel-Pelletier, Johanne, Monfort, Jordi, Pelletier, Jean-Pierre, Rizzoli, René, Reginster, Jean-Y

Journal:

Year:

2017

Language:

english

File:

PDF, 332 KB

english, 2017

40

An efficient Bayesian approach to multiple structural change in multivariate time series

Maheu, John M., Song, Yong

Journal:

Journal of Applied Econometrics

Year:

2017

Language:

english

File:

PDF, 2.20 MB

english, 2017

41

Improving Markov switching models using realized variance

Liu, Jia, Maheu, John M.

Journal:

Journal of Applied Econometrics

Year:

2017

Language:

english

File:

PDF, 1.45 MB

english, 2017

42

Can GARCH Models Capture Long-Range Dependence?

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2005

Language:

english

File:

PDF, 854 KB

english, 2005

43

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

Maheu, John M., McCurdy, Thomas H.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 337 KB

english, 2003

44

Nonlinear Features of Realized FX Volatility

Maheu, John M., McCurdy, Thomas H.

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 466 KB

english, 2001

45

[Frontiers of Economics and Globalization] Forecasting in the Presence of Structural Breaks and Model Uncertainty Volume 3 || Chapter 12 Modeling Foreign Exchange Rates with Jumps

Year:

2008

Language:

english

File:

PDF, 273 KB

english, 2008

46

Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis

Jensen, Mark J., Maheu, John M.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.21 MB

english, 2014

47

Special issue on Risk management

Maheu, John M., Paolella, Marc, Siu, Tak Kuen, So, Mike K.P.

Journal:

Econometrics and Statistics

Year:

2018

Language:

english

File:

PDF, 415 KB

english, 2018

48

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

Jensen, Mark J., Maheu, John M.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 814 KB

english, 2012

49

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

Maheu, John M., McCurdy, Thomas H.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 329 KB

english, 2008

50

Identifying Bull and Bear Markets in Stock Returns

Maheu, John M., McCurdy, Thomas H.

Journal:

SSRN Electronic Journal

Year:

1999

Language:

english

File:

PDF, 1.06 MB

english, 1999