John Maheu - McMaster Experts

Affiliations

Distinguished Business Research Professor, DeGroote School of Business, McMaster University
Professor, Finance & Business Economics, DeGroote School of Business
Finance & Business Economics (Internal), DeGroote School of Business

Scholarly Activity in McMaster Experts

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selected scholarly activity

chapters
- Applications in Finance. 407-437. 2019
journal articles
- An infinite hidden Markov model with stochastic volatility. Journal of Forecasting. 43:2187-2211. 2024
- Identification and forecasting of bull and bear markets using multivariate returns. Journal of applied econometrics. 39:723-745. 2024
- Bayesian forecasting in economics and finance: A modern review. International Journal of Forecasting. 40:811-839. 2024
- A multivariate GARCH–jump mixture model. Journal of Forecasting. 43:182-207. 2024
- Infinite Markov pooling of predictive distributions. Journal of Econometrics. 228:302-321. 2022
- Bull and bear markets during the COVID-19 pandemic. Finance Research Letters. 42:102091-102091. 2021
- Special issue on risk management. Econometrics and Statistics. 8:159-160. 2018
- Improving Markov switching models using realized variance. Journal of applied econometrics. 33:297-318. 2018
- An efficient Bayesian approach to multiple structural change in multivariate time series. Journal of applied econometrics. 33:251-270. 2018
- Special issue on Bayesian econometrics. Computational Statistics and Data Analysis. 100:794-794. 2016
- Bayesian semiparametric modeling of realized covariance matrices. Journal of Econometrics. 192:19-39. 2016
- An infinite hidden Markov model for short-term interest rates 2016
- Modeling covariance breakdowns in multivariate GARCH 2016
- CFEnetwork: The Annals of Computational and Financial Econometrics. Computational Statistics and Data Analysis. 76:1-3. 2014
- A new structural break model, with an application to Canadian inflation forecasting 2014
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 2014
- Do jumps contribute to the dynamics of the equity premium?. Journal of Financial Economics. 110:457-477. 2013
- Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models. Studies in Nonlinear Dynamics and Econometrics. 17:345-372. 2013
- Modeling Realized Covariances and Returns. Journal of Financial Econometrics. 11:335-369. 2013
- Bayesian semiparametric multivariate GARCH modeling 2013
- Components of Bull and Bear Markets: Bull Corrections and Bear Rallies. Journal of business & economic statistics. 30:391-403. 2012
- Intraday dynamics of volatility and duration: Evidence from Chinese stocks 2012
- Do high-frequency measures of volatility improve forecasts of return distributions? 2011
- Real time detection of structural breaks in GARCH models 2010
- Bayesian semiparametric stochastic volatility modeling 2010
- FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY. Australian and New Zealand Journal of Statistics. 52:221-237. 2010
- Forecasting realized volatility: a Bayesian model-averaging approach. Journal of applied econometrics. 24:709-733. 2009
- How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?. Journal of business & economic statistics. 27:95-112. 2009
- Learning, forecasting and structural breaks. Journal of applied econometrics. 23:553-583. 2008
- Components of Market Risk and Return. Journal of Financial Econometrics. 5:560-590. 2007
- Can GARCH Models Capture Long-Range Dependence?. Studies in Nonlinear Dynamics and Econometrics. 9. 2005
- News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns. Journal of Finance. 59:755-793. 2004
- Nonlinear Features of Realized FX Volatility. Review of Economics and Statistics. 84:668-681. 2002
- Conditional Jump Dynamics in Stock Market Returns. Journal of business & economic statistics. 20:377-389. 2002
- Volatility dynamics under duration-dependent mixing. Journal of Empirical Finance. 7:345-372. 2000
- Identifying Bull and Bear Markets in Stock Returns. Journal of business & economic statistics. 18:100-112. 2000
- Identifying Bull and Bear Markets in Stock Returns. Journal of business & economic statistics. 18:100-100. 2000
- Are There Structural Breaks in Realized Volatility?. Journal of Financial Econometrics. 6:326-360.
preprints
scholarly editions
- Bayesian Nonparametric Estimation ofEx PostVariance. Journal of Financial Econometrics. 823-859. 2021
- Nonparametric Dynamic Conditional Beta. Journal of Financial Econometrics. 583-613. 2021
- Oil price shocks and economic growth: The volatility link. International Journal of Forecasting. 570-587. 2020
- Bayesian parametric and semiparametric factor models for large realized covariance matrices. Journal of applied econometrics. 641-660. 2019
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. Journal of Risk and Financial Management. 52-52. 2018
- Improving Markov switching models using realized variance. Journal of applied econometrics. 297-318. 2018
- An efficient Bayesian approach to multiple structural change in multivariate time series. Journal of applied econometrics. 251-270. 2018
- Oil Price Shocks and Economic Growth: The Volatility Link 2018
- Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices 2017
- An infinite hidden Markov model for short-term interest rates. Journal of Empirical Finance. 202-220. 2016
- Modeling covariance breakdowns in multivariate GARCH. Journal of Econometrics. 1-23. 2016
- Modeling Covariance Breakdowns in Multivariate GARCH 2014
- A new structural break model, with an application to Canadian inflation forecasting. International Journal of Forecasting. 144-160. 2014
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture. Journal of Econometrics. 523-538. 2014
- Bayesian semiparametric multivariate GARCH modeling. Journal of Econometrics. 3-17. 2013
- Modeling Realized Covariances and Returns. Journal of Financial Econometrics. 335-369. 2013
- Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models. Studies in Nonlinear Dynamics and Econometrics. 345-372. 2013
- Components of Bull and Bear Markets: Bull Corrections and Bear Rallies. Journal of business & economic statistics. 391-403. 2012
- Intraday dynamics of volatility and duration: Evidence from Chinese stocks. Pacific Basin Finance Journal. 329-348. 2012
- A New Structural Break Model with Application to Canadian Inflation Forecasting 2012
- Bayesian semiparametric multivariate GARCH modeling 2012
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture 2012
- Do high-frequency measures of volatility improve forecasts of return distributions?. Journal of Econometrics. 69-76. 2011
- Real time detection of structural breaks in GARCH models. Computational Statistics and Data Analysis. 2628-2640. 2010
- Bayesian semiparametric stochastic volatility modeling. Journal of Econometrics. 306-316. 2010
- Modelling Realized Covariances 2009
- Extracting bull and bear markets from stock returns 2009
- Forecasting realized volatility: a Bayesian model‐averaging approach. Journal of applied econometrics. 709-733. 2009
- How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?. Journal of business & economic statistics. 95-112. 2009
- Real Time Detection of Structural Breaks in GARCH Models 2009
- Learning, forecasting and structural breaks. Journal of applied econometrics. 553-583. 2008
- Are There Structural Breaks in Realized Volatility?. Journal of Financial Econometrics. 326-360. 2008
- Improving Forecasts of Inflation using the Term Structure of Interest Rates 2008
- A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 2008
- Bayesian semiparametric stochastic volatility modeling 2008
- Chapter 12 Modeling Foreign Exchange Rates with Jumps. Frontiers of Economics and Globalization. 449-475. 2008
- Learning, Forecasting and Structural Breaks 2004
- News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 2003
- Nonlinear Features of Realized FX Volatility 2001
- A Semi-Markov Approach to Modeling Volatility Dynamics. 1999
- A New Structural Break Model with Application to Canadian Inflation Forecasting
- An Infinite Hidden Markov Model for Short-term Interest Rates
- Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
- Bayesian Semiparametric Modeling of Realized Covariance Matrices
- Bayesian Semiparametric Modeling of Realized Covariance Matrices
- Bayesian Semiparametric Multivariate GARCH Modeling
- Bayesian Semiparametric Stochastic Volatility Modeling
- Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
- Do Jumps Contribute to the Dynamics of the Equity Premium?
- Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
- How useful are historical data for forecasting the long-run equity return distribution?
- Modelling Realized Covariances and Returns
- Modelling Realized Covariances and Returns
- Oil Price Shocks and Economic Growth: The Volatility Link
- Real Time Detection of Structural Breaks in GARCH Models
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
- Volatility Dynamics Under Duration-Dependent Mixing