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J

John M. Maheu

mcmaster university

24H指数
110论文数
2.3K被引数
收录论文 16
发表时间
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Modeling ex post variance jumps: implications for density and tail risk forecasting建模事后方差跳跃：对密度和尾部风险预测的启示
errQUANTITATIVE FINANCE
IF1.4
err2025-11-01
err0
PREAI
errMaheu, John M.; Nikolakopoulos, Efthimios
err分享
err收藏
An infinite hidden Markov model with stochastic volatility
errJOURNAL OF FORECASTING
IF2.7
err2024-04-02
err2
PREAI
errLi, Chenxing; Maheu, John M.; Yang, Qiao
err分享
err收藏
Bayesian forecasting in economics and finance: A modern review
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2024-04-01
err5
errOAAI
errMartin, Gael M.; Frazier, David T.; Maneesoonthorn, Worapree; Loaiza-Maya, Ruben; Huber, Florian; Koop, Gary; Maheu, John; Nibbering, Didier; Panagiotelis, Anastasios
err分享
err收藏
A multivariate GARCH-jump mixture model
errJOURNAL OF FORECASTING
IF2.7
err2023-09-11
err1
errOAAI
errLi, Chenxing; Maheu, John M.
err分享
err收藏
Infinite Markov pooling of predictive distributions
errJOURNAL OF ECONOMETRICS
IF4
err2022-06-01
err3
PREAI
errJin, Xin; Maheu, John M.; Yang, Qiao
err分享
err收藏
Oil price shocks and economic growth: The volatility link
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2020-04-01
err32
errOAAI
errMaheu, John M.; Song, Yong; Yang, Qiao
err分享
err收藏
Modeling covariance breakdowns in multivariate GARCH
errJOURNAL OF ECONOMETRICS
IF4
err2016-09-01
err6
errOAAI
errJin, Xin; Maheu, John M.
err分享
err收藏
Bayesian semiparametric modeling of realized covariance matrices
errJOURNAL OF ECONOMETRICS
IF4
err2016-05-01
err22
errOAAI
errJin, Xin; Maheu, John M.
err分享
err收藏
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture具有Dirichlet过程混合的半参数非对称随机波动率模型的估计
errJOURNAL OF ECONOMETRICS
IF4
err2014-01-01
err38
errOAAI
errJensen, Mark J.; Maheu, John M.
err分享
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A new structural break model, with an application to Canadian inflation forecasting
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2014-01-01
err10
errOAAI
errMaheu, John M.; Song, Yong
err分享
err收藏
Do jumps contribute to the dynamics of the equity premium?
errJOURNAL OF FINANCIAL ECONOMICS
IF12
err2013-11-01
err32
errOAAI
errMaheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei
err分享
err收藏
Bayesian semiparametric multivariate GARCH modeling
errJOURNAL OF ECONOMETRICS
IF4
err2013-09-01
err28
errOAAI
errJensen, Mark J.; Maheu, John M.
err分享
err收藏
Do high-frequency measures of volatility improve forecasts of return distributions?
errJOURNAL OF ECONOMETRICS
IF4
err2011-01-01
err80
errOAAI
errMaheu, John M.; McCurdy, Thomas H.
err分享
err收藏
Bayesian semiparametric stochastic volatility modeling贝叶斯半参数随机波动率建模
errJOURNAL OF ECONOMETRICS
IF4
err2010-08-01
err71
errOAAI
errJensen, Mark J.; Maheu, John M.
err分享
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News arrival, jump dynamics, and volatility components for individual stock returns
errJOURNAL OF FINANCE
IF9.5
err2004-03-25
err356
errOAAI
errMaheu, JM; McCurdy, TH
err分享
err收藏
Nonlinear features of realized FX volatility
errREVIEW OF ECONOMICS AND STATISTICS
IF6.8
err2002-11-01
err59
errOAAI
errMaheu, JM; McCurdy, TH
err分享
err收藏

研究方向

暂时未获取到该数据
合作学者
合作期刊
G
Gary Koop
H 指数: 58 · 论文数: 402
赵
赵晓飞 (Xiaofei Zhao)
H 指数: 30 · 论文数: 103
F
Florian Huber
H 指数: 28 · 论文数: 292
T
Thomas H. McCurdy
H 指数: 18 · 论文数: 72
A
Anastasios Panagiotelis
H 指数: 17 · 论文数: 54
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