John M Maheu
McMaster University
H-index: 24
North America-Canada
Top articles of John M Maheu
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
A multivariate GARCH–jump mixture model | Journal of Forecasting | Chenxing Li John M Maheu | 2024/1 |
Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation? | Chenxing Li John M Maheu | 2023/9/11 | |
Bayesian forecasting in economics and finance: a modern review | Gael M Martin David T Frazier Worapree Maneesoonthorn Ruben Loaiza-Maya Florian Huber | 2023/7/18 | |
Identification and forecasting of bull and bear markets using multivariate returns | Journal of Applied Econometrics | Jia Liu John M Maheu Yong Song | 2023 |
The Role of Macro–Finance Factors in Predicting Market Volatility: A Latent Threshold Dynamic Model | Available at SSRN 4293702 | John M Maheu Azam Shamsi | 2023 |
An Infinite Hidden Markov Model with Stochastic Volatility | Journal of Forecasting | Chenxing Li John M Maheu Qiao Yang | 2022/3/29 |
Infinite Markov pooling of predictive distributions | Journal of Econometrics | Xin Jin John M Maheu Qiao Yang | 2022/6/1 |
Bayesian Forecasting in the 21st Century: A Modern Review | Gael M Martin David T Frazier Ruben Loaiza-Maya Florian Huber Gary Koop | 2022/12/7 | |
Nonparametric dynamic conditional beta | Journal of Financial Econometrics | John M Maheu Azam Shamsi Zamenjani | 2021/12/1 |
Bayesian Nonparametric Estimation of Ex Post Variance | Journal of Financial Econometrics | Jim Griffin Jia Liu John M Maheu | 2021/12/1 |
Bull and bear markets during the COVID-19 pandemic | Finance Research Letters | John M Maheu Thomas H McCurdy Yong Song | 2021/10/1 |
A Bayesian Semiparametric Stochastic Volatility Model with Markovian Mixtures | Chenxing Li John M Maheu Qiao Yang | 2020/3/7 |
Co-Authors
