John M. Maheu : Citation Profile


Are you John M. Maheu?

McMaster University (95% share)
Rimini Centre for Economic Analysis (RCEA) (5% share)

15

H index

18

i10 index

908

Citations

RESEARCH PRODUCTION:

29

Articles

61

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 43
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 45 (4.72 %)

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   Permalink: http://citec.repec.org/pma144
   Updated: 2021-10-16    RAS profile: 2021-01-11    
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Relations with other researchers


Works with:

Song, Yong (5)

McCurdy, Tom (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with John M. Maheu.

Is cited by:

Sévi, Benoît (20)

Ielpo, Florian (18)

Omori, Yasuhiro (18)

Bauwens, Luc (16)

Gallo, Giampiero (14)

Bollerslev, Tim (13)

Otranto, Edoardo (13)

Andersen, Torben (13)

Santucci de Magistris, Paolo (13)

Chevallier, Julien (12)

Christoffersen, Peter (12)

Cites to:

Bollerslev, Tim (47)

Andersen, Torben (40)

Shephard, Neil (34)

Diebold, Francis (31)

Bauwens, Luc (23)

Engle, Robert (22)

McCurdy, Tom (20)

Timmermann, Allan (19)

Hansen, Peter (17)

Lunde, Asger (16)

Tauchen, George (15)

Main data


Where John M. Maheu has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Applied Econometrics3
Journal of Financial Econometrics3
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis17
MPRA Paper / University Library of Munich, Germany14
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4

Recent works citing John M. Maheu (2021 and 2020)


YearTitle of citing document
2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios. In: Papers. RePEc:arx:papers:2011.03741.

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2020Trademark filings and patent application count time series are structurally near-identical and cointegrated: Implications for studies in innovation. (2020). Daizadeh, Iraj. In: Papers. RePEc:arx:papers:2012.10400.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2021Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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2021Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey. (2021). Bozma, Gurkan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00827.

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2021Effects of Crude Oil Prices Volatility, the Internet and Inflation on Economic Growth in ASEAN-5 Countries: A Panel Autoregressive Distributed Lag Approach. (2021). Tajuddin, Tajuddin ; Rosnawintang, Rosnawintang ; Saidi, La Ode ; Pasrun, Yuwanda Purnamasari ; Adam, Pasrun. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-3.

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2021A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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2020Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899.

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2020The contagion effects of volatility indices across the U.S. and Europe. (2020). Huang, Tze-Chin ; Chiang, Shu-Mei ; Chen, Chun-Da. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301315.

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2020Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

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2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. (2021). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2021Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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2021Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

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2020Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020How do Chinas petrochemical markets react to oil price jumps? A comparative analysis of stocks and commodities. (2020). Zhang, Chuanguo ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303194.

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2021Examining the dynamic effect of COVID-19 pandemic on dwindling oil prices using structural vector autoregressive model. (2021). Adam, Shehu U ; Ahmed, Funmilola F ; Adedeji, Abdulkabir N. In: Energy. RePEc:eee:energy:v:230:y:2021:i:c:s0360544221010616.

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2020Does Bitcoin still own the dominant power? An intraday analysis. (2020). Ngene, Geoffrey M ; Wang, Jinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952.

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2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2021Volatility jumps and their determinants in REIT returns. (2021). Odusami, Babatunde O. In: Journal of Economics and Business. RePEc:eee:jebusi:v:113:y:2021:i:c:s014861951930414x.

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2021How the fiscal and monetary policy uncertainty of China respond to global oil price volatility: A multi-regime-on-scale approach. (2021). Cheng, Sheng ; Jiang, Qisheng. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001355.

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2021The impacts of oil price shocks and jumps on Chinas nonferrous metal markets. (2021). Tang, Mengying ; Zhang, Chuanguo ; Liu, Feng. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002397.

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2021Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). Rodríguez, Gabriel ; Garrafa-Aragon, Hernan B ; Rodriguez, Gabriel ; Abanto-Valle, Carlos A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:272-286.

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2020Jumps in the convenience yield of crude oil. (2020). Wilmot, Neil ; Mason, Charles. In: Resource and Energy Economics. RePEc:eee:resene:v:60:y:2020:i:c:s0928765518302744.

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2021Inbound Open Innovation and Innovation Performance: A Robustness Study. (2021). Salter, Ammon ; Laursen, Keld ; Galia, Fabrice ; Ebersberger, Bernd. In: Research Policy. RePEc:eee:respol:v:50:y:2021:i:7:s0048733321000743.

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2020Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:25-41.

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2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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2020A Bayesian analysis of complete multiple breaks in a panel autoregressive (CMB-PAR(1)) time series model. (2020). Kumar, Jitendra ; Agiwal, Varun ; Shangodoyin, Dahud Kehinde. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:5:p:133-149.

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2021A Markov-Switching Model of Inflation in Bolivia. (2021). Bojanic, Antonio. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:37-:d:515285.

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2020The Impacts of Energy Consumption, Energy Prices and Energy Import-Dependency on Gross and Sectoral Value-Added in Sri Lanka. (2020). , HaiderMahmood ; Murshed, Muntasir ; Bassim, Mohga ; Yousef, Tarek Tawfik ; Mahmood, Haider. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6565-:d:461230.

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2021A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities. (2021). Ur, Mobeen ; Chen, James Ming. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6099-:d:642541.

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2020State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange. (2020). Stereczak, Szymon. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:13-:d:329185.

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2020Bitcoin Price Risk—A Durations Perspective. (2020). Odelli, Stefania ; Dimpfl, Thomas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:157-:d:386045.

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2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208.

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2020The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model. (2020). Leccadito, Arturo ; Lamantia, Fabio ; la Mantia, Fabio ; de Giovanni, Domenico ; Costabile, Massimo ; Baiardi, Lorenzo Cerboni ; Staino, Alessandro ; Russo, Emilio ; Pirra, Marco ; Menzietti, Massimiliano ; Massabo, Ivar. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:71-:d:379251.

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2020Singular conditional autoregressive Wishart model for realized covariance matrices. (2020). Tyrcha, Joanna ; Javed, Farrukh ; Bodnar, Taras ; Alfelt, Gustav. In: Working Papers. RePEc:hhs:oruesi:2021_001.

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2021Half Century of Gold Price: Regime-Switching and Forecasting Framework. (2021). Zhao, Yiqiang Q ; Anh, Nguyen Bao. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:1-18.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market. (2020). Wiwatanapataphee, Benchawan ; Wu, Yonghong ; Yang, YU. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00360-6.

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2021Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products. (2021). Chang, Chuang-Chang ; Yang, Sharon S ; Huang, Jr-Wei. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:63:y:2021:i:2:d:10.1007_s11146-020-09776-3.

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2021Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Lin, Shih-Kuei ; Chuang, Ming-Che ; Shyu, So-De ; Wang, Shin-Yun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x.

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2021Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing. (2021). Çakmaklı, Cem ; Ozturk, Verda. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2110.

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2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2020Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Aknouche, Abdelhakim ; Tsionas, Mike G ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:103250.

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2021Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance. (2021). Lin, Yu-Cheng ; Liu, Hsiang-Hsi. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:121-148.

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2020.

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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234.

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2020Investor attention and the pricing of cryptocurrency market. (2020). Zhang, Wei ; Wang, Pengfei. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00182-1.

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2021Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions. (2021). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01882-8.

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2021A Kalman particle filter for online parameter estimation with applications to affine models. (2021). Spreij, Peter ; Khedher, Asma. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:2:d:10.1007_s11203-021-09239-3.

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2021Asymptotic normality of the MLE in the level-effect ARCH model. (2021). Iglesias, Emma ; Dahl, Christian M. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01086-y.

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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2020Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Working Paper Series. RePEc:trr:qfrawp:202003.

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2020Forecasting Stock Market Recessions in the US: Predictive Modeling using Different Identification Approaches. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202001.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred ; Pfarrhofer, Michael. In: Working Papers in Regional Science. RePEc:wiw:wus046:8006.

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2021Heterogeneous investment horizons, risk regimes, and realized jumps. (2021). Gradojevic, Nikola ; Erdemlioglu, Deniz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:617-643.

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2021Modelling the volatility of crude oil returns: Jumps and volatility forecasts. (2021). Roubaud, David ; Dutta, Anupam ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:889-897.

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2021Realized volatility forecasting and volatility spillovers: Evidence from Chinese non?ferrous metals futures. (2021). Su, Xingze ; Chang, Xiaohui ; Xin, Yang ; Wang, Donghua. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2713-2731.

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2021Do investors gain from forecasting the asymmetric return co?movements of financial and real assets?. (2021). Power, Gabriel J ; Poshakwale, Sunil S ; Mandal, Anandadeep. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3246-3268.

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2021Estimating expected shortfall using a quantile function model. (2021). Cai, Yuzhi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4332-4360.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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2020A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Ai, Chunrong ; Shi, Yanlong ; Ying, Tingting. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2020Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478.

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2020Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

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Works by John M. Maheu:


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2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
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2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
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2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: Working Paper series.
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2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
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2020Oil price shocks and economic growth: The volatility link In: International Journal of Forecasting.
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2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
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2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: Journal of Risk and Financial Management.
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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
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2008Learning, forecasting and structural breaks In: Journal of Applied Econometrics.
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2004Learning, Forecasting and Structural Breaks.(2004) In: Cahiers de recherche.
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2007Learning, Forecasting and Structural Breaks.(2007) In: Working Papers.
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2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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2013Modeling Realized Covariances and Returns In: Journal of Financial Econometrics.
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2011Modelling Realized Covariances and Returns.(2011) In: Working Paper series.
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2012Modelling Realized Covariances and Returns.(2012) In: Working Paper series.
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2010Modelling Realized Covariances and Returns.(2010) In: Working Papers.
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2007Components of Market Risk and Return In: Journal of Financial Econometrics.
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2008Are There Structural Breaks in Realized Volatility? In: Journal of Financial Econometrics.
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2020A Multivariate GARCH-Jump Mixture Model In: MPRA Paper.
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2015Improving Markov switching models using realized variance In: MPRA Paper.
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2018Improving Markov switching models using realized variance.(2018) In: Journal of Applied Econometrics.
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2016Bayesian Nonparametric Estimation of Ex-post Variance In: MPRA Paper.
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2016Nonparametric Dynamic Conditional Beta In: MPRA Paper.
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2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series In: MPRA Paper.
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2018An efficient Bayesian approach to multiple structural change in multivariate time series.(2018) In: Journal of Applied Econometrics.
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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices In: MPRA Paper.
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2019Bayesian parametric and semiparametric factor models for large realized covariance matrices.(2019) In: Journal of Applied Econometrics.
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2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
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2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
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2007Modeling foreign exchange rates with jumps In: Working Papers.
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2008Improving Forecasts of Inflation using the Term Structure of Interest Rates In: Working Papers.
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2009Extracting bull and bear markets from stock returns In: Working Papers.
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2009Modelling Realized Covariances In: Working Papers.
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2010Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market In: Working Papers.
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2011Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models In: Working Papers.
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2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
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