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John M. Maheu : Citation Profile


Are you John M. Maheu?

McMaster University (99% share)
Rimini Centre for Economic Analysis (RCEA) (1% share)

15

H index

15

i10 index

769

Citations

RESEARCH PRODUCTION:

25

Articles

55

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 40
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 41 (5.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma144
   Updated: 2018-02-17    RAS profile: 2018-01-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Jensen, Mark (5)

Jin, Xin (4)

YANG, QIAO (3)

Liu, Jia (2)

Song, Yong (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 (22)

Christoffersen, Peter (22)

Bollerslev, Tim (21)

Andersen, Torben (20)

Ielpo, Florian (17)

Santucci de Magistris, Paolo (14)

Bauwens, Luc (14)

Omori, Yasuhiro (12)

Gallo, Giampiero (11)

Caporin, Massimiliano (11)

Rossi, Eduardo (11)

Cites to:

Bollerslev, Tim (44)

Andersen, Torben (40)

Diebold, Francis (33)

Shephard, Neil (25)

McCurdy, Tom (21)

Bauwens, Luc (20)

Engle, Robert (19)

Timmermann, Allan (17)

Hansen, Peter (17)

Lunde, Asger (15)

Nelson, Charles (15)

Main data


Where John M. Maheu has published?


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

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis15
MPRA Paper / University Library of Munich, Germany11
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4

Recent works citing John M. Maheu (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR). (2017). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data. (2017). Awad, Ibrahim M ; Al-Ewesat, Abdel-Rahman . In: Review of Economics & Finance. RePEc:bap:journl:170307.

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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Mende, Alexander ; Frommel, Michael ; Elaut, Gert . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017A semiparametric nonlinear quantile regression model for financial returns. (2017). Baruník, Jozef ; Jozef, Barunik ; Krenar, Avdulaj . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:81-97:n:2.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2018Dual-semiparametric regression using weighted Dirichlet process mixture. (2018). Lee, Ki-Ahm ; Kim, Inyoung ; Sun, Peng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:162-181.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017On efficient Bayesian inference for models with stochastic volatility. (2017). Griffin, Jim ; Sakaria, D K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:23-33.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Vrontos, Ioannis ; Meligkotsidou, Loukia ; Tzavalis, Elias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2017Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?. (2017). Wei, YU ; Hu, Yang ; Lai, Xiaodong ; Liu, Jing. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:141-150.

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2017Impact of oil price uncertainty on Middle East and African stock markets. (2017). Dutta, Anupam ; Rothovius, Timo ; Nikkinen, Jussi . In: Energy. RePEc:eee:energy:v:123:y:2017:i:c:p:189-197.

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2017Equity premium estimates from economic fundamentals under structural breaks. (2017). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:49-61.

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2017Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

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2017Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2017Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach. (2017). Chkili, Walid. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017The Realized Hierarchical Archimedean Copula in Risk Modelling. (2017). Okhrin, Ostap ; Tetereva, Anastasija. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe ; Lalaharison, Hanjarivo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2017Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina. (2017). de Jesus, Raul ; Salgado, Oswaldo Garcia ; Ortiz, Edgar . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1063-1080.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Liu, Ruipeng ; Marco, Chi Keng . In: Working Papers. RePEc:pre:wpaper:201727.

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2017Time-Varying Rare Disaster Risks, Oil Returns and Volatility. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201762.

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2017Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model. (2017). Stengos, Thanasis ; POLEMIS, MICHAEL. In: Working Paper Series. RePEc:rim:rimwps:17-07.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

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Works by John M. Maheu:


YearTitleTypeCited
2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
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paper19
2010Real time detection of structural breaks in GARCH models.(2010) In: Computational Statistics & Data Analysis.
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article
2009Real Time Detection of Structural Breaks in GARCH Models.(2009) In: Working Paper series.
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2008Real Time Detection of Structural Breaks in GARCH Models.(2008) In: Working Papers.
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2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
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article125
2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
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article96
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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article15
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
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2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
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article143
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns.(2003) In: CIRANO Working Papers.
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paper
2013Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2012Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models.(2012) In: Working Paper series.
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2005Can GARCH Models Capture Long-Range Dependence? In: Studies in Nonlinear Dynamics & Econometrics.
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article15
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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paper47
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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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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2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
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article34
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
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article57
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
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article6
2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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2016Bayesian semiparametric modeling of realized covariance matrices In: Journal of Econometrics.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: MPRA Paper.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: Working Paper series.
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2016Modeling covariance breakdowns in multivariate GARCH In: Journal of Econometrics.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: MPRA Paper.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
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2016An infinite hidden Markov model for short-term interest rates In: Journal of Empirical Finance.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: MPRA Paper.
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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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2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
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2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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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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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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article28
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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article27
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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