John M. Maheu : Citation Profile


Are you John M. Maheu?

McMaster University

17

H index

22

i10 index

1120

Citations

RESEARCH PRODUCTION:

33

Articles

65

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 46
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 50 (4.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma144
   Updated: 2024-01-16    RAS profile: 2023-08-05    
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Relations with other researchers


Works with:

McCurdy, Thomas (3)

Huber, Florian (2)

Li, Chenxing (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:

Bauwens, Luc (25)

Sévi, Benoît (21)

Omori, Yasuhiro (19)

Ielpo, Florian (18)

Dufays, Arnaud (18)

Gallo, Giampiero (16)

Santucci de Magistris, Paolo (14)

Bollerslev, Tim (14)

Otranto, Edoardo (14)

GUPTA, RANGAN (14)

Andersen, Torben (14)

Cites to:

Bollerslev, Tim (56)

Bauwens, Luc (55)

Andersen, Torben (49)

Shephard, Neil (46)

Diebold, Francis (39)

Koop, Gary (38)

van Dijk, Herman (26)

Engle, Robert (26)

Ravazzolo, Francesco (25)

McCurdy, Thomas (23)

Clark, Todd (22)

Main data


Where John M. Maheu has published?


Journals with more than one article published# docs
Journal of Econometrics7
The Journal of Financial Econometrics5
Journal of Business & Economic Statistics3
Journal of Applied Econometrics3
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2
Journal of Applied Econometrics2
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, Germany15
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4
Papers / arXiv.org2

Recent works citing John M. Maheu (2024 and 2023)


YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023.

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2023On Climate Fat Tails and Politics. (2023). Mason, Charles ; Wilmot, Neil A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10815.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Time-Varying approaches for Long-Term Electric Load Forecasting under economic shocks. (2023). Dadabada, Pradeep Kumar ; Jaipuria, Sanjita ; Thangjam, Aditya. In: Applied Energy. RePEc:eee:appene:v:333:y:2023:i:c:s0306261922018591.

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2023Stock return anomalies identification during the Covid-19 with the application of a grouped multiple comparison procedure. (2023). Cai, Qingyun ; Chang, Chiu-Lan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:168-183.

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2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

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2023Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from Chinas automobile markets. (2023). Shang, Hongli ; Zhang, Chuanguo. In: Energy Policy. RePEc:eee:enepol:v:172:y:2023:i:c:s0301421522005274.

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2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

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2023A closer look at the regime-switching evidence of bull and bear markets. (2023). Kirby, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005463.

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2023A Real-Time GARCH-MIDAS model. (2023). Cheng, Tengfei ; Zhao, AN ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004750.

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2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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2023Forecasting on metal resource spot settlement price: New evidence from the machine learning model. (2023). Zhang, YI ; Li, Chongyang ; Shi, Tao. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000685.

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2023Time-varying jumps in China crude oil futures market impacted by COVID-19 pandemic. (2023). Jiang, Haifeng ; Hu, Genhua. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002180.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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2023.

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2023When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3.

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2023Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. (2023). Zakamulin, Valeriy. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00112-y.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y.

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2023Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x.

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2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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2023Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6.

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2023Tail 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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2023General Bayesian time?varying parameter vector autoregressions for modeling government bond yields. (2023). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:69-87.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2023Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1889-1908.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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Works by John M. Maheu:


YearTitleTypeCited
2020Bull and Bear Markets During the COVID-19 Pandemic In: Papers.
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paper4
2021Bull and bear markets during the COVID-19 pandemic.(2021) In: Finance Research Letters.
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article
2020Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper.
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paper
2023Bayesian Forecasting in Economics and Finance: A Modern Review In: Papers.
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paper0
2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
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paper30
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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paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
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article200
2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
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article159
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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article27
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
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paper
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: 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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article5
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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article23
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
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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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article58
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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article82
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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article17
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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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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2022Infinite Markov pooling of predictive distributions In: Journal of Econometrics.
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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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2012A new structural break model with application to Canadian inflation forecasting.(2012) In: MPRA Paper.
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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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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: Working Paper series.
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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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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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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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article47
2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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2023Bayesian Forecasting in the 21st Century: A Modern Review In: Monash Econometrics and Business Statistics Working Papers.
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2013Modeling Realized Covariances and Returns In: The 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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2021Nonparametric Dynamic Conditional Beta* In: The Journal of Financial Econometrics.
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2016Nonparametric Dynamic Conditional Beta.(2016) In: MPRA Paper.
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2021Bayesian Nonparametric Estimation of Ex Post Variance* In: The Journal of Financial Econometrics.
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2016Bayesian Nonparametric Estimation of Ex-post Variance.(2016) In: MPRA Paper.
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2007Components of Market Risk and Return In: The Journal of Financial Econometrics.
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2008Are There Structural Breaks in Realized Volatility? In: The Journal of Financial Econometrics.
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article63
2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
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2020A Multivariate GARCH-Jump Mixture Model In: MPRA Paper.
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2022An Infinite Hidden Markov Model with Stochastic Volatility 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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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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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.(2018) In: Working Paper series.
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This paper has nother version. Agregated cites: 9
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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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This paper has nother version. Agregated cites: 9
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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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This paper has nother version. Agregated cites: 38
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2007Modeling foreign exchange rates with jumps 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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2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
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