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

16

i10 index

882

Citations

RESEARCH PRODUCTION:

28

Articles

58

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 46
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 114.    Total self citations: 42 (4.55 %)

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   Permalink: http://citec.repec.org/pma144
   Updated: 2019-02-13    RAS profile: 2018-11-01    
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Relations with other researchers


Works with:

Jensen, Mark (6)

Song, Yong (6)

Jin, Xin (4)

YANG, QIAO (3)

Liu, Jia (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:

Christoffersen, Peter (22)

Sévi, Benoît (22)

Andersen, Torben (21)

Bollerslev, Tim (21)

Omori, Yasuhiro (20)

Ielpo, Florian (18)

Santucci de Magistris, Paolo (14)

Bauwens, Luc (13)

Chevallier, Julien (12)

Galeano, Pedro (11)

Otranto, Edoardo (11)

Cites to:

Bollerslev, Tim (44)

Andersen, Torben (40)

Shephard, Neil (34)

Diebold, Francis (33)

Bauwens, Luc (22)

McCurdy, Tom (21)

Engle, Robert (19)

Hansen, Peter (17)

Timmermann, Allan (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 Business & Economic Statistics3
Journal of Financial Econometrics3
Journal of Empirical Finance2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Applied Econometrics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis17
MPRA Paper / University Library of Munich, Germany12
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 ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

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

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2018Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2018Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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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 ; Koopman, Siem Jan ; Blasques, Francisco ; 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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2017Forecasting in the presence of in and out of sample breaks. (2017). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2017A semiparametric nonlinear quantile regression model for financial returns. (2017). Baruník, Jozef ; Avdulaj, Krenar ; 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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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market 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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2018Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration. (2018). DOORASAMY, Mishelle ; Sarpong, Prince Kwasi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-01-13.

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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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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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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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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. (2018). della Chang, Jui-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:15-28.

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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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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. 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). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . 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). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. 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, H. Peter. 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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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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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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2018Dynamic jumps in global oil price and its impacts on Chinas bulk commodities. (2018). Zhang, Chuanguo ; Yu, Danlin ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:297-306.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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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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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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

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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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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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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; 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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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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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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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2018Impacts of oil volatility shocks on metal markets: A research note. (2018). Dutta, Anupam. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:9-19.

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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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2018Market efficiency of Baltic stock markets: A fractional integration approach. (2018). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Shittu, Olanrewaju I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:251-262.

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2018Asymmetric market efficiency using the index-based asymmetric-MFDFA. (2018). Lee, Minhyuk ; Chang, Woojin ; Kim, Sondo ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:1278-1294.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2019A model-free, non-parametric method for density determination, with application to asset returns. (2019). Gzyl, Henryk ; Molina, German ; Horst, Enrique Ter. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:210-221.

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2018Faster learning in troubled times: How market conditions affect the disposition effect. (2018). Muhl, Stefan ; Talpsepp, Tnn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:226-236.

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2018Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231.

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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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2018Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

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2018Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange. (2018). Karaa, Rabaa ; Hmaied, Dorra Mezzez ; Slim, Skander. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99.

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2018Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets. (2018). Kuttu, Saint ; Bokpin, Godfred A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:211-226.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Working Papers. RePEc:fip:fedlwp:2017-011.

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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). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. 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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2018A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2018Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach. (2018). Lai, Yi-Hao ; Chung, Wei-Shih ; Wang, Yi-Chiuan. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:1:p:51-66.

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2018Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach. (2018). Deng, Kaihua. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-016-9596-x.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; 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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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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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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2018Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:17-16.

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

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2018How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?. (2018). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: MPRA Paper. RePEc:pra:mprapa:91253.

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2018Economic regimes and stock market performance in Nigeria: Evidence from regime switching model. (2018). Rano, Shehu Usman ; Aminu, Abubakar Wambai. In: MPRA Paper. RePEc:pra:mprapa:91430.

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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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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark . In: Working Paper series. RePEc:rim:rimwps:18-12.

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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models. (2018). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_005.

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2018Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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2018Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics. (2018). Steel, Mark ; Kalli, Maria ; Griffin, Jim . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0.

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More than 100 citations found, this list is not complete...

Works by John M. Maheu:


YearTitleTypeCited
2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
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2010Real time detection of structural breaks in GARCH models.(2010) In: Computational Statistics & Data Analysis.
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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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This paper has another version. Agregated cites: 20
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2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
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article144
2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article112
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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article18
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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paper
2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
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article167
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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article2
2012Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 2
paper
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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paper50
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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article
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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article
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
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article38
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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paper
2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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This paper has another version. Agregated cites: 38
paper
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 38
paper
2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
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article62
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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paper
2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 62
paper
2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
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article9
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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paper
2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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paper
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 9
paper
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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This paper has another version. Agregated cites: 6
paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 6
paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2016Bayesian semiparametric modeling of realized covariance matrices In: Journal of Econometrics.
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article6
2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: MPRA Paper.
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paper
2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: Working Paper series.
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This paper has another version. Agregated cites: 6
paper
2016Modeling covariance breakdowns in multivariate GARCH In: Journal of Econometrics.
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article1
2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: MPRA Paper.
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paper
2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
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This paper has another version. Agregated cites: 1
paper
2016An infinite hidden Markov model for short-term interest rates In: Journal of Empirical Finance.
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article1
2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: MPRA Paper.
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paper
2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: Working Paper series.
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This paper has another version. Agregated cites: 1
paper
2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
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article4
2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
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article11
2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 11
paper
2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
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article6
2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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paper1
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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paper
2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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paper
1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
[Citation analysis]
paper0
2008Learning, forecasting and structural breaks In: Journal of Applied Econometrics.
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article38
2004Learning, Forecasting and Structural Breaks.(2004) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 38
paper
2007Learning, Forecasting and Structural Breaks.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 38
paper
2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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article31
2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 31
paper
2013Modeling Realized Covariances and Returns In: Journal of Financial Econometrics.
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article30
2011Modelling Realized Covariances and Returns.(2011) In: Working Paper series.
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This paper has another version. Agregated cites: 30
paper
2012Modelling Realized Covariances and Returns.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 30
paper
2010Modelling Realized Covariances and Returns.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 30
paper
2007Components of Market Risk and Return In: Journal of Financial Econometrics.
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article16
2008Are There Structural Breaks in Realized Volatility? In: Journal of Financial Econometrics.
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article44
2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 44
paper
2012A new structural break model with application to Canadian inflation forecasting In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2015Improving Markov switching models using realized variance In: MPRA Paper.
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paper2
2018Improving Markov switching models using realized variance.(2018) In: Journal of Applied Econometrics.
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article
2016Bayesian Nonparametric Estimation of Ex-post Variance In: MPRA Paper.
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paper0
2016Nonparametric Dynamic Conditional Beta In: MPRA Paper.
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paper3
2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series In: MPRA Paper.
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paper1
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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paper0
2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.(2018) In: Working Paper series.
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2018Oil Price Shocks and Economic Growth: The Volatility Link 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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2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
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article21
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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paper4
2010Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market In: Working Papers.
[Full Text][Citation analysis]
paper1
2011Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models In: Working Papers.
[Full Text][Citation analysis]
paper0
2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
[Full Text][Citation analysis]
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