John M. Maheu : Citation Profile


Are you John M. Maheu?

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

14

H index

15

i10 index

736

Citations

RESEARCH PRODUCTION:

25

Articles

53

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 40
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 40 (5.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma144
   Updated: 2017-09-23    RAS profile: 2017-07-10    
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Relations with other researchers


Works with:

Jensen, Mark (11)

Song, Yong (6)

Jin, Xin (5)

YANG, QIAO (3)

McCurdy, Tom (3)

Liu, Jia (2)

Burda, Martin (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 (23)

Christoffersen, Peter (22)

Bollerslev, Tim (21)

Andersen, Torben (20)

Ielpo, Florian (17)

Bauwens, Luc (14)

Santucci de Magistris, Paolo (14)

Chevallier, Julien (12)

Omori, Yasuhiro (12)

Koop, Gary (11)

Gallo, Giampiero (11)

Cites to:

Bollerslev, Tim (44)

Andersen, Torben (40)

Diebold, Francis (33)

Shephard, Neil (23)

McCurdy, Tom (21)

Engle, Robert (18)

Timmermann, Allan (16)

Bauwens, Luc (16)

Nelson, Charles (15)

Barndorff-Nielsen, Ole (14)

Jensen, Mark (14)

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 Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
Working Paper Series / The Rimini Centre for Economic Analysis15
MPRA Paper / University Library of Munich, Germany9
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4

Recent works citing John M. Maheu (2017 and 2016)


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

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree . In: Papers. RePEc:arx:papers:1401.3911.

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2016A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo . In: Papers. RePEc:arx:papers:1404.7632.

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2016Deep Learning Stock Volatility with Google Domestic Trends. (2016). Xiong, Ruoxuan ; Shen, Yuan ; Nichols, Eric P. In: Papers. RePEc:arx:papers:1512.04916.

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2016Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack . In: Papers. RePEc:arx:papers:1602.02185.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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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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2016Time-Varying Crash Risk: The Role of Stock Market Liquidity. (2016). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae ; Ornthanalai, Chayawat . In: Staff Working Papers. RePEc:bca:bocawp:16-35.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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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 ; Krenar, Avdulaj ; Jozef, Barunik . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:81-97:n:2.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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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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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Virbickait, Audron ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory. (2016). Kuo, Chen-Yin . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:772-789.

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2016How is Chinas coke price related with the world oil price? The role of extreme movements. (2016). Wu, Yanrui ; Guo, Yanfeng ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:22-33.

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2016International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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2016Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach. (2016). Bekiros, Stelios ; Avdoulas, Christos ; Boubaker, Sabri . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:580-587.

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2016Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models. (2016). Bejaoui, Azza ; Karaa, Adel . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545.

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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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2016Structural change test in duration of bull and bear markets. (2016). Nicolau, Jo o. In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:64-67.

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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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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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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 ; Bauwens, Luc ; 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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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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2016A test of asymmetric comovement for state-dependent stock returns. (2016). Deng, Kaihua . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:68-85.

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2016On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

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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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2016Linking the gas and oil markets with the stock market: Investigating the U.S. relationship. (2016). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:5-16.

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2016The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. (2016). Liu, LI ; Pan, Zhiyuan ; Wang, Yudong . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463.

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2016Explosive oil prices. (2016). Gronwald, Marc . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:1-5.

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2016The effect of global oil price shocks on Chinas metal markets. (2016). Zhang, Chuanguo ; Tu, Xiaohua . In: Energy Policy. RePEc:eee:enepol:v:90:y:2016:i:c:p:131-139.

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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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2016Realized hedge ratio: Predictability and hedging performance. (2016). Skintzi, Vasiliki ; Markopoulou, Chrysi E ; Refenes, Apostolos-Paul N. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:121-133.

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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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2016Intra-day realized volatility for European and USA stock indices. (2016). Floros, Christos ; Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:24-41.

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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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2016Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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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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2016Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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2016Information stages in efficient markets. (2016). Aitsahlia, Farid ; Yoon, Joon-Hui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:c:p:84-94.

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2016Disagreement versus uncertainty: Evidence from distribution forecasts. (2016). Nolte, Ingmar ; Kruger, Fabian . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s172-s186.

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2016Price discontinuities in the market for RINs. (2016). Wilmot, Neil ; Mason, Charles. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:132:y:2016:i:pb:p:79-97.

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2016Understanding bilateral exchange rate risks. (2016). Li, Guangzhong ; Zhu, Jiaqing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:103-129.

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2016Clustering stocks using partial correlation coefficients. (2016). Jung, Sean S ; Chang, Woojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:410-420.

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2016Momentum profits, market cycles, and rebounds: Evidence from Germany. (2016). Kaufmann, Philipp ; Bohl, Martin T ; Czaja, Marc-Gregor . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:139-159.

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2016Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?. (2016). Chang, Kuang-Liang . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:72-87.

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2016Trade duration, informed trading, and option moneyness. (2016). Park, Seongkyu (Gilbert) ; Chung, Kee H ; Ryu, Doojin . In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:395-411.

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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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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM. (2016). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_02.

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

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2016On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. (2016). Fuertes, Ana-Maria ; Olmo, Jose . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912.

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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 ; Chorro, Christophe ; Sevi, Benoit . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2016A multivariate model for financial indices and an algorithm for detection of jumps in the volatility. (2016). Bonino, Mario ; Pigato, Paolo ; Camelia, Matteo . In: Working Papers. RePEc:hal:wpaper:hal-01408495.

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2016Stock exchange integration and price jump risks - The case of the OMX Nordic exchange mergers. (2016). Liu, Yuna . In: Umeå Economic Studies. RePEc:hhs:umnees:0925.

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2016Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations. (2016). Liu, Yuna . In: Umeå Economic Studies. RePEc:hhs:umnees:0926.

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2016Losing Track of the Asset Markets: the Case of Housing and Stock. (2016). Chen, Nan-Kuang ; Chang, Kuang-Liang ; Ka, Charles . In: International Real Estate Review. RePEc:ire:issued:v:19:n:04:2016:p:435-492.

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2016The skewness risk premium in equilibrium and stock return predictability. (2016). Sasaki, Hiroshi . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-016-0275-7.

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2016Price Jump Risk in the US Housing Market. (2016). Zhang, Jin ; Yang, Jian ; Webb, Robert I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:53:y:2016:i:1:d:10.1007_s11146-015-9518-z.

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2016Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy. (2016). Chiang, Mi-Hsiu ; Chen, Son-Nan ; Li, Chang-Yi . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:46:y:2016:i:3:d:10.1007_s11156-014-0478-9.

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2016Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud . In: Cahiers de recherche. RePEc:lvl:crrecr:1607.

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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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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-8.

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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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2016Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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2016The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70379.

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2017Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings. (2017). GUPTA, RANGAN ; Marfatia, Hardik A ; 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). Demirer, Riza ; Wohar, Mark E ; Suleman, Tahir ; Gupta, Rangan . In: Working Papers. RePEc:pre:wpaper:201762.

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2016The UHF-GARCH-Type Model in the Analysis of Intraday Volatility and Price Durations – the Bayesian Approach. (2016). Huptas, Roman . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:8:y:2016:i:1:p:1-20.

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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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2016FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS. (2016). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0208.

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2016Will the oil price change damage the stock market in a bull market? A re-examination of their conditional relationships. (2016). Chen, Sheng Tung ; Huang, Mao-Lung ; Liao, Shu-Yi . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:3:d:10.1007_s00181-015-0972-5.

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2016Forecasting the realized volatility in the Chinese stock market: further evidence. (2016). Pu, Wang ; Ma, Feng ; Chen, Yixiang . In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:33:p:3116-3130.

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2016Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1019.

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2016Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations . (2016). Yamauchi, Yuta ; Omori, Yasuhiro . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1029.

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2016Pricing of Catastrophe Risk and the Implied Volatility Smile. (2016). ben Ammar, Semir . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:17.

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2016.

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Works by John M. Maheu:


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