John M. Maheu : Citation Profile

McMaster University

17

H index

27

i10 index

1520

Citations

RESEARCH PRODUCTION:

38

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 58
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 55 (3.49 %)

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   Permalink: http://citec.repec.org/pma144
   Updated: 2025-11-22    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Huber, Florian (3)

Li, Chenxing (3)

McCurdy, Thomas (3)

Koop, Gary (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)

Dufays, Arnaud (25)

Bollerslev, Tim (24)

Sévi, Benoît (23)

Andersen, Torben (22)

Omori, Yasuhiro (21)

Forbes, Catherine (21)

Ielpo, Florian (20)

Santucci de Magistris, Paolo (19)

Santucci de Magistris, Paolo (19)

Li, Chenxing (18)

Cites to:

Bollerslev, Tim (58)

Bauwens, Luc (55)

Andersen, Torben (50)

Shephard, Neil (47)

Diebold, Francis (40)

Koop, Gary (38)

McCurdy, Thomas (29)

Engle, Robert (27)

van Dijk, Herman (26)

Timmermann, Allan (26)

Ravazzolo, Francesco (25)

Main data

Where John M. Maheu has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Financial Econometrics5
Journal of Applied Econometrics4
International Journal of Forecasting3
Journal of Empirical Finance3
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & 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, Germany16
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta4
Papers / arXiv.org2

Recent works citing John M. Maheu (2025 and 2024)

YearTitle of citing document
2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

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2025Decision synthesis in monetary policy. (2025). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Papers. RePEc:arx:papers:2406.03321.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics. (2025). Saunders, David ; Li, Bin ; Chen, Yuling Max. In: Papers. RePEc:arx:papers:2501.16659.

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2025Dynamic Factor Model-Based Multiperiod Mean-Variance Portfolio Selection with Portfolio Constraints. (2025). Cui, Xiangyu ; Shi, Yun ; Jin, Chengneng ; Gao, Jianjun. In: Papers. RePEc:arx:papers:2502.17915.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

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2025An Interval Type-2 Version of Bayes Theorem Derived from Interval Probability Range Estimates Provided by Subject Matter Experts. (2025). Rickard, John T ; Rickards, James ; Dembski, William A. In: Papers. RePEc:arx:papers:2509.08834.

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2024Decision Synthesis in Monetary Policy. (2024). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Staff Working Papers. RePEc:bca:bocawp:24-30.

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2024The Effect of Global Economic Policy Uncertainty on Selected Islamic Stock Market Returns. (2024). Yacob, Norzahidah ; Mohd, Siti Musliha ; Yussof, Khairunnisa ; Wan, Wan Rasyidah ; Adam, Norashikin. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:10:p:195-210.

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2024Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks. (2024). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:53-76.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024A Dynamic Latent-Space Model for Asset Clustering. (2024). Casarin, Roberto ; Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9.

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2025Hidden semi-Markov models with inhomogeneous state dwell-time distributions. (2025). Koslik, Jan-Ole. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:209:y:2025:i:c:s0167947325000477.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Information content of option prices: Comparing analyst forecasts to option-based forecasts. (2024). Sanford, Anthony. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001220.

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2025A hybrid model for intraday volatility prediction in Bitcoin markets. (2025). Selvaraju, N ; Bera, Koushik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500066x.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55.

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2025Predictive distributions and the market return: The role of market illiquidity. (2025). Ellington, Michael ; Kalli, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:309-322.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2024Welfare implications of a tax on electricity: A semi-parametric specification of the incomplete EASI demand system. (2024). Ramírez Hassan, Andrés ; Ramirezhassan, Andres ; Lopez-Vera, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000975.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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2024Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty. (2024). Hsu, Yuan-Teng ; Vigne, Samuel A ; Wang, Jying-Nan ; Liu, Hung-Chun. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005553.

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2024Does oil price volatility matter for the US transportation industry?. (2024). Uddin, Gazi ; Rothovius, Timo ; Azoury, Nehme ; Bouri, Elie ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223035880.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Meng, Yongqiang ; Xiong, Xiong ; Li, Xiao. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024The cross section of information transmission in news media and stock returns. (2024). Wu, YI ; Wang, Xinyao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008109.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2025Uncertainty in heteroscedastic Bayesian model averaging. (2025). Mailhot, Mlina ; Pigeon, Mathieu ; Jessup, Sbastien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:63-78.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders. (2024). Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001968.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715.

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2024On climate fat tails and politics. (2024). Mason, Charles ; Wilmot, Neil A. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003738.

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2024What moves markets?. (2024). Kerssenfischer, Mark ; Schmeling, Maik. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138.

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2024Do jumps matter in discrete-time portfolio optimization?. (2024). Escobar Anel, Marcos ; Spies, Ben ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Operations Research Perspectives. RePEc:eee:oprepe:v:13:y:2024:i:c:s2214716024000162.

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2024Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index. (2024). Huang, Jr-Wei ; Cheng, Hung-Wen ; Yang, Sharon S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002774.

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2025GHENet: Attention-based Hurst exponents for the forecasting of stock market indexes. (2025). Alves, Jerson Leite ; Dos, Francisco Alves ; Lima, Rene Rodrigues ; Florindo, Joao B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:667:y:2025:i:c:s037843712500192x.

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2024Information shock, market reaction, and stock message board information diffusion. (2024). Meng, Yongqiang ; Huang, Xiuqi. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:180-192.

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2024Strategic asset allocation with distorted beliefs. (2024). Wei, Tzu-Wen ; Chung, San-Lin ; Yeh, Chung-Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:804-831.

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2024Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. (2024). Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:503-519.

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2024Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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2024Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. (2024). Lian, Yu-Min ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003848.

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2025Resilience or returns: Assessing green equity index performance across market regimes. (2025). Thuy, An Thi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008232.

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2025Markov switching volatility connectedness across international CDS markets. (2025). Gemici, Eray ; Mensi, Walid ; Polat, Mslm ; Kang, Sang Hoon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000024.

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2024Analyzing the interplay between eco-friendly and Islamic digital currencies and green investments. (2024). ben Zaied, Younes ; ben Jabeur, Sami ; Asl, Mahdi Ghaemi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:208:y:2024:i:c:s0040162524005134.

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2025How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach. (2025). Bargigli, Leonardo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2025_13.rdf.

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2024Effect of Market-Wide Investor Sentiment on South African Government Bond Indices of Varying Maturities under Changing Market Conditions. (2024). Matlhaku, Kago ; Ferreira-Schenk, Sune ; Moodley, Fabian. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:10:p:265-:d:1487675.

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2024Systematic Mapping Study of Sales Forecasting: Methods, Trends, and Future Directions. (2024). Abrouk, Lylia ; Ahaggach, Hamid ; Lebon, Eric. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:3:p:28-532:d:1429582.

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2025Modeling SSE 50 ETF Returns and Option Pricing: Evidence from a Score-Driven GARCH-Jump Approach. (2025). Shi, Mingfu ; Zhang, Chuanhai ; Chen, Qingqing ; Hrdle, Wolfgang Karl. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:20:p:3332-:d:1774963.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2024Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models. (2024). Mariani, Maria C ; Ohene-Obeng, Kwesi A ; Tweneboah, Osei K. In: Risks. RePEc:gam:jrisks:v:13:y:2024:i:1:p:3-:d:1556848.

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2024The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk. (2024). DE TRUCHIS, Gilles ; Keddad, Benjamin ; Davin, Marion ; Constant, Karine. In: Post-Print. RePEc:hal:journl:hal-04794038.

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2024Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach. (2024). Chang, Yu-Ching ; Lai, Yi-Hao ; Wang, Yi-Chiuan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:2:d:10.1007_s10690-023-09415-w.

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2025Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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2024Research on jumps and volatility in China’s carbon market. (2024). Chen, Xiangjun ; Yan, BO. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09592-2.

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2024Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. (2024). Kilincarslan, Erhan ; Demiralay, Sercan. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09898-w.

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2024Google Trends and Bitcoin volatility forecast. (2024). Peresetsky, Anatoly ; Teterin, M. In: Journal of the New Economic Association. RePEc:nea:journl:y:2024:i:64:p:118-135.

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2024Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:2:p:375-406..

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2024A statistical method for estimating piecewise linear sales trends. (2024). Moriyama, Taku ; Kuwano, Masashi ; Nakayama, Masahito. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:12:y:2024:i:2:d:10.1057_s41270-023-00207-9.

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2024Impact of COVID-19 on jump occurrence in capital markets. (2024). Song, Yuping ; Wen, Shan ; Zhu, Min. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03357-y.

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2025An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates. (2025). Li, Chenxing ; Yang, Qiao. In: MPRA Paper. RePEc:pra:mprapa:123200.

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2025Bayesian dynamic systems modelling. Bayesian model averaging for dynamic panels with weakly exogenous regressors. (2025). Dubel, Marcin ; Wyszyski, Mateusz ; Beck, Krzysztof. In: MPRA Paper. RePEc:pra:mprapa:124689.

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2025Belief distortions and Disagreement about Inflation. (2024). Patella, Valeria. In: Working Paper series. RePEc:rim:rimwps:24-08.

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2025Can Ethereum predict Bitcoin’s volatility?. (2025). Peresetsky, Anatoly ; Teterin, Maksim. In: Applied Econometrics. RePEc:ris:apltrx:0516.

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2024Ups and (Draw)Downs. (2024). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:576.

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2024The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk. (2024). DE TRUCHIS, Gilles ; Keddad, Benjamin ; Davin, Marion ; Constant, Karine. In: The Energy Journal. RePEc:sae:enejou:v:45:y:2024:i:5:p:65-89.

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2025Long-range dependence and asset return anomaly. (2025). Xiang, Yun ; Deng, Shijie. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06376-9.

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2025Assessing the Risk of Bitcoin Futures Market: New Evidence. (2025). Dutta, Anupam. In: Annals of Data Science. RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4.

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2025Copula hidden Markov model with unknown number of states. (2025). Yu, Siyi ; Xie, Dejun ; Liu, Yujian. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:5:d:10.1007_s00180-024-01571-5.

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2024Price dynamics and volatility jumps in bitcoin options. (2024). Yang, Jimmy J ; Chen, Kuo Shing. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00653-z.

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2024Predicting Tail-Risks for the Italian Economy. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Tornese, Tommaso ; Boeck, Maximilian. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:3:d:10.1007_s41549-025-00106-1.

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2025An Exploration of Contemporary Trends in Finance Research. (2025). Mani, Mukta. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:16:y:2025:i:3:d:10.1007_s13132-024-02373-2.

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2024Dynamic partial (co)variance forecasting model. (2024). Chen, Zirong ; Zhou, Yao. In: Quantitative Finance. RePEc:taf:quantf:v:24:y:2024:i:5:p:643-653.

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2024Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models. (2024). Rondeau, Fabien ; Tuffry, Stphane ; Thlissaint, Josu ; Martin, Franck ; Jamhamed, Fayssal. In: Economics Working Paper Archive (University of Rennes & University of Caen). RePEc:tut:cremwp:2024-13.

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2024Forecast combination in agricultural economics: Past, present, and the future. (2024). Ramsey, Austin ; Adjemian, Michael K. In: Applied Economic Perspectives and Policy. RePEc:wly:apecpp:v:46:y:2024:i:4:p:1450-1478.

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2024Which implied volatilities contain more information? Evidence from China. (2024). Ni, Zhongxin ; Ji, Yifan ; Wang, Linyu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1896-1919.

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2024Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture. (2024). , Frank. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:4:p:697-704.

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2025Combining Volatility Forecasts of Duration‐Dependent Markov‐Switching Models. (2025). de Paula, Fernando Henrique ; Turatti, Douglas Eduardo. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1195-1210.

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2024Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217.

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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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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2021Bull and bear markets during the COVID-19 pandemic.(2021) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 5		article
2020Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper.
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2023Bayesian Forecasting in Economics and Finance: A Modern Review In: Papers.
[Full Text][Citation analysis]		paper8
2024Bayesian forecasting in economics and finance: A modern review.(2024) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 8		article
2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
[Full Text][Citation analysis]		paper32
2010Real time detection of structural breaks in GARCH models.(2010) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
2009Real Time Detection of Structural Breaks in GARCH Models.(2009) In: Working Paper series.
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This paper has nother version. Agregated cites: 32		paper
2008Real Time Detection of Structural Breaks in GARCH Models.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 32		paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article210
2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article178
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article27
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 27		paper
2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article294
2013Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		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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This paper has nother version. Agregated cites: 5		paper
2005Can GARCH Models Capture Long-Range Dependence? In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article26
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper66
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 66		article
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper10
2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper11
2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article65
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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This paper has nother version. Agregated cites: 65		paper
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 65		paper
2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
[Full Text][Citation analysis]		article84
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 18		paper
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2016Bayesian semiparametric modeling of realized covariance matrices In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2016Modeling covariance breakdowns in multivariate GARCH In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2022Infinite Markov pooling of predictive distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2016An infinite hidden Markov model for short-term interest rates In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article11
2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: Working Paper series.
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This paper has nother version. Agregated cites: 11		paper
2025The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
2012A new structural break model with application to Canadian inflation forecasting.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 10		paper
2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2020Oil price shocks and economic growth: The volatility link In: International Journal of Forecasting.
[Full Text][Citation analysis]		article17
2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article26
2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article12
2008Chapter 12 Modeling Foreign Exchange Rates with Jumps In: Frontiers of Economics and Globalization.
[Full Text][Citation analysis]		chapter0
2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper9
2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		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.
[Full Text][Citation analysis]		article54
2004Learning, Forecasting and Structural Breaks.(2004) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
2007Learning, Forecasting and Structural Breaks.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 54		paper
2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article51
2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2023Bayesian Forecasting in the 21st Century: A Modern Review In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper0
2013Modeling Realized Covariances and Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article66
2011Modelling Realized Covariances and Returns.(2011) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2012Modelling Realized Covariances and Returns.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2010Modelling Realized Covariances and Returns.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 66		paper
2021Nonparametric Dynamic Conditional Beta* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article7
2016Nonparametric Dynamic Conditional Beta.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 7		paper
2021Bayesian Nonparametric Estimation of Ex Post Variance* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2016Bayesian Nonparametric Estimation of Ex-post Variance.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 1		paper
2007Components of Market Risk and Return In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article17
2008Are There Structural Breaks in Realized Volatility? In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article67
2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		paper
2020A Multivariate GARCH-Jump Mixture Model In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2022An Infinite Hidden Markov Model with Stochastic Volatility In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2024An infinite hidden Markov model with stochastic volatility.(2024) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 2		article
2023Identification and Forecasting of Bull and Bear Markets using Multivariate Returns In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2024Identification and forecasting of bull and bear markets using multivariate returns.(2024) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 0		article
2015Improving Markov switching models using realized variance In: MPRA Paper.
[Full Text][Citation analysis]		paper9
2018Improving Markov switching models using realized variance.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 9		article
2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2018An efficient Bayesian approach to multiple structural change in multivariate time series.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 8		article
2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices In: MPRA Paper.
[Full Text][Citation analysis]		paper10
2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
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: 10		article
2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article46
2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2007Modeling foreign exchange rates with jumps In: Working Papers.
[Full Text][Citation analysis]		paper2
2008Improving Forecasts of Inflation using the Term Structure of Interest Rates In: Working Papers.
[Full Text][Citation analysis]		paper0
2009Extracting bull and bear markets from stock returns In: Working Papers.
[Full Text][Citation analysis]		paper11
2009Modelling Realized Covariances In: Working Papers.
[Full Text][Citation analysis]		paper4
2010Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market In: Working Papers.
[Full Text][Citation analysis]		paper0
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]		paper0
2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
[Full Text][Citation analysis]		paper0

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