John M. Maheu : Citation Profile

McMaster University

17

H index

27

i10 index

1480

Citations

RESEARCH PRODUCTION:

37

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 59
   Journals where John M. Maheu has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 54 (3.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma144
   Updated: 2025-04-19    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Li, Chenxing (3)

McCurdy, Thomas (3)

Huber, Florian (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)

Forbes, Catherine (21)

Omori, Yasuhiro (21)

Ielpo, Florian (20)

Santucci de Magistris, Paolo (19)

Li, Chenxing (18)

GUPTA, RANGAN (17)

Cites to:

Bollerslev, Tim (56)

Bauwens, Luc (55)

Andersen, Torben (49)

Shephard, Neil (46)

Diebold, Francis (39)

Koop, Gary (38)

McCurdy, Thomas (28)

van Dijk, Herman (26)

Engle, Robert (26)

Ravazzolo, Francesco (25)

Timmermann, Allan (23)

Main data

Production by document typechapterpaperarticle1999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 17Most cited documents123456789101112131415161718190200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Journal of Business & Economic Statistics3
International Journal of Forecasting3
Journal of Applied Econometrics2
Journal of Empirical Finance2
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)

Year  ↓Title of citing document  ↓
2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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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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2024.

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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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2024.

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2024A Dynamic Latent-Space Model for Asset Clustering. (2024). 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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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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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. 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). Lopez-Vera, Alejandro ; Ramirezhassan, Andres. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000975.

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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). Rothovius, Timo ; Bouri, Elie ; Dutta, Anupam ; Uddin, Gazi Salah ; Azoury, Nehme. 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). Xiong, Xiong ; Li, Xiao ; Meng, Yongqiang. 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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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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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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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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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 ; Hung, Mao-Wei ; 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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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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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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2024Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models. (2024). Ohene-Obeng, Kwesi A ; Tweneboah, Osei K ; Mariani, Maria C. In: Risks. RePEc:gam:jrisks:v:13:y:2024:i:1:p:3-:d:1556848.

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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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2024On the Evolution of Monetary Policy. (2008). . 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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2024.

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

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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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Works by John M. Maheu:

Year  ↓Title  ↓Type  ↓Cited  ↓
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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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.
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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: 3		article
2009Real Time Detection of Structural Breaks in GARCH Models In: Staff Working Papers.
[Full Text][Citation analysis]		paper30
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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2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article205
2002Conditional Jump Dynamics in Stock Market Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article173
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.
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2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article289
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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2012Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models.(2012) In: Working Paper series.
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2005Can GARCH Models Capture Long-Range Dependence? In: Studies in Nonlinear Dynamics & Econometrics.
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2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
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2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
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2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
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2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article63
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
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2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
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2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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2016Bayesian semiparametric modeling of realized covariance matrices In: Journal of Econometrics.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: MPRA Paper.
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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices.(2014) In: Working Paper series.
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2016Modeling covariance breakdowns in multivariate GARCH In: Journal of Econometrics.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: MPRA Paper.
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2014Modeling Covariance Breakdowns in Multivariate GARCH.(2014) In: Working Paper series.
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2022Infinite Markov pooling of predictive distributions In: Journal of Econometrics.
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2016An infinite hidden Markov model for short-term interest rates In: Journal of Empirical Finance.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: MPRA Paper.
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2015An Infinite Hidden Markov Model for Short-term Interest Rates.(2015) In: Working Paper series.
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2014A new structural break model, with an application to Canadian inflation forecasting In: International Journal of Forecasting.
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2012A new structural break model with application to Canadian inflation forecasting.(2012) In: MPRA Paper.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Paper series.
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2012A New Structural Break Model with Application to Canadian Inflation Forecasting.(2012) In: Working Papers.
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2020Oil price shocks and economic growth: The volatility link In: International Journal of Forecasting.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Economic Growth: The Volatility Link.(2018) In: Working Paper series.
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2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
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2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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2012Intraday dynamics of volatility and duration: Evidence from Chinese stocks In: Pacific-Basin Finance Journal.
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In: .
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2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
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2008Learning, forecasting and structural breaks In: Journal of Applied Econometrics.
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2004Learning, Forecasting and Structural Breaks.(2004) In: Cahiers de recherche.
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2007Learning, Forecasting and Structural Breaks.(2007) In: Working Papers.
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2009Forecasting realized volatility: a Bayesian model-averaging approach In: Journal of Applied Econometrics.
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2008Forecasting Realized Volatility: A Bayesian Model Averaging Approach.(2008) In: Working Papers.
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2023Bayesian Forecasting in the 21st Century: A Modern Review In: Monash Econometrics and Business Statistics Working Papers.
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2013Modeling Realized Covariances and Returns In: Journal of Financial Econometrics.
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2011Modelling Realized Covariances and Returns.(2011) In: Working Paper series.
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2012Modelling Realized Covariances and Returns.(2012) In: Working Paper series.
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2010Modelling Realized Covariances and Returns.(2010) In: Working Papers.
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2021Nonparametric Dynamic Conditional Beta* In: Journal of Financial Econometrics.
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2016Nonparametric Dynamic Conditional Beta.(2016) In: MPRA Paper.
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2021Bayesian Nonparametric Estimation of Ex Post Variance* In: Journal of Financial Econometrics.
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2016Bayesian Nonparametric Estimation of Ex-post Variance.(2016) In: MPRA Paper.
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2007Components of Market Risk and Return In: Journal of Financial Econometrics.
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2008Are There Structural Breaks in Realized Volatility? In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article66
2007Are there Structural Breaks in Realized Volatility?.(2007) In: Working Papers.
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