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An infinite hidden Markov model for short-term interest rates
Maheu, John M.; Yang, Qiao - In: Journal of empirical finance 38 (2016), pp. 202-220
Persistent link: https://www.econbiz.de/10011663269
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Oil price shocks and economic growth : the volatility link
Maheu, John M.; Song, Yong; Yang, Qiao - In: International journal of forecasting 36 (2020) 2, pp. 570-587
Persistent link: https://www.econbiz.de/10012415259
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Infinite Markov pooling of predictive distributions
Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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An infinite hidden Markov model with stochastic volatility
Li, Chenxing; Maheu, John M.; Yang, Qiao - In: Journal of forecasting 43 (2024) 6, pp. 2187-2211
Persistent link: https://www.econbiz.de/10015110400
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Stock returns and real growth : A Bayesian nonparametric approach
Yang, Qiao - In: Journal of empirical finance 53 (2019), pp. 53-69
Persistent link: https://www.econbiz.de/10012171682
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An infinite hidden Markov model with GARCH for short-term interest rates
Li, Chenxing; Yang, Qiao - In: Finance research letters 80 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015422517
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Identification and forecasting of bull and bear markets using multivariate returns
Liu, Jia; Maheu, John M.; Song, Yong - In: Journal of applied econometrics 39 (2024) 5, pp. 723-745
Persistent link: https://www.econbiz.de/10015156772
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Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
Burda, Martin; Maheu, John M. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 345-372
Persistent link: https://www.econbiz.de/10009787988
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Can GARCH models capture long-range dependence?
Maheu, John M. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10003283982
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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024