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Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
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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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News arrival, jump dynamics, and volatility components for individual stock returns
Maheu, John M.; McCurdy, Thomas H. - In: The journal of finance : the journal of the American … 59 (2004) 2, pp. 755-793
Persistent link: https://www.econbiz.de/10002013824
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Components of market risk and return
Maheu, John M.; McCurdy, Thomas H. - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 560-590
Persistent link: https://www.econbiz.de/10003570729
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Bull and bear markets during the COVID-19 pandemic
Maheu, John M.; McCurdy, Thomas H.; Song, Yong - In: Finance research letters 42 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10014581535
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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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The role of macro-finance factors in predicting stock market volatility : a latent threshold dynamic model
Maheu, John M.; Zamenjani, Azam Shamsi - In: Journal of empirical finance 82 (2025), pp. 1-30
Persistent link: https://www.econbiz.de/10015432888
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Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of econometrics 160 (2011) 1, pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
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How useful are historical data for forecasting the long-run equity return distribution?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10003805430
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Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun; Maheu, John M. - In: Journal of applied econometrics 24 (2009) 5, pp. 709-733
Persistent link: https://www.econbiz.de/10003931571