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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Conditional jump dynamics in stock market returns
Chan, Wing Hong; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389
Persistent link: https://www.econbiz.de/10001695284
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Nonlinear features of realized FX volatility
Maheu, John M. (contributor); McCurdy, Thomas H. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001699562
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Nonlinear features of realized FX volatility
Maheu, John M.; McCurdy, Thomas H. - In: The review of economics and statistics 84 (2002) 4, pp. 668-681
Persistent link: https://www.econbiz.de/10001711218
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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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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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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
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Real time detection of structural breaks in GARCH models
He, Zhongfang; Maheu, John M. - 2009
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...
Persistent link: https://www.econbiz.de/10003933353
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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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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