Concepedia
Statistics
Publications
36
Citations
2.1K
H-Index
24
Active since
1999
Affiliations
McMaster University(Current)
University of Toronto
Shanghai University of Finance and Economics
Federal Reserve Bank of Atlanta
ShanghaiTech University
John M. Maheu is an author at McMaster University specializing in business, asset pricing, and statistics.
Top concepts
StatisticsBusinessFinanceAsset PricingEngineeringVolatility ModelingEconomicsEconometricsForecastingMultivariate Stochastic Volatility
Publications per year
1999–2021
Conditional Jump Dynamics in Stock Market Returns
Wing Hong Chan, John M. Maheu · Journal of Business and Economic Statistics · 2002 · 357 citations
Volatility Modeling, Economics, Financial Economics +12
Identifying Bull and Bear Markets in Stock Returns
John M. Maheu, Thomas H. McCurdy · Journal of Business and Economic Statistics · 2000 · 233 citations
Economics, Financial Economics, Asset Pricing +5
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
John M. Maheu, Thomas H. McCurdy · SSRN Electronic Journal · 2003 · 134 citations · Full text
Bayesian semiparametric stochastic volatility modeling
Mark J. Jensen, John M. Maheu · Journal of Econometrics · 2010 · 126 citations
Volatility Modeling, Multivariate Stochastic Volatility, Engineering +4
Nonlinear Features of Realized FX Volatility
John M. Maheu, Thomas H. McCurdy · The Review of Economics and Statistics · 2002 · 118 citations
Volatility Modeling, Multivariate Stochastic Volatility, Engineering +12
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