← All authors John M. Maheu McMaster University (from arXiv:2012.01623, 2020) · OpenAlex
44 papers in scope · 44 published · 1 on the econ.EM arXiv · 2,063 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Florian Huber Gary Koop Rubén Loaiza-Maya Luca Onorante David T. Frazier Gael M. Martin Xuewen Yu Joshua C. C. Chan Gregor Kastner Michael Pfarrhofer Didier Nibbering Niko Hauzenberger Worapree Maneesoonthorn Josef Schreiner Peter J. Danaher David J. Nott Luca Rossini Angelica Gianfreda Sylvia Frühwirth-Schnatter Dimitris Korobilis Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 44)
Modeling ex post variance jumps: implications for density and tail risk forecasting
published 2025 · Quantitative Finance
with Efthimios Nikolakopoulos
The role of macro-finance factors in predicting stock market volatility: A latent threshold dynamic model
published 2025 · Journal of Empirical Finance · 1 citations · first circulated 2022
with Azam Shamsi Zamenjani, Azam Shamsi
Identification and forecasting of bull and bear markets using multivariate returns
published 2024 · Journal of Applied Econometrics
An infinite hidden Markov model with stochastic volatility
published 2024 · Journal of Forecasting · 4 citations · first circulated 2022
with Chenxing Li, Qiao Yang, Chenxing
A multivariate GARCH–jump mixture model
published 2023 · Journal of Forecasting
with Chenxing Li
published 2023 · International Journal of Forecasting · 38 citations · first circulated 2022
Infinite Markov pooling of predictive distributions
published 2021 · Journal of Econometrics · 12 citations
with Xin Jin, Qiao Yang
published 2021 · Finance research letters · 12 citations · first circulated 2020
Oil price shocks and economic growth: The volatility link
published 2019 · International Journal of Forecasting · 51 citations · first circulated 2018
Bayesian Nonparametric Estimation of Ex Post Variance
published 2019 · Journal of Financial Econometrics · 2 citations · first circulated 2016
with Jim E. Griffin, Jia Liu
Nonparametric Dynamic Conditional Beta
published 2019 · Journal of Financial Econometrics · 6 citations · first circulated 2016
with Azam Shamsi Zamenjani, Azam Shamsi
Bayesian parametric and semiparametric factor models for large realized covariance matrices
published 2019 · Journal of Applied Econometrics · 19 citations · first circulated 2017
with Xin Jin, Qiao Yang
Special issue on risk management
published 2018 · Econometrics and Statistics
with Marc S. Paolella, Tak Kuen Siu, Mike K. P. So
Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
published 2018 · Journal of risk and financial management · 5 citations · first circulated 2014
with Mark J. Jensen
Improving Markov switching models using realized variance
published 2017 · Journal of Applied Econometrics · 18 citations · first circulated 2015
with Jia Liu
An efficient Bayesian approach to multiple structural change in multivariate time series
published 2017 · Journal of Applied Econometrics · 13 citations
An infinite hidden Markov model for short-term interest rates
published 2016 · Journal of Empirical Finance · 26 citations
with Qiao Yang
Modeling covariance breakdowns in multivariate GARCH
published 2016 · Journal of Econometrics · 7 citations · first circulated 2014
with Xin Jin
Special issue on Bayesian econometrics
published 2016 · Computational Statistics & Data Analysis
Bayesian semiparametric modeling of realized covariance matrices
published 2015 · Journal of Econometrics · 48 citations · first circulated 2014
with Xin Jin
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
A new structural break model, with an application to Canadian inflation forecasting
published 2013 · International Journal of Forecasting · 20 citations · first circulated 2012
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
published 2013 · Journal of Econometrics · 9 citations · first circulated 2012
with Mark J. Jensen
Do jumps contribute to the dynamics of the equity premium?
published 2013 · Journal of Financial Economics · 69 citations · first circulated 2011
with Thomas H. McCurdy, Xiaofei Zhao
Bayesian semiparametric multivariate GARCH modeling
published 2013 · Journal of Econometrics · 48 citations · first circulated 2012
with Mark J. Jensen
Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 13 citations · first circulated 2012
with Martin Burda
Modeling Realized Covariances and Returns
published 2012 · Journal of Financial Econometrics · 99 citations
with Xiao Jin, Xin Jin
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
published 2012 · Journal of Business and Economic Statistics · 29 citations
Intraday dynamics of volatility and duration: Evidence from Chinese stocks
published 2011 · Pacific-Basin Finance Journal · 25 citations · first circulated 2010
with Chun Liu
FORECASTING VOLATILITY IN THE PRESENCE OF MODEL INSTABILITY
published 2010 · Australian & New Zealand Journal of Statistics · 2 citations
with Jonathan J. Reeves, Xuan Xie
Do high-frequency measures of volatility improve forecasts of return distributions?
published 2010 · Journal of Econometrics · 39 citations · first circulated 2008
with Thomas H. McCurdy
Bayesian semiparametric stochastic volatility modeling
published 2010 · Journal of Econometrics · 129 citations · first circulated 2008
with Mark J. Jensen
Real time detection of structural breaks in GARCH models
published 2009 · Computational Statistics & Data Analysis · 52 citations
with Zhongfang He
Forecasting realized volatility: a Bayesian model‐averaging approach
published 2009 · Journal of Applied Econometrics · 109 citations · first circulated 2008
with Chun Liu
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
published 2009 · Journal of Business and Economic Statistics · 39 citations · first circulated 2007
with Thomas H. McCurdy
Learning, forecasting and structural breaks
published 2008 · Journal of Applied Econometrics · 76 citations · first circulated 2007
with Stephen Gordon
Are There Structural Breaks in Realized Volatility?
published 2008 · Journal of Financial Econometrics · 89 citations · first circulated 2007
with Chong Liu, Chun Liu
Components of Market Risk and Return
published 2007 · Journal of Financial Econometrics · 43 citations
with Thomas H. McCurdy
Can GARCH Models Capture Long-Range Dependence?
published 2005 · Studies in Nonlinear Dynamics and Econometrics · 51 citations
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
published 2004 · The Journal of Finance · 135 citations · first circulated 2003
with Thomas H. McCurdy
Nonlinear Features of Realized FX Volatility
published 2002 · The Review of Economics and Statistics · 118 citations · first circulated 2001
with Thomas H. McCurdy
Conditional Jump Dynamics in Stock Market Returns
published 2002 · Journal of Business and Economic Statistics · 364 citations
with Wing Hong Chan
Volatility dynamics under duration-dependent mixing
published 2000 · Journal of Empirical Finance · 10 citations
with Thomas H. McCurdy
Identifying Bull and Bear Markets in Stock Returns
published 2000 · Journal of Business and Economic Statistics · 233 citations · first circulated 1999
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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