Jensen, Mark J and Maheu, John M (2013): Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.
Jin, Xin and Maheu, John M (2014): Modeling Covariance Breakdowns in Multivariate GARCH.
Jin, Xin and Maheu, John M (2014): Bayesian Semiparametric Modeling of Realized Covariance Matrices.
Maheu, John M and Yang, Qiao (2015): An Infinite Hidden Markov Model for Short-term Interest Rates.
Liu, Jia and Maheu, John M (2015): Improving Markov switching models using realized variance.
Griffin, Jim and Liu, Jia and Maheu, John M (2016): Bayesian Nonparametric Estimation of Ex-post Variance.
Maheu, John M and Shamsi, Azam (2016): Nonparametric Dynamic Conditional Beta.
Maheu, John M and Song, Yong (2017): An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series.
Jin, Xin and Maheu, John M and Yang, Qiao (2017): Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.
Maheu, John M and Yang, Qiao and Song, Yong (2018): Oil Price Shocks and Economic Growth: The Volatility Link.
Maheu, John M and Song, Yong and Yang, Qiao (2018): Oil Price Shocks and Economic Growth: The Volatility Link.
Maheu, John M and McCurdy, Thomas H and Song, Yong (2020): Bull and Bear Markets During the COVID-19 Pandemic.
Li, Chenxing and Maheu, John M (2020): A Multivariate GARCH-Jump Mixture Model.
Li, Chenxing and Maheu, John M and Yang, Qiao (2022): An Infinite Hidden Markov Model with Stochastic Volatility.
Liu, Jia and Maheu, John M and Song, Yong (2023): Identification and Forecasting of Bull and Bear Markets using Multivariate Returns.
Li, Chenxing and Maheu, John M (2023): Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?
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