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Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 16.

December 2013

Jensen, Mark J and Maheu, John M (2013): Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.

10 April 2014

Jin, Xin and Maheu, John M (2014): Modeling Covariance Breakdowns in Multivariate GARCH.

November 2014

Jin, Xin and Maheu, John M (2014): Bayesian Semiparametric Modeling of Realized Covariance Matrices.

January 2015

Maheu, John M and Yang, Qiao (2015): An Infinite Hidden Markov Model for Short-term Interest Rates.

1 September 2015

Liu, Jia and Maheu, John M (2015): Improving Markov switching models using realized variance.

10 May 2016

Griffin, Jim and Liu, Jia and Maheu, John M (2016): Bayesian Nonparametric Estimation of Ex-post Variance.

16 September 2016

Maheu, John M and Shamsi, Azam (2016): Nonparametric Dynamic Conditional Beta.

May 2017

Maheu, John M and Song, Yong (2017): An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series.

12 October 2017

Jin, Xin and Maheu, John M and Yang, Qiao (2017): Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices.

2018

Maheu, John M and Yang, Qiao and Song, Yong (2018): Oil Price Shocks and Economic Growth: The Volatility Link.

January 2018

Maheu, John M and Song, Yong and Yang, Qiao (2018): Oil Price Shocks and Economic Growth: The Volatility Link.

November 2020

Maheu, John M and McCurdy, Thomas H and Song, Yong (2020): Bull and Bear Markets During the COVID-19 Pandemic.

December 2020

Li, Chenxing and Maheu, John M (2020): A Multivariate GARCH-Jump Mixture Model.

25 November 2022

Li, Chenxing and Maheu, John M and Yang, Qiao (2022): An Infinite Hidden Markov Model with Stochastic Volatility.

2023

Liu, Jia and Maheu, John M and Song, Yong (2023): Identification and Forecasting of Bull and Bear Markets using Multivariate Returns.

11 September 2023

Li, Chenxing and Maheu, John M (2023): Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?

This list was generated on Thu Nov 7 21:29:55 2024 CET.
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