Munich Personal RePEc Archive

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Group by: Date | Item ID
Number of items: 11.

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.

This list was generated on Mon Sep 23 08:02:53 2019 CEST.
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