Loading...

← Back to Leaderboard

John M. Maheu

Institution: McMaster University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://profs.degroote.mcmaster.ca/ads/maheujm/

First Publication: 2002

Most Recent: 2024

RePEc ID: pma144 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 1.35 0.90 0.00 2.24 58%
Last 10 Years 0.00 5.38 4.26 0.00 9.64 87%
All Time 0.00 20.18 5.27 0.00 25.45 95%

Publication Statistics

Raw Publications 18
Coauthorship-Adjusted Count 15.37

Publications (18)

Year Article Journal Tier Authors
2024 Bayesian forecasting in economics and finance: A modern review International Journal of Forecasting B 9
2024 Identification and forecasting of bull and bear markets using multivariate returns Journal of Applied Econometrics B 3
2022 Infinite Markov pooling of predictive distributions Journal of Econometrics A 3
2020 Oil price shocks and economic growth: The volatility link International Journal of Forecasting B 3
2019 Bayesian parametric and semiparametric factor models for large realized covariance matrices Journal of Applied Econometrics B 3
2018 An efficient Bayesian approach to multiple structural change in multivariate time series Journal of Applied Econometrics B 2
2018 Improving Markov switching models using realized variance Journal of Applied Econometrics B 2
2016 Bayesian semiparametric modeling of realized covariance matrices Journal of Econometrics A 2
2016 Modeling covariance breakdowns in multivariate GARCH Journal of Econometrics A 2
2014 Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture Journal of Econometrics A 2
2014 A new structural break model, with an application to Canadian inflation forecasting International Journal of Forecasting B 2
2013 Bayesian semiparametric multivariate GARCH modeling Journal of Econometrics A 2
2013 Do jumps contribute to the dynamics of the equity premium? Journal of Financial Economics A 3
2012 Components of Bull and Bear Markets: Bull Corrections and Bear Rallies Journal of Business & Economic Statistics A 3
2011 Do high-frequency measures of volatility improve forecasts of return distributions? Journal of Econometrics A 2
2010 Bayesian semiparametric stochastic volatility modeling Journal of Econometrics A 2
2004 News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns Journal of Finance A 2
2002 Nonlinear Features of Realized FX Volatility Review of Economics and Statistics A 2