| News arrival, jump dynamics, and volatility components for individual stock returns JM Maheu, TH McCurdy The Journal of Finance 59 (2), 755-793, 2004 | 740 | 2004 |
| Identifying bull and bear markets in stock returns JM Maheu, TH McCurdy Journal of Business & Economic Statistics 18 (1), 100-112, 2000 | 571 | 2000 |
| Conditional jump dynamics in stock market returns WH Chan, JM Maheu Journal of Business & Economic Statistics 20 (3), 377-389, 2002 | 475 | 2002 |
| Nonlinear features of realized FX volatility JM Maheu, TH McCurdy Review of Economics and Statistics 84 (4), 668-681, 2002 | 163 | 2002 |
| Do high-frequency measures of volatility improve forecasts of return distributions? JM Maheu, TH McCurdy Journal of Econometrics 160 (1), 69-76, 2011 | 159 | 2011 |
| Bayesian semiparametric stochastic volatility modeling MJ Jensen, JM Maheu Journal of Econometrics 157 (2), 306-316, 2010 | 137 | 2010 |
| Modeling realized covariances and returns X Jin, JM Maheu Journal of Financial Econometrics 11 (2), 335-369, 2013 | 136 | 2013 |
| Components of bull and bear markets: bull corrections and bear rallies JM Maheu, TH McCurdy, Y Song Journal of Business & Economic Statistics 30 (3), 391-403, 2012 | 121 | 2012 |
| Are there structural breaks in realized volatility? C Liu, JM Maheu Journal of Financial Econometrics 6 (3), 326-360, 2008 | 120 | 2008 |
| Forecasting realized volatility: a Bayesian model‐averaging approach C Liu, JM Maheu Journal of Applied Econometrics 24 (5), 709-733, 2009 | 115 | 2009 |
| Learning, forecasting and structural breaks JM Maheu, S Gordon Journal of Applied Econometrics 23 (5), 553-583, 2008 | 86 | 2008 |
| Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture MJ Jensen, JM Maheu Journal of Econometrics 178, 523-538, 2014 | 78 | 2014 |
| Do jumps contribute to the dynamics of the equity premium? JM Maheu, TH McCurdy, X Zhao Journal of Financial Economics 110 (2), 457-477, 2013 | 78 | 2013 |
| Can GARCH models capture long-range dependence? J Maheu Studies in Nonlinear Dynamics & Econometrics 9 (4), 2005 | 77 | 2005 |
| Real time detection of structural breaks in GARCH models Z He, JM Maheu Computational Statistics & Data Analysis 54 (11), 2628-2640, 2010 | 63 | 2010 |
| Bayesian semiparametric multivariate GARCH modeling MJ Jensen, JM Maheu Journal of Econometrics 176 (1), 3-17, 2013 | 61 | 2013 |
| Components of market risk and return JM Maheu, TH McCurdy Journal of Financial Econometrics 5 (4), 560-590, 2007 | 54 | 2007 |
| Bayesian semiparametric modeling of realized covariance matrices X Jin, JM Maheu Journal of Econometrics 192 (1), 19-39, 2016 | 53 | 2016 |
| Oil price shocks and economic growth: The volatility link JM Maheu, Y Song, Q Yang International Journal of Forecasting 36 (2), 570-587, 2020 | 47 | 2020 |
| An infinite hidden Markov model for short-term interest rates JM Maheu, Q Yang Journal of Empirical Finance 38 (A), 202–220, 2016 | 40 | 2016 |
Thomas H. McCurdyRotman School of Management, University of TorontoVerified email at rotman.utoronto.ca
