Dr. John Maheu
- Finance and Business Economics
Specializes in the areas of Time-series Econometrics, Empirical Finance.
Maheu is currently the BMO Financial Group Chair in Capital Markets – Financial Literacy and the Individual Investor.
- Ph.D., Economics 1998, Queen’s University, Kingston, Ontario, Canada.
- M.A., Economics 1993, Queen’s University, Kingston, Ontario, Canada.
- B.A. Honours Mathematics and Economics, 1992,
McMaster University, Hamilton, Ontario, Canada,
Summa Cum Laude
- Associate Editor, Journal of Applied Econometrics, 2014-
- Associate Editor, Journal of Empirical Finance, 2012-
- Guest Editor, Computational Statistics and Data Analysis, 2013-
The 2012 Arnold Zellner Award for the most significant theoretical paper (Jensen and Maheu 2010) published in the Journal of Econometrics in 2010-2011.
Dean’s Merit Award, 2010, University of Toronto
Senior Fellow, The Rimini Centre for Economic Analysis, Rimini,
Maheu J. M. and T. H. McCurdy and Y. Song (2012) “Components of bull and bear markets: bull corrections and bear rallies”, Journal of Business and Economic Statistics, 30(3), 391-403.
Xin J. and J. M. Maheu (2013) “Modeling Realized Covariances and Returns”, Journal of Financial Econometrics 11(2), 335-369
Burda M. and J. M. Maheu (2013) “Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models”, Studies in Nonlinear Dynamics & Econometrics, 17(4), 345-372.
Jensen M. J. and J. M. Maheu (2013) “Bayesian Semiparametric Multivariate GARCH Modeling”, Journal of Econometrics, 176, 3-17.
Maheu J. M. and T. H. McCurdy and X. Zhao (2013) “Do Jumps Contribute to the Dynamics of the Equity Premium”, Journal of Financial Economics, 110(2) 457-477.
Jensen M. J. and J. M. Maheu (2014) “Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture”, Journal of Econometrics, 178, part 3, 523-538
Maheu J. M. and Y. Song (2014) “A New Structural Break Model with Application to Canadian Inflation Forecasting”, International Journal of Forecasting, 30(1), 144-160.