John Maheu

Finance and Business Economics
BMO Financial Group Chair in Capital Markets – Financial Literacy and the Individual Investor
McMaster University 1280 Main Street West Hamilton, ON, Canada L8S 4M4

905-525-9140, x26198 Available to supervise

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.

Curriculum Vitae.


  • 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

Selected Publications and Presentations

Recent Publications

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.


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,
Italy, 2007-

Professional Activities

  • Associate Editor, Journal of Applied Econometrics, 2014-
  • Associate Editor, Journal of Empirical Finance, 2012-
  • Guest Editor, Computational Statistics and Data Analysis, 2013-
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