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.
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,