John Maheu

John Maheu

Dr. John Maheu
Professor
  • Finance and Business Economics
Available to Supervise
  • Faculty
Designations:
BMO Financial Group Chair in Capital Markets – Financial Literacy and the Individual Investor
  • Tags:
  • mba
  • phd

Contact Information

Email: maheujm@mcmaster.ca
Office: DSB-305
Phone: 905-525-9140 ext. 26198
Website: Visit

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
  • 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,
Italy, 2007-

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.