John Maheu

Professor

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

DSB-305

905-525-9140, x26198

maheujm@mcmaster.ca

Available to supervise

Website

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.

Education

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.

Recognition

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-