John M. Maheu

Overview

John M. Maheu is an econometrician at the University of Toronto. His research focuses on Bayesian econometrics for financial time series, including jump models, stochastic volatility, and nonparametric methods. He is co-developer (with Mark J. Jensen) of the SV-DPM semiparametric stochastic volatility model that replaces the parametric return distribution with a Dirichlet Process Mixture.

Key Contributions

• Jensen-Maheu (2008): Semiparametric Bayesian SV with DPM return distribution; demonstrated that distributional misspecification severely inflates the estimated volatility-of-volatility; 4-block MCMC with Fleming-Kirby block sampler and Chinese Restaurant Process; CRSP daily returns 1980–2006: $\hat\phi=0.9877$, $\hat\sigma_v^2=0.0103$, avg. $k=7.16$ clusters. See Jensen-Maheu (2008) and Stochastic Volatility.

Related

• Mark J. Jensen
• Stochastic Volatility
• Dirichlet Process Mixture
• Mixture of Normals