EconPapers    
Economics at your fingertips  
 

Details about Tom McCurdy

Homepage:http://www.rotman.utoronto.ca/~tmccurdy
Workplace:Finance, Rotman School of Management, University of Toronto, (more information at EDIRC)

Access statistics for papers by Tom McCurdy.

Last updated 2021-02-01. Update your information in the RePEc Author Service.

Short-id: pmc141


Jump to Journal Articles

Working Papers

2020

  1. Bull and Bear Markets During the COVID-19 Pandemic
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Papers, arXiv.org (2020) Downloads

2012

  1. Do Jumps Contribute to the Dynamics of the Equity Premium?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2013)

2010

  1. Components of bull and bear markets: bull corrections and bear rallies
    Working Papers, University of Toronto, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2009

  1. Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (5)
    Also in Working Papers, University of Toronto, Department of Economics (2008) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2011)
  2. Extracting bull and bear markets from stock returns
    Working Papers, University of Toronto, Department of Economics Downloads View citations (10)

2008

  1. A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation Downloads

2007

  1. How useful are historical data for forecasting the long-run equity return distribution?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in Working Papers, University of Toronto, Department of Economics (2007) Downloads View citations (4)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  2. Modeling foreign exchange rates with jumps
    Working Papers, University of Toronto, Department of Economics Downloads View citations (2)

2003

  1. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
    CIRANO Working Papers, CIRANO Downloads View citations (5)

2001

  1. Nonlinear Features of Realized FX Volatility
    CIRANO Working Papers, CIRANO Downloads View citations (18)
    See also Journal Article in The Review of Economics and Statistics (2002)

2000

  1. Volatility Dynamics Under Duration-Dependent Mixing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
    See also Journal Article in Journal of Empirical Finance (2000)

1999

  1. A Semi-Markov Approach to Modeling Volatility Dynamics
    Rotman School of Management - Finance, Rotman School of Management, University of Toronto

1993

  1. Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
    Working Paper, Economics Department, Queen's University Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (1994)

1991

  1. A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
    Working Paper, Economics Department, Queen's University Downloads
    See also Journal Article in Journal of Econometrics (1992)
  2. An International Economy with Country-Specific Money and Productivity Growth Processes
    Working Paper, Economics Department, Queen's University Downloads View citations (11)
    See also Journal Article in Canadian Journal of Economics (1995)
  3. Single Beta Models and currency Futures Prices
    Working Paper, Economics Department, Queen's University Downloads
    See also Journal Article in The Economic Record (1992)

1989

  1. Evidence of risk Premia in Foreign Currency Futures Markets
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (5)

1988

  1. Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's
    Working Paper, Economics Department, Queen's University View citations (1)

1986

  1. Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article in International Journal of Forecasting (1987)

1985

  1. Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada
    Working Paper, Economics Department, Queen's University
  2. Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada
    Working Paper, Economics Department, Queen's University
  3. Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics Downloads
    Also in Working Paper, Economics Department, Queen's University (1984)
  4. Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets
    Working Paper, Economics Department, Queen's University View citations (3)

1984

  1. An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks
    Working Paper, Economics Department, Queen's University
  2. On the Boundary Between Keynesian Unemployment and Repressed Inflation
    Working Paper, Economics Department, Queen's University
  3. The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis
    Working Paper, Economics Department, Queen's University

1982

  1. Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data
    Working Paper, Economics Department, Queen's University
  2. Non-Steady-State Dynamic Growth Theory
    Working Paper, Economics Department, Queen's University

Journal Articles

2019

  1. Simulation-based learning using the RIT market simulator and RIT decision cases
    Journal of Behavioral and Experimental Finance, 2019, 23, (C), 12-22 Downloads

2017

  1. Time-Varying Window Length for Correlation Forecasts
    Econometrics, 2017, 5, (4), 1-29 Downloads

2013

  1. Do jumps contribute to the dynamics of the equity premium?
    Journal of Financial Economics, 2013, 110, (2), 457-477 Downloads View citations (18)
    See also Working Paper (2012)

2012

  1. Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
    Journal of Business & Economic Statistics, 2012, 30, (3), 391-403 Downloads View citations (24)
    See also Working Paper (2010)

2011

  1. Do high-frequency measures of volatility improve forecasts of return distributions?
    Journal of Econometrics, 2011, 160, (1), 69-76 Downloads View citations (66)
    See also Working Paper (2009)

2009

  1. How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
    Journal of Business & Economic Statistics, 2009, 27, 95-112 Downloads View citations (23)
    See also Working Paper (2007)

2007

  1. Components of Market Risk and Return
    Journal of Financial Econometrics, 2007, 5, (4), 560-590 Downloads View citations (21)

2002

  1. Nonlinear Features of Realized FX Volatility
    The Review of Economics and Statistics, 2002, 84, (4), 668-681 Downloads View citations (48)
    See also Working Paper (2001)

2000

  1. Identifying Bull and Bear Markets in Stock Returns
    Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (175)
  2. Volatility dynamics under duration-dependent mixing
    Journal of Empirical Finance, 2000, 7, (3-4), 345-372 Downloads View citations (8)
    See also Working Paper (2000)

1998

  1. Hedging foreign currency portfolios
    Journal of Empirical Finance, 1998, 5, (3), 197-220 Downloads View citations (39)

1995

  1. An International Economy with Country-Specific Money and Productivity Growth Processes
    Canadian Journal of Economics, 1995, 28, (s1), 141-162 Downloads View citations (1)
    See also Working Paper (1991)

1994

  1. Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth
    Journal of Business & Economic Statistics, 1994, 12, (3), 279-88 View citations (126)
    See also Working Paper (1993)

1992

  1. A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
    Journal of Econometrics, 1992, 52, (1-2), 225-244 Downloads View citations (9)
    See also Working Paper (1991)
  2. Evidence of Risk Premiums in Foreign Currency Futures Markets
    Review of Financial Studies, 1992, 5, (1), 65-83 Downloads View citations (19)
  3. Single Beta Models and Currency Futures Prices
    The Economic Record, 1992, 68, (S1), 117-129 Downloads View citations (1)
    See also Working Paper (1991)

1991

  1. Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity
    Review of Economic Studies, 1991, 58, (3), 587-602 Downloads View citations (36)

1988

  1. Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity
    Journal of Applied Econometrics, 1988, 3, (3), 187-202 Downloads View citations (37)

1987

  1. Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada
    Journal of Policy Modeling, 1987, 9, (2), 337-365 Downloads
  2. Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
    International Journal of Forecasting, 1987, 3, (1), 131-148 Downloads View citations (40)
    See also Working Paper (1986)

1986

  1. The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany
    European Economic Review, 1986, 30, (2), 365-381 Downloads View citations (2)

1984

  1. Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
    Journal of International Money and Finance, 1984, 3, (3), 357-368 Downloads View citations (21)

1980

  1. On Testing Theories of Financial Intermediary Portfolio Selection
    Review of Economic Studies, 1980, 47, (5), 861-873 Downloads
 
Page updated 2021-04-22