Details about Thomas H. McCurdy

Access statistics for papers by Thomas H. McCurdy.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pmc141

Working Papers

2020

1. Bull and Bear Markets During the COVID-19 Pandemic
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2020)
   See also Journal Article Bull and bear markets during the COVID-19 pandemic, Finance Research Letters, Elsevier (2021) View citations (5) (2021)

2012

2. Do Jumps Contribute to the Dynamics of the Equity Premium?
   Working Paper series, Rimini Centre for Economic Analysis View citations (1)
   See also Journal Article Do jumps contribute to the dynamics of the equity premium?, Journal of Financial Economics, Elsevier (2013) View citations (28) (2013)

2010

3. Components of bull and bear markets: bull corrections and bear rallies
   Working Papers, University of Toronto, Department of Economics View citations (7)
   See also Journal Article Components of Bull and Bear Markets: Bull Corrections and Bear Rallies, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (45) (2012)

2009

4. Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
   Working Paper series, Rimini Centre for Economic Analysis View citations (11)
   Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (6)
   See also Journal Article Do high-frequency measures of volatility improve forecasts of return distributions?, Journal of Econometrics, Elsevier (2011) View citations (80) (2011)
5. Extracting bull and bear markets from stock returns
   Working Papers, University of Toronto, Department of Economics View citations (11)

2008

6. 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

2007

7. How useful are historical data for forecasting the long-run equity return distribution?
   Working Paper series, Rimini Centre for Economic Analysis View citations (3)
   Also in Working Papers, University of Toronto, Department of Economics (2007) View citations (4)
   See also Journal Article How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (29) (2009)
8. Modeling foreign exchange rates with jumps
   Working Papers, University of Toronto, Department of Economics View citations (2)

2003

9. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
   CIRANO Working Papers, CIRANO View citations (10)

2001

10. Nonlinear Features of Realized FX Volatility
    CIRANO Working Papers, CIRANO View citations (19)
    See also Journal Article Nonlinear Features of Realized FX Volatility, The Review of Economics and Statistics, MIT Press (2002) View citations (57) (2002)

2000

11. Volatility Dynamics Under Duration-Dependent Mixing
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (12)
    See also Journal Article Volatility dynamics under duration-dependent mixing, Journal of Empirical Finance, Elsevier (2000) View citations (11) (2000)

1999

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

1993

13. Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (163) (1994)

1991

14. A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
    Working Paper, Economics Department, Queen's University
    See also Journal Article A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators, Journal of Econometrics, Elsevier (1992) View citations (9) (1992)
15. An International Economy with Country-Specific Money and Productivity Growth Processes
    Working Paper, Economics Department, Queen's University View citations (11)
    See also Journal Article An International Economy with Country-Specific Money and Productivity Growth Processes, Canadian Journal of Economics, Canadian Economics Association (1995) View citations (6) (1995)
16. Single Beta Models and currency Futures Prices
    Working Paper, Economics Department, Queen's University
    See also Journal Article Single Beta Models and Currency Futures Prices, The Economic Record, The Economic Society of Australia (1992) View citations (2) (1992)

1989

17. 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

18. 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

19. 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 Tests of the martingale hypothesis for foreign currency futures with time-varying volatility, International Journal of Forecasting, Elsevier (1987) View citations (48) (1987)

1985

20. Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada
    Working Paper, Economics Department, Queen's University
21. Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada
    Working Paper, Economics Department, Queen's University
22. 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
    Also in Working Paper, Economics Department, Queen's University (1984)
23. Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets
    Working Paper, Economics Department, Queen's University View citations (3)

1984

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

1982

27. 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
28. Non-Steady-State Dynamic Growth Theory
    Working Paper, Economics Department, Queen's University

Journal Articles

2022

1. News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
   Journal of Financial Economics, 2022, 145, (2), 1-17 View citations (16)

2021

2. Bull and bear markets during the COVID-19 pandemic
   Finance Research Letters, 2021, 42, (C) View citations (5)
   See also Working Paper Bull and Bear Markets During the COVID-19 Pandemic, Papers (2020) (2020)

2019

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

2017

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

2013

5. Do jumps contribute to the dynamics of the equity premium?
   Journal of Financial Economics, 2013, 110, (2), 457-477 View citations (28)
   See also Working Paper Do Jumps Contribute to the Dynamics of the Equity Premium?, Working Paper series (2012) View citations (1) (2012)

2012

6. Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
   Journal of Business & Economic Statistics, 2012, 30, (3), 391-403 View citations (45)
   See also Working Paper Components of bull and bear markets: bull corrections and bear rallies, Working Papers (2010) View citations (7) (2010)

2011

7. Do high-frequency measures of volatility improve forecasts of return distributions?
   Journal of Econometrics, 2011, 160, (1), 69-76 View citations (80)
   See also Working Paper Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?, Working Paper series (2009) View citations (11) (2009)

2009

8. How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
   Journal of Business & Economic Statistics, 2009, 27, 95-112 View citations (29)
   See also Working Paper How useful are historical data for forecasting the long-run equity return distribution?, Working Paper series (2007) View citations (3) (2007)

2007

9. Components of Market Risk and Return
   Journal of Financial Econometrics, 2007, 5, (4), 560-590 View citations (23)

2002

10. Nonlinear Features of Realized FX Volatility
    The Review of Economics and Statistics, 2002, 84, (4), 668-681 View citations (57)
    See also Working Paper Nonlinear Features of Realized FX Volatility, CIRANO Working Papers (2001) View citations (19) (2001)

2000

11. Identifying Bull and Bear Markets in Stock Returns
    Journal of Business & Economic Statistics, 2000, 18, (1), 100-112 View citations (212)
12. Volatility dynamics under duration-dependent mixing
    Journal of Empirical Finance, 2000, 7, (3-4), 345-372 View citations (11)
    See also Working Paper Volatility Dynamics Under Duration-Dependent Mixing, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (12) (2000)

1998

13. Hedging foreign currency portfolios
    Journal of Empirical Finance, 1998, 5, (3), 197-220 View citations (47)

1995

14. An International Economy with Country-Specific Money and Productivity Growth Processes
    Canadian Journal of Economics, 1995, 28, (s1), 141-162 View citations (6)
    See also Working Paper An International Economy with Country-Specific Money and Productivity Growth Processes, Working Paper (1991) View citations (11) (1991)

1994

15. Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth
    Journal of Business & Economic Statistics, 1994, 12, (3), 279-88 View citations (163)
    See also Working Paper Duration Dependent Transitions in a Markov Model of U.S. GNP Growth, Working Paper (1993) View citations (1) (1993)

1992

16. A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
    Journal of Econometrics, 1992, 52, (1-2), 225-244 View citations (9)
    See also Working Paper A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators, Working Paper (1991) (1991)
17. Evidence of Risk Premiums in Foreign Currency Futures Markets
    The Review of Financial Studies, 1992, 5, (1), 65-83 View citations (24)
18. Single Beta Models and Currency Futures Prices
    The Economic Record, 1992, 68, (S1), 117-129 View citations (2)
    See also Working Paper Single Beta Models and currency Futures Prices, Working Paper (1991) (1991)

1991

19. Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity
    The Review of Economic Studies, 1991, 58, (3), 587-602 View citations (39)

1988

20. Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity
    Journal of Applied Econometrics, 1988, 3, (3), 187-202 View citations (44)

1987

21. 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
22. Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
    International Journal of Forecasting, 1987, 3, (1), 131-148 View citations (48)
    See also Working Paper Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility, Working Paper (1986) View citations (1) (1986)

1986

23. 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 View citations (5)

1984

24. Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
    Journal of International Money and Finance, 1984, 3, (3), 357-368 View citations (22)

1980

25. On Testing Theories of Financial Intermediary Portfolio Selection
    The Review of Economic Studies, 1980, 47, (5), 861-873

Chapters

2008

1. Chapter 12 Modeling Foreign Exchange Rates with Jumps
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 449-475