Publications

by members of

Finance
Rotman School of Management
University of Toronto
Toronto, Canada

Working papers

2009

1. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics. [Downloadable!]
2. John M. Maheu & Thomas H. McCurdy, 2009. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Paper Series wp19_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

2008

1. John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics. [Downloadable!]

2007

1. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics. [Downloadable!]
2. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics. [Downloadable!]
3. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series 19-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]

2005

1. John M Maheu & Thomas H McCurdy, 2005. "The long-run relationship between market risk and return," Working Papers tecipa-204, University of Toronto, Department of Economics. [Downloadable!]

2004

1. Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004. "Theft and Taxes," NBER Working Papers 10978, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Desai, Mihir & Dyck, Alexander & Zingales, Luigi, 2004. "Theft and Taxes," CEPR Discussion Papers 4816, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

2003

1. Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2003. "Theft and Taxes," International Tax Program Papers 0501, International Tax Program, Institute for International Business, Joseph L. Rotman School of Management, University of Toronto, revised Dec 2004. [Downloadable!]
2. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO. [Downloadable!]

2002

1. Alexander Dyck & Luigi Zingales, 2002. "The Corporate Governance Role of the Media," NBER Working Papers 9309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Dyck, Alexander & Zingales, Luigi, 2002. "The Corporate Governance Role of the Media," CEPR Discussion Papers 3630, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
3. Alexander Dyck & Luigi Zingales, 2002. "Private Benefits of Control: An International Comparison," NBER Working Papers 8711, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Dyck, Alexander & Zingales, Luigi, 2002. "Private Benefits of Control: An International Comparison," CEPR Discussion Papers 3177, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

2001

1. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]

2000

1. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society. [Downloadable!]

1999

1. Maheu, J.M. & McCurdy, T.H., 1999. "A Semi-Markov Approach to Modeling Volatility Dynamics," Rotman School of Management - Finance 99-004, Rotman School of Management, University of Toronto.

1993

1. J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.

1991

1. Thomas H. McCurdy & Thanasis Stengos, 1991. "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators," Working Papers 843, Queen's University, Department of Economics.
2. Thomas H. McCurdy & Nicolas Ricketts, 1991. "An International Economy with Country-Specific Money and Productivity Growth Processes," Working Papers 846, Queen's University, Department of Economics.
3. Ieuan G. Morgan & Thomas H. McCurdy, 1991. "Single Beta Models and Currency Futures Prices," Working Papers 845, Queen's University, Department of Economics.

1989

1. McCurdy, T.H. & Morgan, I.G., 1989. "Evidence of risk Premia in Foreign Currency Futures Markets," UFAE and IAE Working Papers 130.90, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

1988

1. Julian R. Betts & Thomas H. McCurdy, 1988. "Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's," Working Papers 730, Queen's University, Department of Economics.

1986

1. Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Papers 663, Queen's University, Department of Economics.

1985

1. Thomas H. McCurdy, 1985. "Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Papers 619, Queen's University, Department of Economics.
2. Thomas H. McCurdy, 1985. "Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Papers 618, Queen's University, Department of Economics.
3. Thomas H. McCurdy & Ieuan G. Morgan, 1985. "Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets," Working Papers 639, Queen's University, Department of Economics.

1984

1. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "On the Boundary Between Keynesian Unemployment and Repressed Inflation," Working Papers 568, Queen's University, Department of Economics.
2. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets," Working Papers 569, Queen's University, Department of Economics.
3. Allan W. Gregory & Thomas H. McCurdy, 1984. "The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis," Working Papers 566, Queen's University, Department of Economics.
4. Thomas H. McCurdy, 1984. "An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks," Working Papers 571, Queen's University, Department of Economics.

1982

1. Thomas H. McCurdy, 1982. "Non-Steady-State Dynamic Growth Theory," Working Papers 484, Queen's University, Department of Economics.
2. Allan W. Gregory & Thomas H. McCurdy, 1982. "Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data," Working Papers 507, Queen's University, Department of Economics.

Undated

1. Mihir Desai & Alexander Dyck & Luigi Zingales, . "Corporate Governance and Taxation," American Law & Economics Association Annual Meetings 1093, American Law & Economics Association. [Downloadable!]

Journal articles

2009

1. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112. [Downloadable!] (restricted)

2004

1. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November. [Downloadable!] (restricted)
2. Alexander Dyck & Luigi Zingales, 2004. "Private Benefits of Control: An International Comparison," Journal of Finance, American Finance Association, vol. 59(2), pages 537-600, 04. [Downloadable!] (restricted)
3. John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 755-793, 04. [Downloadable!] (restricted)

2003

1. Michael I. Cragg & I. J. Alexander Dyck, 2003. "Privatization and Management Incentives: Evidence from the United Kingdom," Journal of Law, Economics and Organization, Oxford University Press, vol. 19(1), pages 176-217, April.

2002

1. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, October. [Downloadable!] (restricted)

2000

1. Cragg, Michael I. & Dyck, I. J., 2000. "Executive Pay and UK Privatization: The Demise of 'One Country, Two Systems'," Journal of Business Research, Elsevier, vol. 47(1), pages 3-18, January. [Downloadable!] (restricted)
2. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November. [Downloadable!] (restricted)
3. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.

1999

1. Michael Ian Cragg & I.J. Alexander Dyck, 1999. "Management Control and Privatization in the United Kingdom," RAND Journal of Economics, The RAND Corporation, vol. 30(3), pages 475-497, Autumn. [Downloadable!] (restricted)

1998

1. Dyck, I. J. Alexander & Wruck, Karen Hopper, 1998. "Organization structure, contract design and government ownership: A clinical analysis of German privatization1," Journal of Corporate Finance, Elsevier, vol. 4(3), pages 265-299, September. [Downloadable!] (restricted)
2. Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H., 1998. "Hedging foreign currency portfolios," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 197-220, September. [Downloadable!] (restricted)

1997

1. Dyck, I J Alexander, 1997. "Privatization in Eastern Germany: Management Selection and Economic Transition," American Economic Review, American Economic Association, vol. 87(4), pages 565-97, September. [Downloadable!] (restricted)

1995

1. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May. [Downloadable!] (restricted)

1994

1. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.

1993

1. Hull, John & White, Alan, 1993. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(02), pages 235-254, June. [Downloadable!]

1992

1. McCurdy, Thomas H. & Stengos, Thanasis, 1992. "A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 225-244. [Downloadable!] (restricted)
2. McCurdy, Thomas H & Morgan, Ieuan G, 1992. "Single Beta Models and Currency Futures Prices," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 117-29, Supplemen.
3. McCurdy, Thomas H & Morgan, Ieuan, 1992. "Evidence of Risk Premiums in Foreign Currency Futures Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(1), pages 65-83. [Downloadable!] (restricted)

1991

1. McCurdy, Thomas H & Morgan, Ieuan G, 1991. "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 587-602, May. [Downloadable!] (restricted)

1990

1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(4), pages 573-92. [Downloadable!] (restricted)
2. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 87-100, March. [Downloadable!]

1988

1. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 237-251, September. [Downloadable!]
2. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept. [Downloadable!] (restricted)

1987

1. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
2. Hull, John & White, Alan, 1987. "Hedging the risks from writing foreign currency options," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 131-152, June. [Downloadable!] (restricted)
3. McCurdy, Thomas H., 1987. "Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada," Journal of Policy Modeling, Elsevier, vol. 9(2), pages 337-365. [Downloadable!] (restricted)
4. McCurdy, Thomas H. & Morgan, Ieuan G., 1987. "Tests of the martingale hypothesis for foreign currency futures with time-varying volatility," International Journal of Forecasting, Elsevier, vol. 3(1), pages 131-148. [Downloadable!] (restricted)

1986

1. Gregory, Allan W. & McCurdy, Thomas H., 1986. "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, Elsevier, vol. 30(2), pages 365-381, April. [Downloadable!] (restricted)

1984

1. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December. [Downloadable!] (restricted)

1980

1. Berndt, Ernst R & McCurdy, Thomas H & Rose, David E, 1980. "On Testing Theories of Financial Intermediary Portfolio Selection," Review of Economic Studies, Blackwell Publishing, vol. 47(5), pages 861-73, October. [Downloadable!] (restricted)

This page was last updated on 2009-12-2.