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Thomas H. McCurdy

Personal Details

First Name:Thomas
Middle Name:H.
Last Name:McCurdy
Suffix:
RePEc Short-ID:pmc141
[This author has chosen not to make the email address public]
http://www.rotman.utoronto.ca/~tmccurdy

Affiliation

Finance
Rotman School of Management
University of Toronto

Toronto, Canada
http://www.rotman.utoronto.ca/FacultyAndResearch/AcademicAreas/Finance.aspx
RePEc:edi:dftorca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
  2. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
  3. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  4. 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.
  5. John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series 19_09, Rimini Centre for Economic Analysis.
  6. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  7. 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.
  8. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  9. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  10. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  11. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  12. 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.
  13. J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Paper 887, Economics Department, Queen's University.
  14. Thomas H. McCurdy & Thansis Stengos, 1991. "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators," Working Paper 843, Economics Department, Queen's University.
  15. Nicholas Ricketts & Thomas H. McCurdy, 1991. "An International Economy with Country-Specific Money and Productivity Growth Processes," Working Paper 846, Economics Department, Queen's University.
  16. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Single Beta Models and currency Futures Prices," Working Paper 845, Economics Department, Queen's University.
  17. 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).
  18. 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 Paper 730, Economics Department, Queen's University.
  19. Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Paper 663, Economics Department, Queen's University.
  20. McCurdy, Thomas H. & Yannelis, Demetrius C., 1985. "Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets," Queen's Institute for Economic Research Discussion Papers 275195, Queen's University - Department of Economics.
  21. Thomas H. McCurdy, 1985. "Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Paper 618, Economics Department, Queen's University.
  22. Thomas H. McCurdy, 1985. "Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Paper 619, Economics Department, Queen's University.
  23. Thomas H. McCurdy & Ieuan G. Morgan, 1985. "Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets," Working Paper 639, Economics Department, Queen's University.
  24. Thomas H. McCurdy, 1984. "An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks," Working Paper 571, Economics Department, Queen's University.
  25. Allan W. Gregory & Thomas H. McCurdy, 1984. "The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis," Working Paper 566, Economics Department, Queen's University.
  26. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "On the Boundary Between Keynesian Unemployment and Repressed Inflation," Working Paper 568, Economics Department, Queen's University.
  27. 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 Paper 507, Economics Department, Queen's University.
  28. Thomas H. McCurdy, 1982. "Non-Steady-State Dynamic Growth Theory," Working Paper 484, Economics Department, Queen's University.
    repec:ags:quedwp:273247 is not listed on IDEAS
    repec:ags:quedwp:273244 is not listed on IDEAS
    repec:ags:quedwp:273295 is not listed on IDEAS
    repec:vuw:vuwcsr:4009 is not listed on IDEAS

Articles

  1. Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
  2. Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  3. Mak, Kevin & McCurdy, Thomas H., 2019. "Simulation-based learning using the RIT market simulator and RIT decision cases," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 12-22.
  4. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
  5. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  6. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  7. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  8. 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.
  9. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 560-590, Fall.
  10. 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, November.
  11. 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.
  12. 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.
  13. 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.
  14. Nicholas Ricketts & Thomas H. McCurdy, 1995. "An International Economy with Country-Specific Money and Productivity Growth Processes," Canadian Journal of Economics, Canadian Economics Association, vol. 28(s1), pages 141-162, November.
  15. 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 279-288, July.
  16. McCurdy, Thomas H & Morgan, Ieuan, 1992. "Evidence of Risk Premiums in Foreign Currency Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 65-83.
  17. 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.
  18. THOMAS H. McCURDY & IEUAN G. MORGAN, 1992. "Single Beta Models and Currency Futures Prices," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 117-129, December.
  19. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 587-602.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Ernst R. Berndt & Thomas H. McCurdy & David E. Rose, 1980. "On Testing Theories of Financial Intermediary Portfolio Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(5), pages 861-873.

Chapters

  1. John M. Maheu & Thomas H. McCurdy, 2008. "Chapter 12 Modeling Foreign Exchange Rates with Jumps," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 449-475, Emerald Group Publishing Limited.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2001-07-17 2003-07-16 2007-02-10 2007-06-30 2009-08-16. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2001-07-13 2007-06-30 2008-08-21 2010-04-17
  3. NEP-FOR: Forecasting (3) 2007-02-10 2007-06-30 2008-08-21
  4. NEP-RMG: Risk Management (3) 2007-06-30 2008-08-21 2021-01-18
  5. NEP-FMK: Financial Markets (2) 2001-07-13 2021-01-18
  6. NEP-MST: Market Microstructure (2) 2007-02-10 2008-08-21
  7. NEP-FIN: Finance (1) 2003-07-13
  8. NEP-IFN: International Finance (1) 2007-02-10
  9. NEP-LAB: Labour Economics (1) 2007-06-30
  10. NEP-MON: Monetary Economics (1) 2020-12-21
  11. NEP-ORE: Operations Research (1) 2021-01-18
  12. NEP-UPT: Utility Models and Prospect Theory (1) 2012-07-08

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