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Tom McCurdy

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Personal Details

First Name: Tom
Middle Name:
Last Name: McCurdy
Suffix:

RePEc Short-ID: pmc141

Email: [This author has chosen not to make the email address public]
Homepage: http://www.rotman.utoronto.ca/~tmccurdy
Postal Address:
Phone:

Affiliation

Finance
Rotman School of Management
University of Toronto
Location: Toronto, Canada
Homepage: http://www.rotman.utoronto.ca/FacultyAndResearch/AcademicAreas/Finance.aspx
Email:
Phone: 416.978.3499
Fax:
Postal: 105 St. George St., Toronto, Ontario, M5S 3E6
Handle: RePEc:edi:dftorca (more details at EDIRC)

Works

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Working papers

  1. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper Series 47_12, The Rimini Centre for Economic Analysis.
  2. 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.
  3. 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.
  4. 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.
  5. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  6. 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.
  7. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  8. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  9. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  10. 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.
  11. 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.
  12. Thomas H. McCurdy & Thansis 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.
  13. Nicholas Ricketts & Thomas H. McCurdy, 1991. "An International Economy with Country-Specific Money and Productivity Growth Processes," Working Papers 846, Queen's University, Department of Economics.
  14. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Single Beta Models and currency Futures Prices," Working Papers 845, Queen's University, Department of Economics.
  15. 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).
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Thomas H. McCurdy, 1984. "An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks," Working Papers 571, Queen's University, Department of Economics.
  25. Thomas H. McCurdy, 1982. "Non-Steady-State Dynamic Growth Theory," Working Papers 484, Queen's University, Department of Economics.
  26. 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.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 560-590, Fall.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. McCurdy, Thomas H & Morgan, Ieuan, 1992. "Evidence of Risk Premiums in Foreign Currency Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 65-83.
  14. 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.
  15. 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.
  16. McCurdy, Thomas H & Morgan, Ieuan G, 1991. "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 587-602, May.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Berndt, Ernst R & McCurdy, Thomas H & Rose, David E, 1980. "On Testing Theories of Financial Intermediary Portfolio Selection," Review of Economic Studies, Wiley Blackwell, vol. 47(5), pages 861-73, October.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (5) 2003-07-16 2007-02-10 2007-06-30 2007-11-03 2009-08-16. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2007-06-30 2008-08-21 2010-04-17. Author is listed
  3. NEP-FIN: Finance (1) 2003-07-13
  4. NEP-FOR: Forecasting (4) 2007-02-10 2007-06-30 2007-11-03 2008-08-21. Author is listed
  5. NEP-IFN: International Finance (1) 2007-02-10
  6. NEP-LAB: Labour Economics (2) 2007-06-30 2007-11-03. Author is listed
  7. NEP-MST: Market Microstructure (2) 2007-02-10 2008-08-21. Author is listed
  8. NEP-RMG: Risk Management (3) 2007-06-30 2007-11-03 2008-08-21. Author is listed
  9. NEP-UPT: Utility Models & Prospect Theory (1) 2012-07-08

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  2. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  3. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  5. Strength of students

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