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Publications

by members of

Finance
Rotman School of Management
University of Toronto
Toronto, Canada

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

Undated material is listed at the end

2020

  1. Yuxi Cai & Fan Long & Andreas Park & Andreas Veneris, 2020. "Engineering Economics in the Conflux Network," Papers 2004.13696, arXiv.org.

2019

  1. Andreas Veneris & Andreas Park, 2019. "Special Drawing Rights in a New Decentralized Century," Papers 1907.11057, arXiv.org.
  2. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.

2017

  1. Mariana Khapko & Marius Andrei Zoican, 2017. ""Smart" Settlement," Post-Print hal-01491563, HAL.
  2. Kick, Thomas & Celerier, Claire & Ongena, Steven, 2017. "Changes in the Cost of Bank Equity and the Supply of Bank Credit," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168164, Verein für Socialpolitik / German Economic Association.

2016

  1. Lucyna Anna Gornicka & Marius Andrei Zoican, 2016. "Too-International-to-Fail? Supranational Bank Resolution and Market Discipline," Post-Print hal-01253632, HAL.
  2. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
  3. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
  4. Claire Célérier & Boris Vallée, 2016. "Catering to investors through product complexity," ESRB Working Paper Series 14, European Systemic Risk Board.
  5. Gunther Capelle-Blancard & Claire Célérier, 2016. "Étudier à Paris, travailler à Londres : fuite des cerveaux et allocation des talents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441800, HAL.

2014

  1. Marius Andrei Zoican & Lucyna Anna Gornicka, 2014. "Banking Union Optimal Design under Moral Hazard," 2014 Papers pzo33, Job Market Papers.
  2. Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
  3. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.
  4. Claire Célérier & Adrien Matray, 2014. "Mainstream Finance: Why Don't the Poor Participate? Evidence from Bank Branching Deregulation in the United States," Working Papers hal-02058261, HAL.
  5. Matray , Adrien & Celerier , Claire, 2014. "Unbanked Households: Evidence of Supply-Side Factors," HEC Research Papers Series 1039, HEC Paris.

2013

  1. Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican, 2013. "Central Clearing and Asset Prices," Tinbergen Institute Discussion Papers 13-181/IV/DSF67, Tinbergen Institute.
  2. Marius A. Zoican & Lucyna A. Górnicka, 2013. "Banking Unions: Distorted Incentives and Efficient Bank Resolution," Tinbergen Institute Discussion Papers 13-184/VI, Tinbergen Institute, revised 16 May 2014.
  3. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2013. "Seasonal asset allocation: Evidence from mutual fund flows," CFR Working Papers 13-09, University of Cologne, Centre for Financial Research (CFR).
  4. Claire Célérier & Boris Vallée, 2013. "What Drives Financial Complexity? A Look into the Retail Market for Structured Products," Working Papers hal-02058239, HAL.

2012

  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, Rimini Centre for Economic Analysis.

2010

  1. Christoffersen, Susan E. K. & Sarkissian, Sergei, 2010. "The demographics of fund turnover," MPRA Paper 28651, University Library of Munich, Germany.
  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. Claire Célérier & Delphine Irac & Philippe Askenazy, 2010. "Vente à distance, Internet et dynamique des prix," Post-Print halshs-00754424, HAL.
  4. Célérier, C., 2010. "Compensation in the Financial Sector: Are all Bankers Superstars?," Working papers 294, Banque de France.

2009

  1. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics.
  2. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics.
  3. Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
  4. Park, A. & Sgroi, D., 2009. "Herding, Contrarianism and Delay in Financial Market Trading," Cambridge Working Papers in Economics 0941, Faculty of Economics, University of Cambridge.
  5. Park, A. & Sabourian, H., 2009. "Herding and Contrarian Behaviour in Financial Markets," Cambridge Working Papers in Economics 0939, Faculty of Economics, University of Cambridge.
  6. Park, A. & Sgroi, D., 2009. "Herding and Contrarian Behavior in Financial Markets: An Experimental Analysis," Cambridge Working Papers in Economics 0938, Faculty of Economics, University of Cambridge.
  7. 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.
  8. Célérier, C., 2009. "Forecasting inflation in France," Working papers 262, Banque de France.

2008

  1. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics.
  2. Andreas Park & Daniel Sgroi, 2008. "When Herding and Contrarianism Foster Market Efficiency: A Financial Trading Experiment," Working Papers tecipa-316, University of Toronto, Department of Economics.
  3. Andreas Park & Lones Smith, 2008. "Caller Number Five and Related Timing Games," Working Papers tecipa-317, University of Toronto, Department of Economics.
  4. Park, Andreas & Sgroi, Daniel, 2008. "Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing," The Warwick Economics Research Paper Series (TWERPS) 868, University of Warwick, Department of Economics.
  5. Alexander Dyck & David Moss & Luigi Zingales, 2008. "Media versus Special Interests," NBER Working Papers 14360, National Bureau of Economic Research, Inc.
  6. 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.
  7. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 4009, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.

2007

  1. Alexander Dyck & Adair Morse & Luigi Zingales, 2007. "Who Blows the Whistle on Corporate Fraud?," NBER Working Papers 12882, National Bureau of Economic Research, Inc.
  2. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  3. 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.

2006

  1. Andreas Park & Hamid Sabourian, 2006. "Herd Behavior in Efficient Financial Markets," Working Papers tecipa-249, University of Toronto, Department of Economics.
  2. Alexander Dyck & Natalya Volchkova & Luigi Zingales, 2006. "The Corporate Governance Role of the Media: Evidence from Russia," NBER Working Papers 12525, National Bureau of Economic Research, Inc.

2005

  1. Lones Smith & Andreas Park, 2005. "Endogenous Herding and The Gold Rush: Timing Models with Both Explosive and Timed Entry," 2005 Meeting Papers 468, Society for Economic Dynamics.

2004

  1. Susan Kerr Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
  2. Susan Kerr Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "How and Why do Investors Trade Votes, and What Does it Mean?," CIRANO Working Papers 2004s-23, CIRANO.
  3. Andreas Park & Lones Smith, 2004. "Caller Number Five: Timing Games that Morph From One Form to Another," 2004 Meeting Papers 871, Society for Economic Dynamics.
  4. Alan G. White & Jaison R. Abel & Ernst R. Berndt & Cory W. Monroe, 2004. "Hedonic Price Indexes for Personal Computer Operating Systems and Productivity Suites," NBER Working Papers 10427, National Bureau of Economic Research, Inc.
  5. Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004. "Theft and Taxes," NBER Working Papers 10978, National Bureau of Economic Research, Inc.
  6. Ian Garrett & Mark Kamstra & Lisa Kramer, 2004. "Winter blues and time variation in the price of risk," FRB Atlanta Working Paper 2004-8, Federal Reserve Bank of Atlanta.

2003

  1. Christoffersen, Susan E. K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2003. "The Limits to Dividend Arbitrage: Implications for Cross-Border Investment," Working Papers 03-2, University of Pennsylvania, Wharton School, Weiss Center.
  2. Jaison R. Abel & Ernst R. Berndt & Alan G. White, 2003. "Price Indexes for Microsoft's Personal Computer Software Products," NBER Working Papers 9966, National Bureau of Economic Research, Inc.
  3. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  4. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," FRB Atlanta Working Paper 2003-4, Federal Reserve Bank of Atlanta.

2002

  1. Bartling, Bjoern & Andreas Park, 2002. "Aftermarket Short Covering and the Pricing of IPOs," Royal Economic Society Annual Conference 2002 16, Royal Economic Society.
  2. Alexander Dyck & Luigi Zingales, 2002. "The Corporate Governance Role of the Media," NBER Working Papers 9309, National Bureau of Economic Research, Inc.
  3. Alexander Dyck & Luigi Zingales, 2002. "Private Benefits of Control: An International Comparison," NBER Working Papers 8711, National Bureau of Economic Research, Inc.
  4. Mark Kamstra & Lisa Kramer & Maurice D. Levi, 2002. "Winter blues: a SAD stock market cycle," FRB Atlanta Working Paper 2002-13, Federal Reserve Bank of Atlanta.

2001

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

2000

  1. Susan E.K. Christoffersen, 2000. "Fee Waivers in Money Market Mutual Funds," Center for Financial Institutions Working Papers 97-46, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Susan E. K. Christoffersen, 2000. "The Interdependence between Mutual Fund Managers and Investors in Setting Fees," Center for Financial Institutions Working Papers 00-43, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.

1999

  1. Susan Christoffersen & David K. Musto, 1999. "Demand Curves and the Pricing of Money Management," Center for Financial Institutions Working Papers 99-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. 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.

1998

  1. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Discussion Papers dp98-04, Department of Economics, Simon Fraser University.

1993

  1. 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.

1991

  1. 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.
  2. 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.
  3. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Single Beta Models and currency Futures Prices," Working Paper 845, Economics Department, Queen's University.

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 Paper 730, Economics Department, Queen's University.

1986

  1. 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.

1985

  1. Thomas H. McCurdy, 1985. "Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Paper 619, Economics Department, Queen's University.
  2. 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.
  3. 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.

1984

  1. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "On the Boundary Between Keynesian Unemployment and Repressed Inflation," Working Paper 568, Economics Department, Queen's University.
  2. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets," Working Paper 569, Economics Department, Queen's University.
  3. 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.
  4. Thomas H. McCurdy, 1984. "An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks," Working Paper 571, Economics Department, Queen's University.

1982

  1. Thomas H. McCurdy, 1982. "Non-Steady-State Dynamic Growth Theory," Working Paper 484, Economics Department, Queen's University.
  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 Paper 507, Economics Department, Queen's University.

Undated

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

Journal articles

2018

  1. Comerton-Forde, Carole & Malinova, Katya & Park, Andreas, 2018. "Regulating dark trading: Order flow segmentation and market quality," Journal of Financial Economics, Elsevier, vol. 130(2), pages 347-366.

2017

  1. Susan E. K. Christoffersen & Mikhail Simutin, 2017. "On the Demand for High-Beta Stocks: Evidence from Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2596-2620.
  2. Christoffersen, Susan E. K. & Xu, Haoyu, 2017. "Investor Attrition and Fund Flows in Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 867-893, June.
  3. Axel Anderson & Lones Smith & Andreas Park, 2017. "Rushes in Large Timing Games," Econometrica, Econometric Society, vol. 85, pages 871-913, May.
  4. Albert J. Menkveld & Marius A. Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
  5. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, Open Access Journal, vol. 5(4), pages 1-29, December.
  6. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2017. "Seasonal Asset Allocation: Evidence from Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 71-109, February.
  7. Claire Célérier & Boris Vallée, 2017. "Catering to Investors Through Security Design: Headline Rate and Complexity," The Quarterly Journal of Economics, Oxford University Press, vol. 132(3), pages 1469-1508.

2016

  1. Górnicka, Lucyna A. & Zoican, Marius A., 2016. "Too-international-to-fail? Supranational bank resolution and market discipline," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 41-58.
  2. Zhu, Min & Atri, Said & Yegen, Eyub, 2016. "Are candlestick trading strategies effective in certain stocks with distinct features?," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 116-127.
  3. Kramer, Lisa A. & Liao, Chi M., 2016. "The spillover effects of management overconfidence on analyst forecasts," Journal of Behavioral and Experimental Finance, Elsevier, vol. 12(C), pages 79-92.

2015

  1. Katya Malinova & Andreas Park, 2015. "Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality," Journal of Finance, American Finance Association, vol. 70(2), pages 509-536, April.
  2. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015. "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, vol. 4(1), pages 45-115, June.

2014

  1. Susan E.K. Christoffersen & David K. Musto & Russ Wermers, 2014. "Investor Flows to Asset Managers: Causes and Consequences," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 289-310, December.
  2. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
  3. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi & Tan Wang, 2014. "Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity," Review of Asset Pricing Studies, Oxford University Press, vol. 4(1), pages 39-77.

2013

  1. Susan E. K. Christoffersen & Richard Evans & David K. Musto, 2013. "What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives," Journal of Finance, American Finance Association, vol. 68(1), pages 201-235, February.
  2. Malinova, Katya & Park, Andreas, 2013. "Liquidity, volume and price efficiency: The impact of order vs. quote driven trading," Journal of Financial Markets, Elsevier, vol. 16(1), pages 104-126.
  3. 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.

2012

  1. Park, Andreas & Sgroi, Daniel, 2012. "Herding, contrarianism and delay in financial market trading," European Economic Review, Elsevier, vol. 56(6), pages 1020-1037.
  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. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012. "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 934-956.

2011

  1. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2011. "The demographics of fund turnover," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 414-440, July.
  2. Andreas Park & Hamid Sabourian, 2011. "Herding and Contrarian Behavior in Financial Markets," Econometrica, Econometric Society, vol. 79(4), pages 973-1026, July.
  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. Jérôme Accardo & Claire Célérier & Nicolas Herpin & Delphine Irac, 2011. "L'inflation perçue," Économie et Statistique, Programme National Persée, vol. 447(1), pages 3-31.

2010

  1. Bartling, Björn & Park, Andreas, 2010. "How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 441-471, April.
  2. Malinova, Katya & Park, Andreas, 2010. "Trading Volume in Dealer Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1447-1484, December.
  3. Andreas Park, 2010. "Experiential Learning of the Efficient Market Hypothesis: Two Trading Games," The Journal of Economic Education, Taylor & Francis Journals, vol. 41(4), pages 353-369, September.
  4. Donaldson, R. Glen & Kamstra, Mark J. & Kramer, Lisa A., 2010. "Estimating the Equity Premium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 813-846, August.
  5. Delphine Irac & Claire Célérier & Philippe Askenazy, 2010. "Vente à distance, internet et dynamiques des prix," Économie et Prévision, Programme National Persée, vol. 194(3), pages 1-13.

2009

  1. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2009. "City size and fund performance," Journal of Financial Economics, Elsevier, vol. 92(2), pages 252-275, May.
  2. Bartling, Björn & Park, Andreas, 2009. "What determines the level of IPO gross spreads? Underwriter profits and the cost of going public," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 81-109, January.
  3. 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.
  4. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2009. "Is it the weather? Comment," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 578-582, March.

2008

  1. Park, Andreas & Smith, Lones, 2008. "Caller Number Five and related timing games," Theoretical Economics, Econometric Society, vol. 3(2), June.
  2. Marius-Corneliu Marinas & Marius Andrei Zoican, 2008. "Optimality, Rational Expectations and Time Inconsistency Applied to Inflation Targeting Strategy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 10(10(527)), pages 17-30, October.

2007

  1. Susan E.K. Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2007. "Vote Trading and Information Aggregation," Journal of Finance, American Finance Association, vol. 62(6), pages 2897-2929, December.
  2. 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.

2005

  1. Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
  2. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.

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.

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.
  2. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.

2002

  1. Susan E. K. Christoffersen & David K. Musto, 2002. "Demand Curves and the Pricing of Money Management," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1499-1524.
  2. 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.
  3. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September.

2001

  1. Susan E. K. Christoffersen, 2001. "Why Do Money Fund Managers Voluntarily Waive Their Fees?," Journal of Finance, American Finance Association, vol. 56(3), pages 1117-1140, June.

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.
  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.
  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.
  4. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.

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.

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.
  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.

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 565-597, September.

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.
  2. 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.

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 279-288, 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(2), pages 235-254, June.

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.
  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 117-129, Supplemen.
  3. 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.

1991

  1. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 587-602.

1990

  1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
  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(1), pages 87-100, March.

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(3), pages 237-251, September.
  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.

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.
  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.
  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.
  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.

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.

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.

1980

  1. Ernst R. Berndt & Thomas H. McCurdy & David E. Rose, 1980. "On Testing Theories of Financial Intermediary Portfolio Selection," Review of Economic Studies, Oxford University Press, vol. 47(5), pages 861-873.

Chapters

2010

  1. Alan G. White & Jaison R. Abel & Ernst R. Berndt & Cory W. Monroe, 2010. "Hedonic Price Indexes for Personal Computer Operating Systems and Produtivity Suites," NBER Chapters, in: Contributions in Memory of Zvi Griliches, pages 787-807, National Bureau of Economic Research, Inc.

2009

  1. Alan G. White, 2009. "Comment on "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory"," NBER Chapters, in: Price Index Concepts and Measurement, pages 425-427, National Bureau of Economic Research, Inc.

2007

  1. Jaison R. Abel & Ernst R. Berndt & Alan G. White, 2007. "Price Indexes for Microsoft," NBER Chapters, in: Hard-to-Measure Goods and Services: Essays in Honor of Zvi Griliches, pages 269-289, National Bureau of Economic Research, Inc.

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