Thomas H. McCurdy
Names
| first: |
Thomas |
| middle: |
H. |
| last: |
McCurdy |
Identifer
Contact
Affiliations
-
University of Toronto
/ Rotman School of Management
/ Finance
Research profile
author of:
- Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets (RePEc:ags:queddp:275195)
by McCurdy, Thomas H. & Yannelis, Demetrius C. - Unknown item RePEc:ags:quedwp:273244 (paper)
- Unknown item RePEc:ags:quedwp:273247 (paper)
- Unknown item RePEc:ags:quedwp:273295 (paper)
- Bull and Bear Markets During the COVID-19 Pandemic (RePEc:arx:papers:2012.01623)
by John M. Maheu & Thomas H. McCurdy & Yong Song - Evidence of risk Premia in Foreign Currency Futures Markets (RePEc:aub:autbar:130.90)
by McCurdy, T.H. & Morgan, I.G. - Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth (RePEc:bes:jnlbes:v:12:y:1994:i:3:p:279-88)
by Durland, J Michael & McCurdy, Thomas H - Identifying Bull and Bear Markets in Stock Returns (RePEc:bes:jnlbes:v:18:y:2000:i:1:p:100-112)
by Maheu, John M & McCurdy, Thomas H - How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? (RePEc:bes:jnlbes:v:27:y:2009:p:95-112)
by Maheu, John M. & McCurdy, Thomas H. - Unknown item RePEc:bla:ecorec:v:0:y:1992:i:0:p:117-29 (article)
- Single Beta Models and Currency Futures Prices (RePEc:bla:ecorec:v:68:y:1992:i:s1:p:117-129)
by THOMAS H. McCURDY & IEUAN G. MORGAN - Unknown item RePEc:bla:jfinan:v:59:y:2004:i:2:p:755-793 (article)
- Nonlinear Features of Realized FX Volatility (RePEc:cir:cirwor:2001s-42)
by John M. Maheu & Thomas McCurdy - News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns (RePEc:cir:cirwor:2003s-38)
by John M. Maheu & Thomas McCurdy - An International Economy with Country-Specific Money and Productivity Growth Processes (RePEc:cje:issued:v:28:y:1995:i:s1:p:141-162)
by Nicholas Ricketts & Thomas H. McCurdy - Volatility Dynamics Under Duration-Dependent Mixing (RePEc:ecm:wc2000:1427)
by John M. Maheu & Tom McCurdy - Simulation-based learning using the RIT market simulator and RIT decision cases (RePEc:eee:beexfi:v:23:y:2019:i:c:p:12-22)
by Mak, Kevin & McCurdy, Thomas H. - Do high-frequency measures of volatility improve forecasts of return distributions? (RePEc:eee:econom:v:160:y:2011:i:1:p:69-76)
by Maheu, John M. & McCurdy, Thomas H. - A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators (RePEc:eee:econom:v:52:y:1992:i:1-2:p:225-244)
by McCurdy, Thomas H. & Stengos, Thanasis - The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany (RePEc:eee:eecrev:v:30:y:1986:i:2:p:365-381)
by Gregory, Allan W. & McCurdy, Thomas H. - Hedging foreign currency portfolios (RePEc:eee:empfin:v:5:y:1998:i:3:p:197-220)
by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H. - Volatility dynamics under duration-dependent mixing (RePEc:eee:empfin:v:7:y:2000:i:3-4:p:345-372)
by Maheu, John M. & McCurdy, Thomas H. - Bull and bear markets during the COVID-19 pandemic (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321001720)
by Maheu, John M. & McCurdy, Thomas H. & Song, Yong - Tests of the martingale hypothesis for foreign currency futures with time-varying volatility (RePEc:eee:intfor:v:3:y:1987:i:1:p:131-148)
by McCurdy, Thomas H. & Morgan, Ieuan G. - Do jumps contribute to the dynamics of the equity premium? (RePEc:eee:jfinec:v:110:y:2013:i:2:p:457-477)
by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei - News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies (RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17)
by Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei - Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis (RePEc:eee:jimfin:v:3:y:1984:i:3:p:357-368)
by Gregory, Allan W. & McCurdy, Thomas H. - Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada (RePEc:eee:jpolmo:v:9:y:1987:i:2:p:337-365)
by McCurdy, Thomas H. - Chapter 12 Modeling Foreign Exchange Rates with Jumps (RePEc:eme:fegzzz:s1574-8715(07)00212-6)
by John M. Maheu & Thomas H. McCurdy - A Semi-Markov Approach to Modeling Volatility Dynamics (RePEc:fth:rotfin:99-004)
by Maheu, J.M. & McCurdy, T.H. - Time-Varying Window Length for Correlation Forecasts (RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391)
by Yoontae Jeon & Thomas H. McCurdy - Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity (RePEc:jae:japmet:v:3:y:1988:i:3:p:187-202)
by McCurdy, Thomas H & Morgan, Ieuan G - Components of Market Risk and Return (RePEc:oup:jfinec:v:5:y:2007:i:4:p:560-590)
by John M. Maheu & Thomas H. McCurdy - On Testing Theories of Financial Intermediary Portfolio Selection (RePEc:oup:restud:v:47:y:1980:i:5:p:861-873.)
by Ernst R. Berndt & Thomas H. McCurdy & David E. Rose - Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity (RePEc:oup:restud:v:58:y:1991:i:3:p:587-602.)
by Thomas H. McCurdy & Ieuan G. Morgan - Evidence of Risk Premiums in Foreign Currency Futures Markets (RePEc:oup:rfinst:v:5:y:1992:i:1:p:65-83)
by McCurdy, Thomas H & Morgan, Ieuan - Bull and Bear Markets During the COVID-19 Pandemic (RePEc:pra:mprapa:104504)
by Maheu, John M & McCurdy, Thomas H & Song, Yong - Non-Steady-State Dynamic Growth Theory (RePEc:qed:wpaper:484)
by Thomas H. McCurdy - Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data (RePEc:qed:wpaper:507)
by Allan W. Gregory & Thomas H. McCurdy - The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis (RePEc:qed:wpaper:566)
by Allan W. Gregory & Thomas H. McCurdy - On the Boundary Between Keynesian Unemployment and Repressed Inflation (RePEc:qed:wpaper:568)
by Thomas H. McCurdy & Demetrius C. Yannelis - Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets (RePEc:qed:wpaper:569)
by Thomas H. McCurdy & Demetrius C. Yannelis - An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks (RePEc:qed:wpaper:571)
by Thomas H. McCurdy - Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada (RePEc:qed:wpaper:618)
by Thomas H. McCurdy - Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada (RePEc:qed:wpaper:619)
by Thomas H. McCurdy - Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets (RePEc:qed:wpaper:639)
by Thomas H. McCurdy & Ieuan G. Morgan - Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility (RePEc:qed:wpaper:663)
by Thomas H. McCurdy & Ieuan G. Morgan - Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's (RePEc:qed:wpaper:730)
by Julian R. Betts & Thomas H. McCurdy - A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators (RePEc:qed:wpaper:843)
by Thomas H. McCurdy & Thansis Stengos - Single Beta Models and currency Futures Prices (RePEc:qed:wpaper:845)
by Thomas H. McCurdy & Ieuan G. Morgan - An International Economy with Country-Specific Money and Productivity Growth Processes (RePEc:qed:wpaper:846)
by Nicholas Ricketts & Thomas H. McCurdy - Duration Dependent Transitions in a Markov Model of U.S. GNP Growth (RePEc:qed:wpaper:887)
by J. Michael Durland & Thomas H. McCurdy - How useful are historical data for forecasting the long-run equity return distribution? (RePEc:rim:rimwps:19_07)
by John M. Maheu & Thomas H. McCurdy - Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (RePEc:rim:rimwps:19_09)
by John M. Maheu & Thomas H. McCurdy - Do Jumps Contribute to the Dynamics of the Equity Premium? (RePEc:rim:rimwps:47_12)
by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao - Components of Bull and Bear Markets: Bull Corrections and Bear Rallies (RePEc:taf:jnlbes:v:30:y:2012:i:3:p:391-403)
by John M. Maheu & Thomas H. McCurdy & Yong Song - Modeling foreign exchange rates with jumps (RePEc:tor:tecipa:tecipa-279)
by John M Maheu & Thomas H McCurdy - How useful are historical data for forecasting the long-run equity return distribution? (RePEc:tor:tecipa:tecipa-293)
by John M Maheu & Thomas H McCurdy - Do high-frequency measures of volatility improve forecasts of return distributions? (RePEc:tor:tecipa:tecipa-324)
by John M Maheu & Thomas H McCurdy - Extracting bull and bear markets from stock returns (RePEc:tor:tecipa:tecipa-369)
by John M Maheu & Thomas H McCurdy & Yong Song - Components of bull and bear markets: bull corrections and bear rallies (RePEc:tor:tecipa:tecipa-402)
by John M Maheu & Thomas H McCurdy & Yong Song - Nonlinear Features of Realized FX Volatility (RePEc:tpr:restat:v:84:y:2002:i:4:p:668-681)
by John M. Maheu & Thomas H. McCurdy - A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? (RePEc:vuw:vuwcsr:19110)
by Daglish, Toby & Maheu, John & McCurdy, Tom - Unknown item RePEc:vuw:vuwcsr:4009 (paper)