Tom McCurdy
Names
Contact
Affiliations
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University of Toronto
→ Rotman School of Management
→ Finance
Research profile
author of:
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Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada
by Thomas H. McCurdy
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Nonlinear Features of Realized FX Volatility
by John M. Maheu & Thomas H. McCurdy
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Modeling foreign exchange rates with jumps
by John M. Maheu & Thomas H. McCurdy
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On the Boundary Between Keynesian Unemployment and Repressed Inflation
by Thomas H. McCurdy & Demetrius C. Yannelis
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Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada
by Thomas H. McCurdy
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Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
by Thomas H. McCurdy & Ieuan G. Morgan
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Non-Steady-State Dynamic Growth Theory
by Thomas H. McCurdy
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Nonlinear Features of Realized FX Volatility
by John M. Maheu & Thomas McCurdy
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News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
by John M. Maheu & Thomas McCurdy
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Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets
by Thomas H. McCurdy & Ieuan G. Morgan
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Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets
by Thomas H. McCurdy & Demetrius C. Yannelis
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How useful are historical data for forecasting the long-run equity return distribution?
by John M. Maheu & Thomas H. McCurdy
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A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
by Thomas H. McCurdy & Thansis Stengos
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Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's
by Julian R. Betts & Thomas H. McCurdy
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Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data
by Allan W. Gregory & Thomas H. McCurdy
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The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis
by Allan W. Gregory & Thomas H. McCurdy
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Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
by J. Michael Durland & Thomas H. McCurdy
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An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks
by Thomas H. McCurdy
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Do high-frequency measures of volatility improve forecasts of return distributions?
by John M. Maheu & Thomas H. McCurdy
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An International Economy with Country-Specific Money and Productivity Growth Processes
by Nicholas Ricketts & Thomas H. McCurdy
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Single Beta Models and currency Futures Prices
by Thomas H. McCurdy & Ieuan G. Morgan
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A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
by McCurdy, Thomas H. & Stengos, Thanasis
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Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity.
by McCurdy, Thomas H. & Morgan, Ieuan G.
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Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
by Gregory, Allan W. & McCurdy, Thomas H.
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Volatility Dynamics Under Duration-Dependent Mixing
by John M. Maheu & Tom McCurdy
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A Semi-Markov Approach to Modeling Volatility Dynamics.
by Maheu, J. M. & McCurdy, T. H.
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Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada
by McCurdy, Thomas H.
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Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
by McCurdy, Thomas H. & Morgan, Ieuan G.
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The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany
by Gregory, Allan W. & McCurdy, Thomas H.
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Evidence of risk Premia in Foreign Currency Futures Markets.
by McCurdy, T. H. & Morgan, I. G.
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Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth.
by Durland, J. Michael & McCurdy, Thomas H.
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Volatility dynamics under duration-dependent mixing
by Maheu, John M. & McCurdy, Thomas H.
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Evidence of Risk Premiums in Foreign Currency Futures Markets.
by McCurdy, Thomas H. & Morgan, Ieuan
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Identifying Bull and Bear Markets in Stock Returns.
by Maheu, John M. & McCurdy, Thomas H.
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Hedging foreign currency portfolios
by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H.
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How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
by Maheu, John M. & McCurdy, Thomas H.
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Extracting bull and bear markets from stock returns
by John M. Maheu & Thomas H. McCurdy & Yong Song
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Components of bull and bear markets: bull corrections and bear rallies
by John M. Maheu & Thomas H. McCurdy & Yong Song
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Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
by John M. Maheu & Thomas H. McCurdy
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Do high-frequency measures of volatility improve forecasts of return distributions?
by Maheu, John M. & McCurdy, Thomas H.
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Do Jumps Contribute to the Dynamics of the Equity Premium?
by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao
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Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
by John M. Maheu & Thomas H. McCurdy & Yong Song
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Do jumps contribute to the dynamics of the equity premium?
by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei
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Components of Market Risk and Return
by John M. Maheu & Thomas H. McCurdy
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An International Economy with Country-Specific Money and Productivity Growth Processes.
by Nicholas Ricketts & Thomas H. McCurdy
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A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?
by Daglish, Toby & Maheu, John & McCurdy, Tom
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Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity
by Thomas H. McCurdy & Ieuan G. Morgan
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On Testing Theories of Financial Intermediary Portfolio Selection
by Ernst R. Berndt & Thomas H. McCurdy & David E. Rose
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How useful are historical data for forecasting the long-run equity return distribution?
by John M. Maheu & Thomas H. McCurdy
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Time-Varying Window Length for Correlation Forecasts
by Yoontae Jeon & Thomas H. McCurdy
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Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets
by McCurdy, Thomas H. & Yannelis, Demetrius C.
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Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
by Durland, J. Michael & McCurdy, Thomas H.
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An International Economy with Country-Specific Money and Productivity Growth Processes
by Ricketts, Nicholas & McCurdy, Thomas H.
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A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
by McCurdy, Thomas H. & Stengos, Thansis
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Single Beta Models and Currency Futures Prices
by THOMAS H. McCURDY & IEUAN G. MORGAN
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Simulation-based learning using the RIT market simulator and RIT decision cases
by Mak, Kevin & McCurdy, Thomas H.
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Bull and Bear Markets During the COVID-19 Pandemic
by John M. Maheu & Thomas H. McCurdy & Yong Song
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Bull and Bear Markets During the COVID-19 Pandemic
by Maheu, John M. & McCurdy, Thomas H. & Song, Yong