Tom McCurdy

Names

Contact

Affiliations

• University of Toronto → Rotman School of Management → Finance
  • website
  • location: Toronto, Canada

Research profile

author of:

• Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada
  by Thomas H. McCurdy
• Nonlinear Features of Realized FX Volatility
  by John M. Maheu & Thomas H. McCurdy
• Modeling foreign exchange rates with jumps
  by John M. Maheu & Thomas H. McCurdy
• On the Boundary Between Keynesian Unemployment and Repressed Inflation
  by Thomas H. McCurdy & Demetrius C. Yannelis
• Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada
  by Thomas H. McCurdy
• Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
  by Thomas H. McCurdy & Ieuan G. Morgan
• Non-Steady-State Dynamic Growth Theory
  by Thomas H. McCurdy
• Nonlinear Features of Realized FX Volatility
  by John M. Maheu & Thomas McCurdy
• News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
  by John M. Maheu & Thomas McCurdy
• Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets
  by Thomas H. McCurdy & Ieuan G. Morgan
• Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets
  by Thomas H. McCurdy & Demetrius C. Yannelis
• How useful are historical data for forecasting the long-run equity return distribution?
  by John M. Maheu & Thomas H. McCurdy
• A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
  by Thomas H. McCurdy & Thansis Stengos
• 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
• 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
• The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis
  by Allan W. Gregory & Thomas H. McCurdy
• Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
  by J. Michael Durland & Thomas H. McCurdy
• An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks
  by Thomas H. McCurdy
• Do high-frequency measures of volatility improve forecasts of return distributions?
  by John M. Maheu & Thomas H. McCurdy
• An International Economy with Country-Specific Money and Productivity Growth Processes
  by Nicholas Ricketts & Thomas H. McCurdy
• Single Beta Models and currency Futures Prices
  by Thomas H. McCurdy & Ieuan G. Morgan
• A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
  by McCurdy, Thomas H. & Stengos, Thanasis
• Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity.
  by McCurdy, Thomas H. & Morgan, Ieuan G.
• Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
  by Gregory, Allan W. & McCurdy, Thomas H.
• Volatility Dynamics Under Duration-Dependent Mixing
  by John M. Maheu & Tom McCurdy
• A Semi-Markov Approach to Modeling Volatility Dynamics.
  by Maheu, J. M. & McCurdy, T. H.
• Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada
  by McCurdy, Thomas H.
• Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
  by McCurdy, Thomas H. & Morgan, Ieuan G.
• 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.
• Evidence of risk Premia in Foreign Currency Futures Markets.
  by McCurdy, T. H. & Morgan, I. G.
• Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth.
  by Durland, J. Michael & McCurdy, Thomas H.
• Volatility dynamics under duration-dependent mixing
  by Maheu, John M. & McCurdy, Thomas H.
• Evidence of Risk Premiums in Foreign Currency Futures Markets.
  by McCurdy, Thomas H. & Morgan, Ieuan
• Identifying Bull and Bear Markets in Stock Returns.
  by Maheu, John M. & McCurdy, Thomas H.
• Hedging foreign currency portfolios
  by Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H.
• How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
  by Maheu, John M. & McCurdy, Thomas H.
• Extracting bull and bear markets from stock returns
  by John M. Maheu & Thomas H. McCurdy & Yong Song
• Components of bull and bear markets: bull corrections and bear rallies
  by John M. Maheu & Thomas H. McCurdy & Yong Song
• Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
  by John M. Maheu & Thomas H. McCurdy
• Do high-frequency measures of volatility improve forecasts of return distributions?
  by Maheu, John M. & McCurdy, Thomas H.
• Do Jumps Contribute to the Dynamics of the Equity Premium?
  by John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao
• Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
  by John M. Maheu & Thomas H. McCurdy & Yong Song
• Do jumps contribute to the dynamics of the equity premium?
  by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei
• Components of Market Risk and Return
  by John M. Maheu & Thomas H. McCurdy
• An International Economy with Country-Specific Money and Productivity Growth Processes.
  by Nicholas Ricketts & Thomas H. McCurdy
• A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?
  by Daglish, Toby & Maheu, John & McCurdy, Tom
• Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity
  by Thomas H. McCurdy & Ieuan G. Morgan
• On Testing Theories of Financial Intermediary Portfolio Selection
  by Ernst R. Berndt & Thomas H. McCurdy & David E. Rose
• How useful are historical data for forecasting the long-run equity return distribution?
  by John M. Maheu & Thomas H. McCurdy
• Time-Varying Window Length for Correlation Forecasts
  by Yoontae Jeon & Thomas H. McCurdy
• Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets
  by McCurdy, Thomas H. & Yannelis, Demetrius C.
• Duration Dependent Transitions in a Markov Model of U.S. GNP Growth
  by Durland, J. Michael & McCurdy, Thomas H.
• An International Economy with Country-Specific Money and Productivity Growth Processes
  by Ricketts, Nicholas & McCurdy, Thomas H.
• A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators
  by McCurdy, Thomas H. & Stengos, Thansis
• Single Beta Models and Currency Futures Prices
  by THOMAS H. McCURDY & IEUAN G. MORGAN
• Simulation-based learning using the RIT market simulator and RIT decision cases
  by Mak, Kevin & McCurdy, Thomas H.
• Bull and Bear Markets During the COVID-19 Pandemic
  by John M. Maheu & Thomas H. McCurdy & Yong Song
• Bull and Bear Markets During the COVID-19 Pandemic
  by Maheu, John M. & McCurdy, Thomas H. & Song, Yong