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Thomas H. McCurdy
Thomas H. McCurdy
Rotman School of Management, University of Toronto
Verified email at rotman.utoronto.ca - Homepage
Title
Cited by
Cited by
Year
News arrival, jump dynamics, and volatility components for individual stock returns
JM Maheu, TH McCurdy
The Journal of Finance 59 (2), 755-793, 2004
7282004
Identifying bull and bear markets in stock returns
JM Maheu, TH McCurdy
Journal of Business & Economic Statistics 18 (1), 100-112, 2000
5562000
Duration-dependent transitions in a Markov model of US GNP growth
JM Durland, TH McCurdy
Journal of Business & Economic Statistics 12 (3), 279-288, 1994
4431994
Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity
TH McCurdy, IG Morgan
Journal of Applied Econometrics 3 (3), 187-202, 1988
1911988
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
TH McCurdy, IG Morgan
International Journal of Forecasting 3 (1), 131-148, 1987
1891987
Nonlinear features of realized FX volatility
JM Maheu, TH McCurdy
Review of Economics and Statistics 84 (4), 668-681, 2002
1632002
Do high-frequency measures of volatility improve forecasts of return distributions?
JM Maheu, TH McCurdy
Journal of Econometrics 160 (1), 69-76, 2011
1582011
Hedging foreign currency portfolios
L Gagnon, GJ Lypny, TH McCurdy
Journal of Empirical Finance 5 (3), 197-220, 1998
1311998
Components of bull and bear markets: bull corrections and bear rallies
JM Maheu, TH McCurdy, Y Song
Journal of Business & Economic Statistics 30 (3), 391-403, 2012
1162012
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis
AW Gregory, TH McCurdy
Journal of International Money and Finance 3 (3), 357-368, 1984
1091984
Tests for a systematic risk component in deviations from uncovered interest rate parity
TH McCurdy, IG Morgan
The Review of Economic Studies 58 (3), 587-602, 1991
1001991
Evidence of risk premiums in foreign currency futures markets
TH McCurdy, I Morgan
The Review of Financial Studies 5 (1), 65-83, 1992
871992
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Y Jeon, TH McCurdy, X Zhao
Journal of Financial Economics 145 (2), 1-17, 2022
762022
Do jumps contribute to the dynamics of the equity premium?
JM Maheu, TH McCurdy, X Zhao
Journal of Financial Economics 110 (2), 457-477, 2013
752013
Components of market risk and return
JM Maheu, TH McCurdy
Journal of Financial Econometrics 5 (4), 560-590, 2007
522007
The impact of news on foreign exchange rates: evidence from high frequency data
D EddelbŁttel, TH McCurdy
451998
How useful are historical data for forecasting the long-run equity return distribution?
JM Maheu, TH McCurdy
Journal of Business & Economic Statistics 27 (1), 95-112, 2009
372009
Volatility dynamics under duration-dependent mixing
JM Maheu, TH McCurdy
Journal of Empirical Finance 7 (3-4), 345-372, 2000
362000
An international economy with country-specific money and productivity growth processes
N Ricketts, TH McCurdy
Canadian Journal of Economics, S141-S162, 1995
351995
A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
TH McCurdy, T Stengos
Journal of Econometrics 52 (1-2), 225-244, 1992
321992
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