.
McCurdy, Thomas H.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 2,645
Total Citations 233
1.
Identifying Bull and Bear Markets in Stock Returns
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
19 Feb 99
Last Revised:
06 Jun 02
1,079(8,211)
34
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
high-frequency data, realized volatility, semi-Markov
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
1,079
34
2.
Nonlinear Features of Realized FX Volatility
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
24 Jul 01
Last Revised:
02 Mar 12
338(41,948)
17
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
31 Dec 01
Last Revised:
02 Mar 12
8
17
high-frequency data, realized volatility, semi-Markov
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
330
17
high-frequency data, realized volatility, semi-Markov
3.
Components of Market Risk and Return
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
28 Jun 07
Last Revised:
06 Nov 12
270(54,425)
6
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
volatility components, long-run market risk premium, realized volatility
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
270
6
volatility components, long-run market risk premium, Realized Volatility
4.
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
27 Jun 07
Last Revised:
02 Mar 12
270(54,425)
6
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
34
6
Bayesian Learning, Density Forecasts, Market Returns, Model Risk, Parameter Uncertainty, Structural Change
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
27 Jun 07
Last Revised:
02 Mar 12
236
6
density forecasts, structural change, model risk, parameter uncertainty, Bayesian learning, market returns
5.
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
Posted:
06 Oct 11
Last Revised:
17 Jan 13
172(86,584)
3
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
82
3
predictive density, long-horizon returns, Markov switching
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Song, Yong University of Technology, Sydney (UTS) - Centre for the Study of Choice
Posted:
06 Oct 11
Last Revised:
06 Nov 12
90
3
predictive density, long-horizon returns, Markov Switching
6.
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
01 Sep 08
Last Revised:
05 Oct 11
137(106,032)
8
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
Realized volatility, multiperiod out-of-sample prediction, term structure of density forecasts, stochastic volatility
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
137
8
RV, multiperiod, out-of-sample, term structure of density forecasts, observable SV
7.
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
112(124,729)
4
jump clustering, jump dynamics, MCMC, predictive likelihood, realized volatility, Bayesian model average
8.
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
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Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
31 Jul 03
Last Revised:
05 Oct 11
37(226,523)
65
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
0
volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
37
65
volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter
9.
Durland, Michael Bank of Nova Scotia
McCurdy, Thomas H. University of Toronto - Rotman School of Management
31(240,878)
31
nonlinear asymmetric cycles, regime switches, time-varying transition probabilities
10.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
29(246,292)
11.
Gagnon, Louis Queen's University (Canada) - School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Lypny, Greg Concordia University, Quebec - John Molson School of Business
Posted:
27 Sep 04
Last Revised:
02 Mar 12
24(261,769)
6
Hedging, GARCH, portfolio effects, risk-minimization, covariance
12.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
21(272,010)
14
foreign currency risk premia, deviations from uncovered interest rate parity, conditional asset pricing model, world equity index benchmark
13.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Stengos, Thanasis University of Guelph - Department of Economics
16(289,784)
1
bivariate generalized ARCH, out-of-sample versus in-sample forecasting, equity premiium forecasts, conditional asset pricing model
14.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
15(293,267)
11
time-varying price of risk, time-varying quantity of risk, conditional asset pricing model, recursive preferences
15.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
14(296,926)
2
conditional asset pricing model, foreign currency futures prices, time-varying risk premia
16.
Betts, Julian R. University of California, San Diego (UCSD) - Department of Economics
McCurdy, Thomas H. University of Toronto - Rotman School of Management
13(300,451)
changes in occupational composition of employment, intersectoral shifts in employment, sources of growth in employment
17.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
12(303,999)
5
Foreign currency futures, Martingale, Time varying volatility, GARCH
18.
Gregory, Allan Queen's University (Canada)
McCurdy, Thomas H. University of Toronto - Rotman School of Management
9(313,942)
4
forward foreign exchange rate, unbiasedness hypothesis, specification tests, structural breaks
19.
Burnside, A. Craig Duke University - Department of Economics
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
07 Mar 12
Last Revised:
06 Nov 12
8(317,051)
1
20.
Maheu, John M. McMaster University - Michael G. DeGroote School of Business
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
18 Apr 02
Last Revised:
02 Mar 12
8(320,004)
6
time-varying transition probabilities, discrete-state volatility dynamics, time-varying hazard function
21.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
7(320,004)
technical change, structural unemployment, simulation, input-output data
22.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
7(320,004)
computer-based automation, structural unemployment, employment adjustment to structural shocks
23.
Gregory, Allan Queen's University (Canada)
McCurdy, Thomas H. University of Toronto - Rotman School of Management
5(325,551)
1
specfication analyses, unbiasedness hypothesis, forward foreign exchange rate
24.
Berndt, Ernst R. Massachusetts Institute of Technology (MIT) - Sloan School of Management
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Rose, David International Monetary Fund (IMF)
Posted:
08 Mar 12
Last Revised:
06 Nov 12
4(328,419)
financial intermediary portfolios, FIML estimation, auxilliary assumptions
25.
Ricketts, Nicholas affiliation not provided to SSRN
McCurdy, Thomas H. University of Toronto - Rotman School of Management
4(328,419)
1
numerical general equilibrium solution, parameterized expectations, stochastic international growth model, cash-in-advance inequality constraints
26.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Morgan, Ieuan G. Queen's School of Business
2(336,218)
7
heteroskedasticity, foreign currency futures, trading-day effects, day-of-the-week patterns, martingale
27.
McCurdy, Thomas H. University of Toronto - Rotman School of Management
Posted:
08 Mar 12
Last Revised:
06 Nov 12
1(343,620)
Technical Change, Structural Unemployment, Dynamic Efficiency, Restricted Efficiency Frontiers
