Thomas H. McCurdy

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6

Canada

http://www-2.rotman.utoronto.ca/~tmccurdy

Center for Interuniversity Research and Analysis on Organization (CIRANO)

Associate Fellow

2020 rue University, 25th floor

Montreal H3C 3J7, Quebec

Canada

SCHOLARLY PAPERS

29

DOWNLOADS
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3,453

CITATIONS
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Top 2,394

in Total Papers Citations

233

Scholarly Papers (29)

1.
Downloads 1,153 ( 13,550)
Citation 35

Identifying Bull and Bear Markets in Stock Returns

Number of pages: 13 Posted: 19 Feb 1999
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 1,153 (13,278)
Citation 35

Abstract:

Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, Vol. 18, No. 1, January 2000
Posted: 03 Jun 2002
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Abstract:

high-frequency data, realized volatility, semi-Markov

2.
Downloads 360 ( 66,087)
Citation 17

Nonlinear Features of Realized FX Volatility

Rotman Working Paper No. 2000-01
Number of pages: 37 Posted: 24 Jul 2001
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 338 (70,556)
Citation 17

Abstract:

high-frequency data, realized volatility, semi-Markov

Nonlinear Features of Realized Fx Volatility

Review of Economics and Statistics, Vol. 84, No. 4, November 2002
Number of pages: 14 Posted: 31 Dec 2001 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 22 (441,992)
Citation 17

Abstract:

high-frequency data, realized volatility, semi-Markov

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Rotman School of Management Working Paper No. 1939486
Number of pages: 36 Posted: 06 Oct 2011 Last Revised: 06 Nov 2012
John M. Maheu, Thomas H. McCurdy and Yong Song
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Technology Sydney (UTS) - Centre for the Study of Choice
Downloads 171 (143,165)
Citation 2

Abstract:

predictive density, long-horizon returns, Markov Switching

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Journal of Business & Economic Statistics, July 2012, Vol. 30, No. 3, pp. 391-403, Rotman School of Management Working Paper No. 2171892
Number of pages: 13 Posted: 07 Nov 2012
John M. Maheu, Thomas H. McCurdy and Yong Song
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Technology Sydney (UTS) - Centre for the Study of Choice
Downloads 160 (151,849)
Citation 2

Abstract:

predictive density, long-horizon returns, Markov switching

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Number of pages: 44 Posted: 27 Jun 2007 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 287 (85,056)
Citation 7

Abstract:

density forecasts, structural change, model risk, parameter uncertainty, Bayesian learning, market returns

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Journal of Business and Economic Statistics, Vol. 27, No. 1, January 2009
Number of pages: 18 Posted: 06 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 38 (367,761)
Citation 7

Abstract:

Bayesian Learning, Density Forecasts, Market Returns, Model Risk, Parameter Uncertainty, Structural Change

5.
Downloads 275 ( 89,644)
Citation 5

Components of Market Risk and Return

Journal of Financial Econometrics, Forthcoming
Number of pages: 35 Posted: 28 Jun 2007
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 275 (89,162)
Citation 5

Abstract:

volatility components, long-run market risk premium, Realized Volatility

Components of Market Risk and Return

Journal of Financial Econometrics, Vol. 5, No. 4, pp. 560-590, 2007
Posted: 01 Jun 2009
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Abstract:

volatility components, long-run market risk premium, realized volatility

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Number of pages: 30 Posted: 01 Sep 2008
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 143 (167,271)
Citation 9

Abstract:

RV, multiperiod, out-of-sample, term structure of density forecasts, observable SV

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Journal of Econometrics, Vol. 160, No. 1, 2011
Posted: 05 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Abstract:

Realized volatility, multiperiod out-of-sample prediction, term structure of density forecasts, stochastic volatility

7.

Do Jumps Contribute to the Dynamics of the Equity Premium?

Journal of Financial Economics (JFE), Forthcoming, Rotman School of Management Working Paper No. 2284276
Number of pages: 48 Posted: 25 Jun 2013
John M. Maheu, Thomas H. McCurdy and Xiaofei Zhao
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 137 (172,773)

Abstract:

Jumps, Higher-order moments, Skewness, Kurtosis, Equity Premium

8.

Modeling Foreign Exchange Rates with Jumps

FORECASTING IN THE PRESENCE OF STRUCTURAL BREAKS AND MODEL UNCERTAINTY, David E. Rapach, Mark E. Wohar, eds., Elsevier, Forthcoming
Number of pages: 34 Posted: 28 Jun 2007
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 128 (174,814)
Citation 4

Abstract:

jump clustering, jump dynamics, MCMC, predictive likelihood, realized volatility, Bayesian model average

9.

Hedging Foreign Currency Portfolios

Journal of Empirical Finance, Vol. 5, pp. 197-220, 1998
Number of pages: 24 Posted: 27 Sep 2004 Last Revised: 02 Mar 2012
Louis Gagnon, Thomas H. McCurdy and Greg Lypny
Smith School of Business, Queen's University, University of Toronto - Rotman School of Management and Concordia University, Quebec - John Molson School of Business
Downloads 66 (250,500)
Citation 3

Abstract:

Hedging, GARCH, portfolio effects, risk-minimization, covariance

10.

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth

Journal of Business and Economic Statistics, Vol. 12, No. 3, pp. 279-288, July 1994
Number of pages: 11 Posted: 06 Oct 2011
Michael Durland and Thomas H. McCurdy
Bank of Nova Scotia and University of Toronto - Rotman School of Management
Downloads 65 (274,948)
Citation 31

Abstract:

nonlinear asymmetric cycles, regime switches, time-varying transition probabilities

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Number of pages: 45 Posted: 05 Oct 2011
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 51 (324,715)
Citation 67

Abstract:

volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Journal of Finance, April 2004
Posted: 31 Jul 2003
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Abstract:

volatility components, news impacts, conditional jump intensity, jump size, leverage effects, filter

12.

Single Beta Models and Currency Futures Prices

Economic Record, Vol. 68, p. 117, 1992
Number of pages: 13 Posted: 29 Feb 2012
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 36 (350,132)
Citation 2

Abstract:

conditional asset pricing model, foreign currency futures prices, time-varying risk premia

13.

Intertemporal Risk in the Foreign Currency Futures Basis

Canadian Journal of Administrative Sciences, Vol. 16, No. 3, pp. 172-184, 1999
Number of pages: 13 Posted: 06 Oct 2011
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 34 (370,833)

Abstract:

14.

Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility

International Journal of Forecasting, Vol. 3, p. 131, 1987
Number of pages: 18 Posted: 29 Feb 2012
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 25 (382,254)
Citation 5

Abstract:

Foreign currency futures, Martingale, Time varying volatility, GARCH

15.

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

Review of Economic Studies, Vol. 58, No. 3, pp. 587-602, 1991
Number of pages: 17 Posted: 07 Oct 2011
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 25 (394,678)
Citation 14

Abstract:

foreign currency risk premia, deviations from uncovered interest rate parity, conditional asset pricing model, world equity index benchmark

16.

The Equity Premium Puzzle

THE NEW PALGRAVE DICTIONARY OF MONEY AND FINANCE, pp. 771-773, Macmillan, 1992
Number of pages: 4 Posted: 07 Mar 2012 Last Revised: 06 Nov 2012
A. Craig Burnside and Thomas H. McCurdy
Duke University - Department of Economics and University of Toronto - Rotman School of Management
Downloads 23 (403,633)
Citation 1

Abstract:

17.

A Comparison of Risk-Premium Forecasts Implied by Parametric Versus Nonparametric Conditional Mean Estimators

Journal of Econometrics, Vol. 52, pp. 225-244, 1992
Number of pages: 20 Posted: 07 Oct 2011
Thomas H. McCurdy and Thanasis Stengos
University of Toronto - Rotman School of Management and University of Guelph - Department of Economics
Downloads 21 (408,381)
Citation 1

Abstract:

bivariate generalized ARCH, out-of-sample versus in-sample forecasting, equity premiium forecasts, conditional asset pricing model

18.

Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis

Journal of International Money and Finance, Vol. 3, p. 357, 1984
Number of pages: 12 Posted: 01 Mar 2012
Allan Gregory and Thomas H. McCurdy
Queen's University and University of Toronto - Rotman School of Management
Downloads 19 (433,325)
Citation 4

Abstract:

forward foreign exchange rate, unbiasedness hypothesis, specification tests, structural breaks

19.

Evidence of Risk Premiums in Foreign Currency Futures Markets

The Review of Financial Studies, Vol. 5, No. 1, pp.65-83, 1992
Number of pages: 19 Posted: 07 Oct 2011
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 18 (438,502)
Citation 12

Abstract:

time-varying price of risk, time-varying quantity of risk, conditional asset pricing model, recursive preferences

20.

Sources of Employment Growth by Occupation and Industry in Canada

Relations Industrielles/Industrial Relations, Vol. 48, No. 2, 1993
Number of pages: 20 Posted: 07 Oct 2011
Julian R. Betts and Thomas H. McCurdy
University of California, San Diego (UCSD) - Department of Economics and University of Toronto - Rotman School of Management
Downloads 16 (418,032)

Abstract:

changes in occupational composition of employment, intersectoral shifts in employment, sources of growth in employment

21.

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity

Journal of Applied Econometrics, Vol. 3, No. 3, p. 187, 1988
Number of pages: 17 Posted: 29 Feb 2012
Thomas H. McCurdy and Ieuan G. Morgan
University of Toronto - Rotman School of Management and Queen's School of Business
Downloads 10 (448,797)
Citation 6

Abstract:

heteroskedasticity, foreign currency futures, trading-day effects, day-of-the-week patterns, martingale

22.

Volatility Dynamics Under Duration-Dependent Mixing

Journal of Empirical Finance, Vol. 7, 2000
Number of pages: 28 Posted: 18 Apr 2002 Last Revised: 02 Mar 2012
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 10 (464,225)
Citation 6

Abstract:

time-varying transition probabilities, discrete-state volatility dynamics, time-varying hazard function

23.

On Testing Theories of Financial Intermediary Portfolio Selection

Review of Economic Studies, Vol. 47, No. 5, 1980
Number of pages: 14 Posted: 08 Mar 2012 Last Revised: 06 Nov 2012
Ernst R. Berndt, Thomas H. McCurdy and David Rose
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Toronto - Rotman School of Management and International Monetary Fund (IMF)
Downloads 9 (469,448)

Abstract:

financial intermediary portfolios, FIML estimation, auxilliary assumptions

24.

Some Employment, Income, and Occupational Effects of Microelectronic-Based Technical Change: A Multisectoral Simulation for Canada

Journal of Policy Modeling, Vol. 9, No. 2, p. 337, 1987
Number of pages: 29 Posted: 29 Feb 2012
Thomas H. McCurdy
University of Toronto - Rotman School of Management
Downloads 8 (489,788)

Abstract:

technical change, structural unemployment, simulation, input-output data

25.

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany

European Economic Review, Vol. 30, p. 365, 1986
Number of pages: 17 Posted: 01 Mar 2012
Allan Gregory and Thomas H. McCurdy
Queen's University and University of Toronto - Rotman School of Management
Downloads 7 (503,970)
Citation 1

Abstract:

specfication analyses, unbiasedness hypothesis, forward foreign exchange rate

26.

Some Potential Job Displacements Associated with Computer-Based Automation in Canada

Technological Forecasting and Social Change, Vol. 35, pp. 299-317, 1989
Number of pages: 19 Posted: 08 Oct 2011
Thomas H. McCurdy
University of Toronto - Rotman School of Management
Downloads 7 (474,485)

Abstract:

computer-based automation, structural unemployment, employment adjustment to structural shocks

27.

An International Economy with Country-Specific Money and Productivity Growth Processes

Canadian Journal of Economics, Vol. XXVIII, pp. 141-162, 1995
Number of pages: 23 Posted: 08 Oct 2011
Nicholas Ricketts and Thomas H. McCurdy
affiliation not provided to SSRN and University of Toronto - Rotman School of Management
Downloads 5 (512,777)
Citation 1

Abstract:

numerical general equilibrium solution, parameterized expectations, stochastic international growth model, cash-in-advance inequality constraints

28.

An Efficiency Frontier Model: An Analysis of the Macroeconomic Implications of Structural Shocks

Economic Notes, Vol. 17, No. 3, 1988
Number of pages: 14 Posted: 08 Mar 2012 Last Revised: 06 Nov 2012
Thomas H. McCurdy
University of Toronto - Rotman School of Management
Downloads 1 (521,593)

Abstract:

Technical Change, Structural Unemployment, Dynamic Efficiency, Restricted Efficiency Frontiers

29.

Optimal Data Histories for Forecasting Correlations

Number of pages: 50 Posted: 20 Feb 2016
Yoontae Jeon and Thomas H. McCurdy
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 0 (314,043)

Abstract:

Model uncertainty, variance and correlation forecasts, optimal data histories