Thomas H. McCurdy

University of Toronto - Rotman School of Management

Professor

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

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

30

DOWNLOADS
Rank 12,315

SSRN RANKINGS

Top 12,315

in Total Papers Downloads

3,816

CITATIONS
Rank 3,542

SSRN RANKINGS

Top 3,542

in Total Papers Citations

226

Scholarly Papers (30)

1.
Downloads 1,199 ( 16,359)
Citation 5

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 1,199 (16,038)
Citation 5

Abstract:

Loading...

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:

Loading...

high-frequency data, realized volatility, semi-Markov

2.
Downloads 373 ( 78,367)
Citation 24

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 346 (84,932)
Citation 3

Abstract:

Loading...

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 27 (493,310)

Abstract:

Loading...

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 192 (156,611)
Citation 2

Abstract:

Loading...

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 175 (170,419)

Abstract:

Loading...

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 306 (97,454)
Citation 3

Abstract:

Loading...

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 41 (426,720)
Citation 1

Abstract:

Loading...

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

5.
Downloads 294 (102,383)

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 294 (101,832)

Abstract:

Loading...

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:

Loading...

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

6.

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 Georgetown University - Robert Emmett McDonough School of Business
Downloads 172 (172,953)

Abstract:

Loading...

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

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 157 (187,300)
Citation 4

Abstract:

Loading...

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:

Loading...

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

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 143 (201,982)

Abstract:

Loading...

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, University of Toronto - Rotman School of Management and Concordia University, Quebec - John Molson School of Business
Downloads 95 (272,517)

Abstract:

Loading...

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 83 (296,680)

Abstract:

Loading...

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

11.

Time-Varying Window Length for Correlation Forecasts

Number of pages: 46 Posted: 20 Feb 2016 Last Revised: 26 Nov 2017
Yoontae Jeon and Thomas H. McCurdy
Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 70 (327,381)

Abstract:

Loading...

Model uncertainty, variance and correlation forecasts, time-varying window length

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 63 (350,633)
Citation 9

Abstract:

Loading...

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:

Loading...

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

13.

News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies

2019 Canadian Academic Accounting Association (CAAA) Annual Conference
Number of pages: 53 Posted: 19 Jan 2019 Last Revised: 21 May 2019
Yoontae Jeon, Thomas H. McCurdy and Xiaofei Zhao
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and Georgetown University - Robert Emmett McDonough School of Business
Downloads 58 (360,516)

Abstract:

Loading...

information, textual analysis, jumps

14.

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 Smith School of Business
Downloads 44 (406,953)

Abstract:

Loading...

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

15.

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 Smith School of Business
Downloads 37 (434,118)

Abstract:

Loading...

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 36 (438,163)
Citation 1

Abstract:

Loading...

17.

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 Smith School of Business
Downloads 36 (438,163)
Citation 1

Abstract:

Loading...

Foreign currency futures, Martingale, Time varying volatility, GARCH

18.

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 Smith School of Business
Downloads 34 (446,507)

Abstract:

Loading...

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

19.

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 30 (464,700)

Abstract:

Loading...

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

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 27 (479,620)

Abstract:

Loading...

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

21.

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 24 (495,962)
Citation 2

Abstract:

Loading...

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

22.

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 Smith School of Business
Downloads 22 (507,253)
Citation 2

Abstract:

Loading...

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

23.

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 Smith School of Business
Downloads 21 (513,089)
Citation 1

Abstract:

Loading...

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

24.

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 18 (530,545)

Abstract:

Loading...

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

25.

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 17 (536,368)

Abstract:

Loading...

financial intermediary portfolios, FIML estimation, auxilliary assumptions

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 15 (548,013)

Abstract:

Loading...

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

27.

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 12 (566,276)

Abstract:

Loading...

specfication analyses, unbiasedness hypothesis, forward foreign exchange rate

28.

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 12 (566,276)

Abstract:

Loading...

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

29.

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 5 (610,965)

Abstract:

Loading...

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

30.

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 (610,965)

Abstract:

Loading...

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