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

  • University of Toronto - Rotman School of Management

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    • Tel: 416-978-3425
    • Fax: 416-971-3048
SCHOLARLY PAPERS

31

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153

CROSSREF CITATIONS

196

Scholarly Papers (31)

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1.

Identifying Bull and Bear Markets in Stock Returns

Downloads 2,183 (11,821)

Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, January 2000, Vol 18, No. 1, pp. 100-112
Number of pages: 13 Posted: 19 Feb 1999 Last Revised: 30 Aug 2021
John M. Maheu and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 2,183 (11,592)

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Identifying Bull and Bear Markets in Stock Returns

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

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high-frequency data, realized volatility, semi-Markov

2.

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

Downloads 1,502 (21,172)
Citation 12

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 1,266 (26,837)
Citation 2

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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 236 (214,504)
Citation 4

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predictive density, long-horizon returns, Markov switching

3.

Bull and Bear Markets During the COVID-19 Pandemic

Forthcoming, Finance Research Letters, https://doi.org/10.1016/j.frl.2021.102091
Number of pages: 21 Posted: 15 Dec 2020 Last Revised: 30 Aug 2021
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 1,489 (21,462)

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COVID-19, equity returns, Markov switching, predictive density, investment strategies

4.

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

Journal of Financial Economics (JFE), In Press. https://doi.org/10.1016/j.jfineco.2021.08.002, Rotman School of Management Working Paper No. 3911398, Georgetown McDonough School of Business Research Paper No. 3911398
Number of pages: 66 Posted: 25 Aug 2021 Last Revised: 24 Mar 2022
Yoontae Jeon, Thomas H. McCurdy and Xiaofei Zhao
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and Georgetown University - McDonough School of Business
Downloads 681 (64,586)
Citation 8

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Jumps; News frequency; Textual analysis; News content; Sentiment

5.

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

Downloads 468 (102,871)
Citation 11

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 398 (123,270)
Citation 4

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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 70 (547,931)
Citation 1

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

6.

Nonlinear Features of Realized FX Volatility

Downloads 413 (119,147)
Citation 27

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 371 (133,594)
Citation 3

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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 42 (699,931)
Citation 3

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high-frequency data, realized volatility, semi-Markov

7.

Components of Market Risk and Return

Downloads 338 (149,049)

Components of Market Risk and Return

Journal of Financial Econometrics, Forthcoming
Number of pages: 31 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 338 (148,050)
Citation 2

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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

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

8.

Do Jumps Contribute to the Dynamics of the Equity Premium?

Journal of Financial Economics 110 (2013) 457-477, Available at: http://dx.doi.org/10.1016/j.jfineco.2013.07.006
Number of pages: 48 Posted: 25 Jun 2013 Last Revised: 21 Aug 2021
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 - McDonough School of Business
Downloads 237 (214,287)
Citation 9

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

9.

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

Downloads 185 (269,604)

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 185 (269,473)
Citation 10

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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

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

10.

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 176 (281,578)
Citation 1

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

11.

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
Queen's University - Smith School of Business, University of Toronto - Rotman School of Management and Concordia University, Quebec - John Molson School of Business
Downloads 144 (333,040)
Citation 2

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

12.

Time-Varying Window Length for Correlation Forecasts

Econometrics 2017, 5, 54: DOI at http://dx.doi.org/10.3390/econometrics5040054
Number of pages: 29 Posted: 20 Feb 2016 Last Revised: 15 Dec 2020
Yoontae Jeon and Thomas H. McCurdy
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 127 (366,872)

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

13.

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 111 (404,936)
Citation 4

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

14.

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

Downloads 92 (460,361)

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 92 (464,311)
Citation 66

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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

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

15.

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 71 (536,354)
Citation 1

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16.

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 University - Smith School of Business
Downloads 64 (566,632)

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

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 Queen's University - Smith School of Business
Downloads 62 (575,549)
Citation 1

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Foreign currency futures, Martingale, Time varying volatility, GARCH

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 61 (580,109)
Citation 5

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

19.

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 University - Smith School of Business
Downloads 58 (599,546)
Citation 7

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

20.

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 University - Smith School of Business
Downloads 58 (594,549)

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21.

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 University - Smith School of Business
Downloads 56 (604,586)
Citation 1

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

22.

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 52 (625,409)
Citation 2

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specfication analyses, unbiasedness hypothesis, forward foreign exchange rate

23.

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 49 (641,879)

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

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 45 (670,724)

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

25.

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 University - Smith School of Business
Downloads 44 (670,724)
Citation 2

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

26.

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 43 (676,891)

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

27.

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 38 (709,239)

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financial intermediary portfolios, FIML estimation, auxilliary assumptions

28.

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 37 (715,894)

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

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 32 (751,526)

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

30.

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 25 (806,494)

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

31.

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 20 (850,226)

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