15
H index
17
i10 index
928
Citations
Thomas H. McCurdy : Citation Profile
University of Toronto | RESEARCH PRODUCTION: 25 Articles 33 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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42 years (1980 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas H. McCurdy. | Is cited by:
| Cites to:
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Main data
Where Thomas H. McCurdy has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Business & Economic Statistics | 3 |
| Journal of Econometrics | 2 |
| Journal of Financial Economics | 2 |
| Review of Economic Studies | 2 |
| Journal of Empirical Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Paper / Economics Department, Queen's University | 15 |
| Working Paper series / Rimini Centre for Economic Analysis | 3 |
Recent works citing Thomas H. McCurdy (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
| 2023 | A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494. Full description at Econpapers || Download paper |
| 2023 | Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300035x. Full description at Econpapers || Download paper |
| 2023 | Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136. Full description at Econpapers || Download paper |
| 2023 | Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284. Full description at Econpapers || Download paper |
| 2023 | A closer look at the regime-switching evidence of bull and bear markets. (2023). Kirby, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005463. Full description at Econpapers || Download paper |
| 2023 | Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605. Full description at Econpapers || Download paper |
| 2023 | News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657. Full description at Econpapers || Download paper |
| 2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
| 2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Hedging performance of volatility index futures: a partial cointegration approach. (2023). Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01153-4. Full description at Econpapers || Download paper |
| 2023 | When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3. Full description at Econpapers || Download paper |
| 2023 | Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. (2023). Zakamulin, Valeriy. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00112-y. Full description at Econpapers || Download paper |
| 2023 | The duration of acceleration cycle downturns: duration dependence, international dynamics and synchronisation. (2023). Castro, Vitor ; Koutsoumanis, George. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02299-1. Full description at Econpapers || Download paper |
| 2023 | Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x. Full description at Econpapers || Download paper |
| 2023 | Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5. Full description at Econpapers || Download paper |
| 2023 | Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1889-1908. Full description at Econpapers || Download paper |
Works by Thomas H. McCurdy:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1985 | Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets In: Queen's Institute for Economic Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1984 | Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets.(1984) In: Working Paper. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Bull and Bear Markets During the COVID-19 Pandemic In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Bull and bear markets during the COVID-19 pandemic.(2021) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2020 | Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1989 | Evidence of risk Premia in Foreign Currency Futures Markets. In: UFAE and IAE Working Papers. [Citation analysis] | paper | 5 |
| 1994 | Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 161 |
| 1993 | Duration Dependent Transitions in a Markov Model of U.S. GNP Growth.(1993) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | paper | |
| 2000 | Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 201 |
| 2009 | How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 32 |
| 2007 | How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2007 | How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 1992 | Single Beta Models and Currency Futures Prices In: The Economic Record. [Full Text][Citation analysis] | article | 2 |
| 1991 | Single Beta Models and currency Futures Prices.(1991) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 68 |
| 2002 | Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
| 2003 | News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 1995 | An International Economy with Country-Specific Money and Productivity Growth Processes. In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 16 |
| 1991 | An International Economy with Country-Specific Money and Productivity Growth Processes.(1991) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2000 | Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 9 |
| 2000 | Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2019 | Simulation-based learning using the RIT market simulator and RIT decision cases In: Journal of Behavioral and Experimental Finance. [Full Text][Citation analysis] | article | 1 |
| 2011 | Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 89 |
| 2009 | Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
| 2008 | Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
| 1992 | A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 1991 | A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators.(1991) In: Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 1986 | The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany In: European Economic Review. [Full Text][Citation analysis] | article | 3 |
| 1998 | Hedging foreign currency portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 46 |
| 1987 | Tests of the martingale hypothesis for foreign currency futures with time-varying volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 46 |
| 1986 | Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility.(1986) In: Working Paper. [Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2013 | Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 24 |
| 2012 | Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2022 | News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 1984 | Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 21 |
| 1987 | Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | chapter | 0 | |
| 1999 | A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance. [Citation analysis] | paper | 0 |
| 2017 | Time-Varying Window Length for Correlation Forecasts In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1988 | Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 43 |
| 2007 | Components of Market Risk and Return In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 18 |
| 1980 | On Testing Theories of Financial Intermediary Portfolio Selection In: Review of Economic Studies. [Full Text][Citation analysis] | article | 0 |
| 1991 | Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity In: Review of Economic Studies. [Full Text][Citation analysis] | article | 38 |
| 1992 | Evidence of Risk Premiums in Foreign Currency Futures Markets. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 23 |
| 1982 | Non-Steady-State Dynamic Growth Theory In: Working Paper. [Citation analysis] | paper | 0 |
| 1982 | Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data In: Working Paper. [Citation analysis] | paper | 0 |
| 1984 | The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis In: Working Paper. [Citation analysis] | paper | 0 |
| 1984 | On the Boundary Between Keynesian Unemployment and Repressed Inflation In: Working Paper. [Citation analysis] | paper | 0 |
| 1984 | An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks In: Working Paper. [Citation analysis] | paper | 0 |
| 1985 | Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada In: Working Paper. [Citation analysis] | paper | 0 |
| 1985 | Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada In: Working Paper. [Citation analysis] | paper | 0 |
| 1985 | Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets In: Working Paper. [Citation analysis] | paper | 2 |
| 1988 | Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960s and 1970s In: Working Paper. [Citation analysis] | paper | 1 |
| 2012 | Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 39 |
| 2010 | Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2007 | Modeling foreign exchange rates with jumps In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Extracting bull and bear markets from stock returns In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2008 | A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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