Tom McCurdy : Citation Profile


Are you Tom McCurdy?

University of Toronto

15

H index

17

i10 index

857

Citations

RESEARCH PRODUCTION:

23

Articles

30

Papers

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 23
   Journals where Tom McCurdy has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 14 (1.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc141
   Updated: 2019-05-18    RAS profile: 2018-12-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tom McCurdy.

Is cited by:

Maheu, John (25)

Bollerslev, Tim (22)

Balcilar, Mehmet (18)

GUPTA, RANGAN (16)

Christoffersen, Peter (15)

Ielpo, Florian (14)

Andersen, Torben (13)

Demirer, Riza (11)

Shephard, Neil (10)

Otranto, Edoardo (10)

Gallo, Giampiero (10)

Cites to:

Bollerslev, Tim (24)

Andersen, Torben (20)

Diebold, Francis (15)

Maheu, John (14)

Engle, Robert (12)

Hodrick, Robert (11)

Timmermann, Allan (10)

Nelson, Charles (10)

Renault, Eric (9)

Startz, Richard (8)

White, Halbert (8)

Main data


Where Tom McCurdy has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics3
Review of Economic Studies2
Journal of Empirical Finance2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University15
Working Paper series / Rimini Centre for Economic Analysis3

Recent works citing Tom McCurdy (2018 and 2017)


YearTitle of citing document
2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2017Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data. (2017). Awad, Ibrahim M ; Al-Ewesat, Abdel-Rahman . In: Review of Economics & Finance. RePEc:bap:journl:170307.

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2017The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Uwilingiye, Josine ; van Eyden, Renee. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:2:p:319-336.

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2017Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. (2017). Frömmel, Michael ; Mende, Alexander ; Frommel, Michael ; Elaut, Gert. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:427-450.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2017A semiparametric nonlinear quantile regression model for financial returns. (2017). Baruník, Jozef ; Avdulaj, Krenar ; Jozef, Barunik ; Krenar, Avdulaj . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:81-97:n:2.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2019Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle.. (2019). Fernando, ; Moura, Guilherme Valle ; Caldeira, Joo Frois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00262.

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2018Business cycle duration dependence and foreign recessions. (2018). Vermeulen, Philip ; de Bondt, Gabe. In: Working Paper Series. RePEc:ecb:ecbwps:20182205.

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2018Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration. (2018). DOORASAMY, Mishelle ; Sarpong, Prince Kwasi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-01-13.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2019Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2017Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang. In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2018The decomposition of jump risks in individual stock returns. (2018). Xiao, Xiao ; Zhou, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:207-228.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Zhou, Chunyang ; Wang, Yudong ; Wu, Chongfeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2018Dynamic jumps in global oil price and its impacts on Chinas bulk commodities. (2018). Zhang, Chuanguo ; Yu, Danlin ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:297-306.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

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2018A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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2017Forecasting volatility with interacting multiple models. (2017). Katrak, Xerxis ; Svec, Jiri. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:245-252.

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2017Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2017Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach. (2017). Chkili, Walid. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2018Market efficiency of Baltic stock markets: A fractional integration approach. (2018). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Shittu, Olanrewaju I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:251-262.

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2018Asymmetric market efficiency using the index-based asymmetric-MFDFA. (2018). Lee, Minhyuk ; Chang, Woojin ; Kim, Sondo ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:1278-1294.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2018Faster learning in troubled times: How market conditions affect the disposition effect. (2018). Muhl, Stefan ; Talpsepp, Tnn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:226-236.

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2018Performance of fixed-income mutual funds with regime-switching models. (2018). Ayadi, Mohamed A ; Welch, Robert ; Liao, Yusui ; Lazrak, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:217-231.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2017Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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2018Regime shifts and stock return predictability. (2018). Hammerschmid, Regina ; Lohre, Harald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:138-160.

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2018Skewness, basis risk, and optimal futures demand. (2018). Barbi, Massimiliano ; Romagnoli, Silvia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:14-29.

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2017Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets. (2017). Lai, Ya-Wen ; Windawati, Atif. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:233-241.

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2018Cycle Duration in Production with Periodicity – Evidence from Turkey. (2018). Akdi, Ylmaz ; Berument, Hakan ; Varlik, Serdar. In: International Econometric Review (IER). RePEc:erh:journl:v:10:y:2018:i:2:p:24-32.

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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Working Papers. RePEc:fip:fedlwp:2017-011.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2018). Maheu, John ; Jensen, Mark. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2018A switching self-exciting jump diffusion process for stock prices. (2018). Hainaut, Donatien ; Moraux, Franck. In: Post-Print. RePEc:hal:journl:halshs-01909772.

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2019Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains *. (2019). Bec, Frédérique ; de Gaye, Annabelle . In: Working Papers. RePEc:hal:wpaper:hal-02014663.

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2018Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach. (2018). Lai, Yi-Hao ; Chung, Wei-Shih ; Wang, Yi-Chiuan. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:1:p:51-66.

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2018Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach. (2018). Deng, Kaihua. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-016-9596-x.

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2019Recurrent Collusion: Cartel Episodes and Overcharges in the South African Cement Market. (2019). van Jaarsveld, Rossouw ; Boshoff, Willem H. In: Review of Industrial Organization. RePEc:kap:revind:v:54:y:2019:i:2:d:10.1007_s11151-018-9637-9.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?. (2018). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: MPRA Paper. RePEc:pra:mprapa:91253.

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2018Economic regimes and stock market performance in Nigeria: Evidence from regime switching model. (2018). Rano, Shehu Usman ; Aminu, Abubakar Wambai. In: MPRA Paper. RePEc:pra:mprapa:91430.

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2019An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka. In: MPRA Paper. RePEc:pra:mprapa:92222.

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2017Time-Varying Rare Disaster Risks, Oil Returns and Volatility. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201762.

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2019The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach. (2019). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Working Papers. RePEc:pre:wpaper:201915.

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2018Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2018). Rodrigues, Paulo ; Cruz, Joo ; Nicolau, Joo. In: Working Papers. RePEc:ptu:wpaper:w201814.

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2018Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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2017Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets. (2017). Roca, Eduardo ; Su, Jen-Je ; Todorova, Neda ; Jiang, Huayun . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:34:p:3435-3452.

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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. (2017). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:110-129.

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2017HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733.

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2018The Evolution of Forecast Density Combinations in Economics. (2018). Mitchell, James ; van Dijk, Herman ; Ravazzolo, Francesco ; Aastveit, Knut Are. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180069.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Jian, Zhi Hong ; Wu, Shuai ; Zhou, Jie ; Zhu, Zhican. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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2017Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. (2017). Chan, Kam Fong ; Gray, Philip. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:1:p:71-89.

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2019The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants. (2019). Stolper, Oscar ; Fischer, Henning. In: Discussion Papers. RePEc:zbw:bubdps:082019.

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2018Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: Weidener Diskussionspapiere. RePEc:zbw:hawdps:64.

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Works by Tom McCurdy:


YearTitleTypeCited
1985Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets In: Queen's Institute for Economic Research Discussion Papers.
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paper0
1984Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets.(1984) In: Working Paper.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1989Evidence of risk Premia in Foreign Currency Futures Markets. In: UFAE and IAE Working Papers.
[Citation analysis]
paper5
1994Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth. In: Journal of Business & Economic Statistics.
[Citation analysis]
article111
1993Duration Dependent Transitions in a Markov Model of U.S. GNP Growth.(1993) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111
paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article150
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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article24
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
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2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
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1992Single Beta Models and Currency Futures Prices. In: The Economic Record.
[Citation analysis]
article1
1991Single Beta Models and currency Futures Prices.(1991) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
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2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
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article169
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns.(2003) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 169
paper
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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paper53
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