Tom McCurdy : Citation Profile


Are you Tom McCurdy?

University of Toronto

14

H index

16

i10 index

784

Citations

RESEARCH PRODUCTION:

23

Articles

32

Papers

RESEARCH ACTIVITY:

   40 years (1980 - 2020). See details.
   Cites by year: 19
   Journals where Tom McCurdy has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 16 (2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc141
   Updated: 2021-10-16    RAS profile: 2021-06-15    
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Relations with other researchers


Works with:

Maheu, John (2)

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 (26)

Balcilar, Mehmet (18)

Bollerslev, Tim (16)

GUPTA, RANGAN (14)

Ielpo, Florian (14)

Gallo, Giampiero (12)

Otranto, Edoardo (12)

Shephard, Neil (11)

Chen, Nan-Kuang (10)

Demirer, Riza (9)

Jensen, Mark (9)

Cites to:

Bollerslev, Tim (28)

Andersen, Torben (20)

Engle, Robert (17)

Maheu, John (14)

Diebold, Francis (14)

Timmermann, Allan (13)

Hodrick, Robert (12)

Campbell, John (10)

Nelson, Charles (10)

Renault, Eric (9)

MacKinnon, James (8)

Main data


Where Tom McCurdy has published?


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

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 (2021 and 2020)


YearTitle of citing document
2020Time 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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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Around-the-Clock USD/MXN Volatility: Macroeconomic Announcement Spillovers and FX Market Intervention Mechanisms. (2021). Pedroza, Wilfrido Jurado. In: Working Papers. RePEc:bdm:wpaper:2021-05.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2021Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà-Talamanca, Gianna ; Patacca, Marco ; Focardi, Sergio ; Figa-Talamanca, Gianna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577.

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2021Do financial variables help predict the conditional distribution of the market portfolio?. (2021). Zamenjani, Azam Shamsi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:327-345.

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2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

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2020Does Bitcoin still own the dominant power? An intraday analysis. (2020). Ngene, Geoffrey M ; Wang, Jinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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2021To hedge or not to hedge: Carry trade dynamics in the emerging economies. (2021). Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000779.

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2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2020Duration of Global Financial Cycles. (2020). Berument, Hakan M ; Varlik, Serdar ; Akdi, Yilmaz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301102.

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2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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2021A Markov-Switching Model of Inflation in Bolivia. (2021). Bojanic, Antonio. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:37-:d:515285.

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2021A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities. (2021). Ur, Mobeen ; Chen, James Ming. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6099-:d:642541.

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2020State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange. (2020). Stereczak, Szymon. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:13-:d:329185.

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2020The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model. (2020). Leccadito, Arturo ; Lamantia, Fabio ; la Mantia, Fabio ; de Giovanni, Domenico ; Costabile, Massimo ; Baiardi, Lorenzo Cerboni ; Staino, Alessandro ; Russo, Emilio ; Pirra, Marco ; Menzietti, Massimiliano ; Massabo, Ivar. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:71-:d:379251.

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2021Half Century of Gold Price: Regime-Switching and Forecasting Framework. (2021). Zhao, Yiqiang Q ; Anh, Nguyen Bao. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:1-18.

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2021Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2021). Rodrigues, Paulo ; Nicolau, Joo ; Cruz, Joo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09324-2.

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2020Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market. (2020). Wiwatanapataphee, Benchawan ; Wu, Yonghong ; Yang, YU. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00360-6.

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2021Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Lin, Shih-Kuei ; Chuang, Ming-Che ; Shyu, So-De ; Wang, Shin-Yun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x.

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2021Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing. (2021). Çakmaklı, Cem ; Ozturk, Verda. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2110.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2020A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:104770.

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2020Investor attention and the pricing of cryptocurrency market. (2020). Zhang, Wei ; Wang, Pengfei. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00182-1.

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2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model. (2020). van Dijk, Dick ; van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200057.

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2020Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Working Paper Series. RePEc:trr:qfrawp:202003.

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2020Forecasting Stock Market Recessions in the US: Predictive Modeling using Different Identification Approaches. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202001.

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2020Managing Exchange Rate Risk with Derivatives: An Application of the Hedge Ratio. (2020). BELASCU, LUCIAN ; Popescu, Consuela-Elena ; Horobet, Alexandra ; Vrinceanu, Georgiana. In: Izvestiya. RePEc:vrn:journl:y:2020:i:3:p:316-327.

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2020Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market. (2020). Ozdemir, Dicle ; Dicle, Ozdemir. In: Real Estate Management and Valuation. RePEc:vrs:remava:v:28:y:2020:i:2:p:89-99:n:8.

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2021Heterogeneous investment horizons, risk regimes, and realized jumps. (2021). Gradojevic, Nikola ; Erdemlioglu, Deniz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:617-643.

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2020Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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2020Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478.

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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.
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This paper has another version. Agregated cites: 0
paper
2020Bull and Bear Markets During the COVID-19 Pandemic In: Papers.
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2020Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper.
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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]
article130
1993Duration Dependent Transitions in a Markov Model of U.S. GNP Growth.(1993) In: Working Paper.
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This paper has another version. Agregated cites: 130
paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article173
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
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article26
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Paper series.
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This paper has another version. Agregated cites: 26
paper
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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paper
1992Single Beta Models and Currency Futures Prices In: The Economic Record.
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article1
1991Single Beta Models and currency Futures Prices.(1991) In: Working Paper.
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This paper has another version. Agregated cites: 1
paper
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
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paper63
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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article
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
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paper5
1995An International Economy with Country-Specific Money and Productivity Growth Processes. In: Canadian Journal of Economics.
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article11
1991An International Economy with Country-Specific Money and Productivity Growth Processes.(1991) In: Working Paper.
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This paper has another version. Agregated cites: 11
paper
2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
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paper8
2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 8
article
2019Simulation-based learning using the RIT market simulator and RIT decision cases In: Journal of Behavioral and Experimental Finance.
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article0
2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
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article78
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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paper
2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 78
paper
1992A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators In: Journal of Econometrics.
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article9
1991A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators.(1991) In: Working Paper.
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This paper has another version. Agregated cites: 9
paper
1986The 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.
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article1
1998Hedging foreign currency portfolios In: Journal of Empirical Finance.
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article39
1987Tests of the martingale hypothesis for foreign currency futures with time-varying volatility In: International Journal of Forecasting.
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article40
1986Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility.(1986) In: Working Paper.
[Citation analysis]
This paper has another version. Agregated cites: 40
paper
2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
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article20
2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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This paper has another version. Agregated cites: 20
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1984Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis In: Journal of International Money and Finance.
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article20
1987Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada In: Journal of Policy Modeling.
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article0
1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
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paper0
2017Time-Varying Window Length for Correlation Forecasts In: Econometrics.
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article0
1988Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity. In: Journal of Applied Econometrics.
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article37
2007Components of Market Risk and Return In: Journal of Financial Econometrics.
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article18
1980On Testing Theories of Financial Intermediary Portfolio Selection In: Review of Economic Studies.
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article0
1991Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity In: Review of Economic Studies.
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article37
1992Evidence of Risk Premiums in Foreign Currency Futures Markets. In: Review of Financial Studies.
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article18
1982Non-Steady-State Dynamic Growth Theory In: Working Paper.
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paper0
1982Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data In: Working Paper.
[Citation analysis]
paper0
1984The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis In: Working Paper.
[Citation analysis]
paper0
1984On the Boundary Between Keynesian Unemployment and Repressed Inflation In: Working Paper.
[Citation analysis]
paper0
1984An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks In: Working Paper.
[Citation analysis]
paper0
1985Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada In: Working Paper.
[Citation analysis]
paper0
1985Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada In: Working Paper.
[Citation analysis]
paper0
1985Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets In: Working Paper.
[Citation analysis]
paper2
1988Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960s and 1970s In: Working Paper.
[Citation analysis]
paper1
2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
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article30
2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 30
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2007Modeling foreign exchange rates with jumps In: Working Papers.
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2009Extracting bull and bear markets from stock returns In: Working Papers.
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2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
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