Tom McCurdy : Citation Profile


Are you Tom McCurdy?

University of Toronto

14

H index

16

i10 index

741

Citations

RESEARCH PRODUCTION:

23

Articles

30

Papers

RESEARCH ACTIVITY:

   39 years (1980 - 2019). See details.
   Cites by year: 19
   Journals where Tom McCurdy has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 13 (1.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc141
   Updated: 2020-09-26    RAS profile: 2020-09-10    
   Missing citations? Add them    Incorrect content? Let us know

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)

Balcilar, Mehmet (18)

Bollerslev, Tim (16)

Ielpo, Florian (14)

GUPTA, RANGAN (14)

Gallo, Giampiero (11)

Otranto, Edoardo (10)

Shephard, Neil (9)

Demirer, Riza (9)

Jensen, Mark (9)

pagan, adrian (8)

Cites to:

Bollerslev, Tim (25)

Andersen, Torben (20)

Engle, Robert (15)

Diebold, Francis (14)

Maheu, John (13)

Timmermann, Allan (12)

Hodrick, Robert (11)

Nelson, Charles (10)

Renault, Eric (9)

White, Halbert (8)

MacKinnon, James (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 (2020 and 2019)


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.

Full description at Econpapers || Download paper

2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

Full description at Econpapers || Download paper

2019Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective. (2019). Wang, Qiao ; Huang, Qiubin ; Cheng, Xiangjuan ; Yang, Haizhen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:665-679.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Pure momentum is priced. (2019). Welch, Robert ; Wang, Yan ; Lazrak, Skander ; Chen, Lemeng. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:22:y:2019:i:c:p:75-89.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019High frequency volatility co-movements in cryptocurrency markets. (2019). Corbet, Shaen ; Katsiampa, Paraskevi ; Lucey, Brian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:35-52.

Full description at Econpapers || Download paper

2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

Full description at Econpapers || Download paper

2019Foreign investors’ trading behavior and market conditions: Evidence from Taiwan. (2019). Tsai, Li-Ju ; Chiang, Sue-Jane ; Shu, Pei-Gi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300490.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Realized Volatility Forecasting: Robustness to Measurement Errors. (2019). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_04.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

Full description at Econpapers || Download paper

2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination. (2019). Wada, Isah. In: Romanian Economic Journal. RePEc:rej:journl:v:22:y:2019:i:71:p:17-28.

Full description at Econpapers || Download paper

2019Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. (2019). ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael ; Jawadi, Fredj. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2793-3.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
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]
article120
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: 120
paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]
article167
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article26
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: 26
paper
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: 26
paper
1992Single Beta Models and Currency Futures Prices. In: The Economic Record.
[Citation analysis]
article1
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper60
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
article
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
1995An International Economy with Country-Specific Money and Productivity Growth Processes. In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article11
1991An International Economy with Country-Specific Money and Productivity Growth Processes.(1991) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper7
2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2019Simulation-based learning using the RIT market simulator and RIT decision cases In: Journal of Behavioral and Experimental Finance.
[Full Text][Citation analysis]
article0
2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
[Full Text][Citation analysis]
article73
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
paper
2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
paper
1992A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
1991A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators.(1991) In: Working Paper.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article1
1998Hedging foreign currency portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article38
1987Tests of the martingale hypothesis for foreign currency futures with time-varying volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]
article38
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: 38
paper
2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article16
2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
1984Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article20
1987Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada In: Journal of Policy Modeling.
[Full Text][Citation analysis]
article0
1999A Semi-Markov Approach to Modeling Volatility Dynamics. In: Rotman School of Management - Finance.
[Citation analysis]
paper0
2017Time-Varying Window Length for Correlation Forecasts In: Econometrics.
[Full Text][Citation analysis]
article0
1988Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article35
2007Components of Market Risk and Return In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article18
1980On Testing Theories of Financial Intermediary Portfolio Selection In: Review of Economic Studies.
[Full Text][Citation analysis]
article0
1991Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity In: Review of Economic Studies.
[Full Text][Citation analysis]
article35
1992Evidence of Risk Premiums in Foreign Currency Futures Markets. In: Review of Financial Studies.
[Full Text][Citation analysis]
article17
1982Non-Steady-State Dynamic Growth Theory In: Working Paper.
[Citation analysis]
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
1991Single Beta Models and currency Futures Prices In: Working Paper.
[Full Text][Citation analysis]
paper0
2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article25
2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2007Modeling foreign exchange rates with jumps In: Working Papers.
[Full Text][Citation analysis]
paper2
2009Extracting bull and bear markets from stock returns In: Working Papers.
[Full Text][Citation analysis]
paper10
2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team