15
H index
17
i10 index
934
Citations
University of Toronto | 15 H index 17 i10 index 934 Citations RESEARCH PRODUCTION: 25 Articles 33 Papers 1 Chapters RESEARCH ACTIVITY: 42 years (1980 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pmc141 |
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: |
Journals with more than one article published | # docs |
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Journal of Business & Economic Statistics | 3 |
Journal of Empirical Finance | 2 |
The Review of Economic Studies | 2 |
Journal of Financial Economics | 2 |
Journal of Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Paper / Economics Department, Queen's University | 15 |
Working Paper series / Rimini Centre for Economic Analysis | 3 |
Year | Title of citing document |
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2024 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper |
2023 | ESG news spillovers across the value chain. (2023). Coqueret, Guillaume ; le Tran, VU. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:4:p:677-710. Full description at Econpapers || Download paper |
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 | Algorithmic trading: Intraday profitability and trading behavior. (2023). Arumugam, Devika. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334. 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 |
Year | Title | Type | Cited |
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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 | 202 |
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 | 47 |
1987 | Tests of the martingale hypothesis for foreign currency futures with time-varying volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 47 |
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: 47 | 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 | 6 |
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: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 18 |
1980 | On Testing Theories of Financial Intermediary Portfolio Selection In: The 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: The Review of Economic Studies. [Full Text][Citation analysis] | article | 38 |
1992 | Evidence of Risk Premiums in Foreign Currency Futures Markets. In: The 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 | 40 |
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: 40 | 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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