Thomas H. McCurdy : Citation Profile

Are you Thomas H. McCurdy?

University of Toronto

16

H index

20

i10 index

1244

Citations

RESEARCH PRODUCTION:

27

Articles

33

Papers

1

Chapters

RESEARCH ACTIVITY:

   42 years (1980 - 2022). See details.
   Cites by year: 29
   Journals where Thomas H. McCurdy has often published
   Relations with other researchers
   Recent citing documents: 69.    Total self citations: 19 (1.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmc141
   Updated: 2024-11-04    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Maheu, John (3)

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

Is cited by:

Maheu, John (35)

Bollerslev, Tim (27)

GUPTA, RANGAN (21)

Balcilar, Mehmet (20)

Ielpo, Florian (17)

Andersen, Torben (15)

Gallo, Giampiero (12)

Shephard, Neil (12)

Jensen, Mark (12)

Otranto, Edoardo (12)

pagan, adrian (11)

Cites to:

Bollerslev, Tim (30)

Andersen, Torben (27)

Maheu, John (19)

Engle, Robert (19)

Diebold, Francis (16)

Hodrick, Robert (13)

Timmermann, Allan (13)

Renault, Eric (13)

Campbell, John (12)

Nelson, Charles (10)

Schwert, G. (9)

Main data

Where Thomas H. McCurdy has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics3
The Review of Economic Studies2
Journal of Financial Economics2
The Economic Record2
Journal of Econometrics2
Journal of Empirical Finance2

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 Thomas H. McCurdy (2024 and 2023)

YearTitle of citing document
2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2023ESG 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.

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2023What drives most jumps in global crude oil prices? Fundamental shortage conditions, cartel, geopolitics or the behaviour of financial market participants. (2023). Selmi, Refk ; Wohar, Mark E ; Hammoudeh, Shawkat. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:3:p:598-618.

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2023On Climate Fat Tails and Politics. (2023). Mason, Charles ; Wilmot, Neil A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10815.

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2023A 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.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2023A 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.

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2023Algorithmic trading: Intraday profitability and trading behavior. (2023). Arumugam, Devika. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334.

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2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

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2023Oil 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.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from Chinas automobile markets. (2023). Shang, Hongli ; Zhang, Chuanguo. In: Energy Policy. RePEc:eee:enepol:v:172:y:2023:i:c:s0301421522005274.

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2024Closer economic distance makes positive carbon-related attitude: Evidence from the mechanism of sentiment tendency in worldwide news coverage of India. (2024). Wu, Boyu ; Sun, Chuanwang. In: Energy Policy. RePEc:eee:enepol:v:185:y:2024:i:c:s0301421523004986.

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2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

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2024Does oil price volatility matter for the US transportation industry?. (2024). Rothovius, Timo ; Bouri, Elie ; Dutta, Anupam ; Uddin, Gazi Salah ; Azoury, Nehme. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223035880.

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2023Forecasting 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.

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2023Good 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.

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2024Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach. (2024). Gabauer, David ; Chatziantoniou, Ioannis ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005021.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Xiong, Xiong ; Li, Xiao ; Meng, Yongqiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510.

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2023A 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.

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2023Valuation of chooser options with state-dependent risks. (2023). Chen, Jun-Home ; Lian, Yu-Min. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007036.

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2023Does price limit reduce stock price volatility on the limit up and down day?. (2023). Peng, Huan ; Zhou, Chaobo ; Jin, Shaorong. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006748.

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2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders. (2024). Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001968.

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2023Predictability 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.

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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2023Anticipating jumps: Decomposition of straddle price. (2023). Vasquez, Aurelio ; Gan, Quan ; Chen, Bei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003351.

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2023Why does option-implied volatility forecast realized volatility? Evidence from news events. (2023). Li, Gang ; Chen, Sipeng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:156:y:2023:i:c:s0378426623002108.

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2023News-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.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2024Option pricing revisited: The role of price volatility and dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000715.

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2023Examining the patterns of disaggregate energy security risk and crude oil price: the USA scenario over 1970–2040. (2023). Ozkan, Oktay ; Alola, Andrew Adewale ; Obekpa, Hephzibah Onyeje. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002222.

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2023Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

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2023Foreign 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.

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2024Strategic asset allocation with distorted beliefs. (2024). Wei, Tzu-Wen ; Hung, Mao-Wei ; Chung, San-Lin ; Yeh, Chung-Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:804-831.

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2024Dynamic spillover and connectedness in higher moments of European stock sector markets. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Nekhili, Ramzi ; Kang, Sang Hoon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908.

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2023.

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2023Hedging 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.

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2023When 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.

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2023Not 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.

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2024Ups and (Draw)Downs. (2024). Proietti, Tommaso. In: CEIS Research Paper. RePEc:rtv:ceisrp:576.

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2023The 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.

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2023Forecasting 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.

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2023Robust 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.

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2023Optimal 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.

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Works by Thomas H. 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 nother version. Agregated cites: 0		paper
2020Bull and Bear Markets During the COVID-19 Pandemic In: Papers.
[Full Text][Citation analysis]		paper4
2021Bull and bear markets during the COVID-19 pandemic.(2021) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 4		article
2020Bull and Bear Markets During the COVID-19 Pandemic.(2020) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		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]		article162
1993Duration Dependent Transitions in a Markov Model of U.S. GNP Growth.(1993) In: Working Paper.
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This paper has nother version. Agregated cites: 162		paper
2000Identifying Bull and Bear Markets in Stock Returns. In: Journal of Business & Economic Statistics.
[Citation analysis]		article206
2009How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article32
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 nother version. Agregated cites: 32		paper
2007How useful are historical data for forecasting the long-run equity return distribution?.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 32		paper
1992Single Beta Models and Currency Futures Prices. In: The Economic Record.
[Citation analysis]		article2
1992Single Beta Models and Currency Futures Prices In: The Economic Record.
[Full Text][Citation analysis]		article2
1991Single Beta Models and currency Futures Prices.(1991) In: Working Paper.
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This paper has nother version. Agregated cites: 2		paper
2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article284
2001Nonlinear Features of Realized FX Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper68
2002Nonlinear Features of Realized FX Volatility.(2002) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 68		article
2003News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper10
1995An International Economy with Country-Specific Money and Productivity Growth Processes. In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article16
1991An 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
2000Volatility Dynamics Under Duration-Dependent Mixing In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper11
2000Volatility dynamics under duration-dependent mixing.(2000) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 11		article
2019Simulation-based learning using the RIT market simulator and RIT decision cases In: Journal of Behavioral and Experimental Finance.
[Full Text][Citation analysis]		article1
2011Do high-frequency measures of volatility improve forecasts of return distributions? In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2009Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?.(2009) In: Working Paper series.
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This paper has nother version. Agregated cites: 89		paper
2008Do high-frequency measures of volatility improve forecasts of return distributions?.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 89		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.
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This paper has nother 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]		article3
1998Hedging foreign currency portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article47
1987Tests of the martingale hypothesis for foreign currency futures with time-varying volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article48
1986Tests 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: 48		paper
2013Do jumps contribute to the dynamics of the equity premium? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article26
2012Do Jumps Contribute to the Dynamics of the Equity Premium?.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 26		paper
2022News 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]		article14
1984Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article21
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
In: .
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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]		article43
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: The Review of Economic Studies.
[Full Text][Citation analysis]		article0
1991Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity In: The Review of Economic Studies.
[Full Text][Citation analysis]		article39
1992Evidence of Risk Premiums in Foreign Currency Futures Markets. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article23
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
2012Components of Bull and Bear Markets: Bull Corrections and Bear Rallies In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article45
2010Components of bull and bear markets: bull corrections and bear rallies.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 45		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]		paper11
2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2008A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? In: Working Paper Series.
[Full Text][Citation analysis]		paper0

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