Thomas H. McCurdy

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Simulation-based learning using the RIT market simulator and RIT decision cases

Kevin Mak, Thomas H. McCurdy, 2019 .

Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada

Thomas H. McCurdy, 1985 .

Série Scientifique Scientific Series Nonlinear Features of Realized Fx Volatility Nonlinear Features of Realized Fx Volatility

Thomas H. McCurdy, J. Maheu, Majohn M Maheu, 2022 .

The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data

Thomas H. McCurdy, D. Eddelbüttel, Dirk Eddelbüttel, 1998 .

Nonlinear Features of Realized FX Volatility

Thomas H. McCurdy, J. Maheu, 2001 .

Modeling Foreign Exchange Rates with Jumps

Thomas H. McCurdy, J. Maheu, Thomas H. McCurdy, 2007 .

Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility

Thomas H. McCurdy, I. Morgan, Thomas H. McCurdy, 1986 .

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity

Thomas H. McCurdy, I. Morgan, Thomas H. McCurdy, 1988 .

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2003 .

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth

Thomas H. McCurdy, Thomas H. McCurdy, Michael Durland, 1994 .

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2008 .

How useful are historical data for forecasting the long-run equity premium?

Thomas H. McCurdy, J. Maheu, 2006 .

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2009 .

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Thomas H. McCurdy, John M. Maheu, J. Maheu, 2007 .

An International Economy with Country-Specific Money and Productivity Growth Processes

Thomas H. McCurdy, N. Ricketts, 1995 .

Time-Varying Window Length for Correlation Forecasts

Thomas H. McCurdy, Yoontae Jeon, 2017 .

Some Potential Job Displacements Associated with Computer-Based Automation in Canada

Thomas H. McCurdy, 1989 .

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

Thomas H. McCurdy, I. Morgan, 1991 .

Intertemporal Risk in the Foreign Currency Futures Basis

Thomas H. McCurdy, I. Morgan, 2009 .

A Comparison of Risk-Premium Forecasts Implied by Parametric Versus Nonparametric Conditional Mean Estimators

Thanasis Stengos, Thomas H. McCurdy, T. Stengos, 1992 .

News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies

Thomas H. McCurdy, Xiaofei Zhao, Yoontae Jeon, 2019, Journal of Financial Economics.

Identifying Bull and Bear Markets in Stock Returns

Thomas H. McCurdy, J. Maheu, Thomas H. McCurdy, 2000 .

Hedging Foreign Currency Portfolios

Thomas H. McCurdy, G. Lypny, L. Gagnon, 1998 .

Evidence of Risk Premiums in Foreign Currency Futures Markets

Thomas H. McCurdy, I. Morgan, 2011 .

Single Beta Models and Currency Futures Prices

Thomas H. McCurdy, I. Morgan, 1990 .

Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis

Thomas H. McCurdy, Allan W. Gregory, 1984 .

Chapter 12 Modeling Foreign Exchange Rates with Jumps

Thomas H. McCurdy, J. Maheu, 2008 .

Components of Market Risk and Return

Thomas H. McCurdy, J. Maheu, Thomas H. McCurdy, 2007 .

The long-run relationship between market risk and return

Thomas H. McCurdy, J. Maheu, 2005 .

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany

Thomas H. McCurdy, Allan W. Gregory, 1986 .

Volatility Dynamics Under Duration-Dependent Mixing

Thomas H. McCurdy, J. Maheu, 2000 .

Do Jumps Contribute to the Dynamics of the Equity Premium?

Thomas H. McCurdy, Xiaofei Zhao, J. Maheu, 2013 .

Sources of Employment Growth by Occupation and Industry in Canada

Thomas H. McCurdy, J. Betts, 2011 .

Estimating the Equity Premium

Lisa A. Kramer, Jacob S. Sagi, Thomas H. McCurdy, 2008, Journal of Financial and Quantitative Analysis.

Nonlinear Features of Realized FX Volatility

Thomas H. McCurdy, J. Maheu, 2001, Review of Economics and Statistics.

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?

Thomas H. McCurdy, J. Maheu, 2008 .

How useful are historical data for forecasting the long-run equity premium?

Thomas H. McCurdy, J. Maheu, 2006 .

Institute for International Integration Studies the Diversification Discount Puzzle: Empirical Evidence for a Transactions Cost Resolution the Diversification Discount Puzzle: Empirical Evidence for a Transactions Cost Resolution the Diversification Discount Puzzle: Empirical Evidence for a Transact

Thomas H. McCurdy, John H. Thornton, Lemma W. Senbet, 2022 .

A review of the theory and empirical evidence

Thomas H. McCurdy, R. Chou, T. Bollerslev, 2001 .

On Testing Theories of Financial Intermediary Portfolio Selection

Thomas H. McCurdy, E. Berndt, David Rose, 1980 .