Access Statistics for Thomas H. McCurdy

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 0 0 5 5 5
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 1 0 7 9 363
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 0 2 6 7
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 6 9 533
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 1 5 7 97
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 0 7 10 325
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 0 2 2 2
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 6 10 235
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 3 6 38
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 2 10 16 505
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 7 13 122
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 2 8 13 462
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 9 14 333
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 41 1 7 12 705
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 7 7 7
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 0 2 2 221
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 6 7 47
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 1 4 5 178
Extracting bull and bear markets from stock returns 0 0 2 361 1 6 17 1,024
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 5 10 2,075
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 6 10 11 70
Modeling foreign exchange rates with jumps 0 0 2 294 0 2 9 731
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 2 5 1,104
Non-Steady-State Dynamic Growth Theory 0 0 0 0 0 2 4 157
Nonlinear Features of Realized FX Volatility 0 0 0 295 1 3 5 1,082
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 2 2 44
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 0 2 4 101
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 1 8 9 93
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 0 1 9 24
Single Beta Models and currency Futures Prices 0 0 0 4 2 4 5 383
Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's 0 0 0 0 1 7 8 248
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 0 3 6 175
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 0 4 9 355
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 0 2 3 109
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 2 4 250
Total Working Papers 0 0 5 2,483 22 168 273 12,210
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators 0 0 0 48 1 6 9 165
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 2 4 27
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 1 9 14 24
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 0 9 18 356
Components of Market Risk and Return 0 1 1 24 0 14 15 316
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 3 53 0 2 13 200
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 4 10 150
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 2 5 14 622
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 0 1 3 274
Hedging foreign currency portfolios 0 0 0 168 0 6 10 467
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 2 7 12 350
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 3 16 31 2,473
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 2 3 10 55 4 13 38 180
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 6 9 512
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 1 3 5 73
Simulation-based learning using the RIT market simulator and RIT decision cases 0 0 0 5 2 7 19 56
Single Beta Models and Currency Futures Prices 0 0 0 0 0 5 6 9
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 0 4 4 39
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 0 3 10 218
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 1 7 10 161
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 0 3 8 333
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 1 5 8 128
The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany 0 0 0 13 2 9 15 81
Time-Varying Window Length for Correlation Forecasts 1 1 1 9 2 7 12 70
Volatility dynamics under duration-dependent mixing 0 0 0 26 2 6 10 129
Total Journal Articles 3 5 16 985 24 159 307 7,413
2 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Chapter 12 Modeling Foreign Exchange Rates with Jumps 0 0 0 0 1 1 2 7
Total Chapters 0 0 0 0 1 1 2 7

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Statistics updated 2026-04-09