Access Statistics for Tom 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 26 303
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 3 13 462
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 0 3 17 46
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 3 10 31 237
Do high-frequency measures of volatility improve forecasts of return distributions? 3 10 39 76 7 18 90 121
Do high-frequency measures of volatility improve forecasts of return distributions? 4 19 28 28 7 12 13 13
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 1 4 15 43 471
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 1 5 34 119
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 1 5 16
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 1 2 16 134
Extracting bull and bear markets from stock returns 10 33 33 33 15 32 32 32
How useful are historical data for forecasting the long-run equity return distribution? 1 5 13 109 2 14 65 200
How useful are historical data for forecasting the long-run equity return distribution? 6 24 64 251 36 106 377 802
Modeling foreign exchange rates with jumps 4 14 45 178 12 30 101 377
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 4 21 331 0 8 49 807
Non-Steady-State Dynamic Growth Theory 0 0 0 0 5 12 26 60
Nonlinear Features of Realized FX Volatility 1 2 10 269 1 4 48 950
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 2 6 20
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 0 0 7 28
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 1 2 8 32
Single Beta Models and Currency Futures Prices 0 0 0 1 7 16 33 288
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 4 8 47 171
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 4 11 35 93
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 6 12 29 96
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 2 3 14 58
The long-run relationship between market risk and return 1 3 9 147 5 16 97 778
Volatility Dynamics Under Duration-Dependent Mixing 0 1 3 86 0 1 8 174
Total Working Papers 30 115 265 1,513 125 351 1,270 6,888

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 1 5 32 0 1 8 98
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 9 81 398
Evidence of Risk Premiums in Foreign Currency Futures Markets 1 1 6 46 3 6 14 220
Hedging foreign currency portfolios 1 2 11 122 5 10 35 302
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 8 14 35 35 18 44 112 112
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 23 37 177 1,989
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns 1 9 36 166 4 20 84 412
Nonlinear Features of Realized FX Volatility 0 2 7 85 1 12 34 368
On Testing Theories of Financial Intermediary Portfolio Selection 1 2 5 22 1 2 5 41
Single Beta Models and Currency Futures Prices 0 0 0 0 1 3 10 75
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 1 0 0 3 19
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 1 31 0 1 8 125
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 1 1 18 35 1 3 29 63
Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity 1 1 4 45 1 3 31 225
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 2 5 15 23 4 8 29 58
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 1 9 0 0 3 25
Volatility dynamics under duration-dependent mixing 0 0 0 16 0 0 4 55
Total Journal Articles 16 38 144 668 63 159 667 4,585

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Statistics updated 2009-11-04