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 1 6 6
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 1 0 5 14 368
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 0 0 6 7
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 1 10 534
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 0 2 8 98
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 0 2 12 327
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 0 1 3 3
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 1 7 39
Bull and Bear Markets During the COVID-19 Pandemic 0 1 1 44 0 1 11 236
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 2 6 18 509
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 1 14 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 0 3 11 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 1 5 19 338
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 0 3 9 9
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 41 0 2 13 706
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 0 2 4 223
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 3 10 50
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 0 2 6 179
Extracting bull and bear markets from stock returns 1 1 3 362 1 2 16 1,025
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 0 8 13 72
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 3 13 2,078
Modeling foreign exchange rates with jumps 0 0 2 294 0 2 11 733
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 3 7 1,106
Non-Steady-State Dynamic Growth Theory 0 0 0 0 0 0 4 157
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 1 5 1,082
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 3 5 47
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 1 2 6 103
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 0 1 9 93
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 0 0 8 24
Single Beta Models and currency Futures Prices 0 0 0 4 0 3 6 384
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 0 2 9 249
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 0 1 7 176
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 1 5 14 360
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 0 1 4 110
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 2 5 251
Total Working Papers 1 2 6 2,485 9 80 323 12,268
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 0 4 12 168
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 2 6 29
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 4 15 27
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 1 78 2 3 21 359
Components of Market Risk and Return 0 0 1 24 1 2 17 318
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 2 53 0 6 18 206
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 3 9 153
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 2 5 17 625
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 0 2 5 276
Hedging foreign currency portfolios 0 0 0 168 1 1 11 468
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 4 13 352
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 13 38 2,483
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 2 5 13 58 3 9 41 185
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 2 11 514
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 0 2 6 74
Simulation-based learning using the RIT market simulator and RIT decision cases 0 0 0 5 2 12 28 66
Single Beta Models and Currency Futures Prices 0 0 0 0 1 1 7 10
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 0 1 5 40
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 0 1 11 219
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 0 2 11 162
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 0 2 10 335
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 2 5 12 132
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 0 2 15 81
Time-Varying Window Length for Correlation Forecasts 0 1 1 9 0 4 14 72
Volatility dynamics under duration-dependent mixing 0 0 0 26 1 6 13 133
Total Journal Articles 2 6 18 988 17 98 366 7,487
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 0 3 4 9
Total Chapters 0 0 0 0 0 3 4 9

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Statistics updated 2026-06-04