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 7 7
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 1 0 1 15 369
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 1 1 7 8
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 1 2 10 536
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 0 1 9 99
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 0 0 12 327
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 0 0 3 3
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 1 7 40
Bull and Bear Markets During the COVID-19 Pandemic 0 0 1 44 1 1 12 237
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 0 2 19 511
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 0 0 13 123
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 0 141 0 0 11 463
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 1 2 20 340
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 2 11 11
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 41 1 3 16 709
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 0 0 4 223
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 2 12 52
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 1 2 8 181
Extracting bull and bear markets from stock returns 0 1 3 363 2 4 19 1,029
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 2 15 74
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 0 2 13 2,080
Modeling foreign exchange rates with jumps 0 0 0 294 0 0 9 733
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 2 8 1,108
Non-Steady-State Dynamic Growth Theory 0 0 0 0 0 1 5 158
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 3 8 1,085
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 0 5 47
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 0 0 6 103
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 0 2 11 95
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 0 1 9 25
Single Beta Models and currency Futures Prices 0 0 0 4 0 0 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 1 1 10 250
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 0 0 7 176
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 1 1 15 361
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 0 0 4 110
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 0 0 4 251
Total Working Papers 0 1 4 2,486 14 40 350 12,308
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 1 11 169
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 1 6 30
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 1 2 17 29
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 0 78 0 2 21 361
Components of Market Risk and Return 0 0 1 24 0 0 16 318
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 1 53 0 2 15 208
Do jumps contribute to the dynamics of the equity premium? 0 0 0 30 0 1 9 154
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 5 21 630
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 0 0 5 276
Hedging foreign currency portfolios 0 0 0 168 0 0 10 468
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 1 2 12 354
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 6 11 47 2,494
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 0 0 11 58 3 9 41 194
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 10 515
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 0 0 4 74
Simulation-based learning using the RIT market simulator and RIT decision cases 0 0 0 5 1 1 27 67
Single Beta Models and Currency Futures Prices 0 0 0 0 0 1 7 11
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 0 1 6 41
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 1 1 12 220
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 0 0 10 162
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 0 1 9 336
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 0 0 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 0 12 81
Time-Varying Window Length for Correlation Forecasts 0 0 1 9 0 1 13 73
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 13 133
Total Journal Articles 0 0 14 988 14 43 366 7,530
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 1 5 10
Total Chapters 0 0 0 0 0 1 5 10

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Statistics updated 2026-09-10