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 0 0 0
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 1 2 2 2 356
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 2 4 4 5
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 1 4 527
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 2 2 2 92
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 1 3 3 318
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 0 0 0 0
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 2 3 35
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 3 4 4 229
Components of bull and bear markets: bull corrections and bear rallies 0 0 1 157 1 3 7 495
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 2 4 8 115
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 0 2 8 454
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 4 5 324
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 0 0 0 0
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 1 41 2 5 6 698
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 0 0 0 219
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 1 2 41
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 1 1 1 174
Extracting bull and bear markets from stock returns 0 1 2 361 2 8 12 1,018
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 1 2 60
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 3 3 6 2,070
Modeling foreign exchange rates with jumps 0 0 2 294 3 5 15 729
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 2 3 1,102
Non-Steady-State Dynamic Growth Theory 0 0 0 0 2 2 3 155
Nonlinear Features of Realized FX Volatility 0 0 0 295 1 2 2 1,079
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 0 0 42
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 1 2 2 99
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 1 1 1 85
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 3 6 8 23
Single Beta Models and currency Futures Prices 0 0 0 4 0 1 1 379
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 1 241
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 2 3 5 172
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 3 5 5 351
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 1 1 1 107
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 1 3 248
Total Working Papers 0 1 7 2,483 42 82 129 12,042
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 1 3 159
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 1 2 25
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 2 5 15
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 4 7 11 347
Components of Market Risk and Return 0 0 0 23 0 0 1 302
Do high-frequency measures of volatility improve forecasts of return distributions? 0 1 3 53 2 4 12 198
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 0 1 9 146
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 5 8 12 617
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 1 2 3 273
Hedging foreign currency portfolios 0 0 0 168 1 3 4 461
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 0 1 7 343
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 4 10 17 2,457
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 0 4 7 52 6 12 28 167
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 4 506
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 0 0 2 70
Simulation-based learning using the RIT market simulator and RIT decision cases 0 0 2 5 5 9 15 49
Single Beta Models and Currency Futures Prices 0 0 0 0 0 0 2 4
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 0 0 2 35
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 2 7 7 215
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 0 0 3 154
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 0 3 5 330
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 1 3 5 123
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 3 6 72
Time-Varying Window Length for Correlation Forecasts 0 0 0 8 1 3 5 63
Volatility dynamics under duration-dependent mixing 0 0 0 26 1 3 4 123
Total Journal Articles 0 5 15 980 34 84 174 7,254
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 3 6
Total Chapters 0 0 0 0 0 1 3 6

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Statistics updated 2026-01-09