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 1 0 0 0 354
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 0 0 1 1
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 0 0 0 523
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 0 0 0 90
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 0 0 1 315
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 0 0 1 32
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 0 0 2 225
Components of bull and bear markets: bull corrections and bear rallies 1 1 2 157 1 1 4 489
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 2 2 3 109
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 1 2 140 1 4 10 448
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 0 0 1 319
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 1 1 1 41 1 1 2 693
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 2 2 40
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 0 0 0 173
Extracting bull and bear markets from stock returns 0 0 2 359 0 1 9 1,007
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 1 2 4 2,065
How useful are historical data for forecasting the long-run equity return distribution? 0 0 2 9 0 1 4 59
Modeling foreign exchange rates with jumps 0 0 3 292 0 2 9 715
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 0 0 2 1,099
Non-Steady-State Dynamic Growth Theory 0 0 0 0 1 1 1 153
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 0 0 1,077
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 0 0 1 42
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 0 0 2 97
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 0 0 2 84
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 0 0 1 15
Single Beta Models and currency Futures Prices 0 0 0 4 0 0 0 378
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 0 0 240
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 2 2 5 169
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 0 0 0 346
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 0 0 0 106
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 1 1 246
Total Working Papers 2 3 12 2,478 11 20 68 11,928
4 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 0 0 156
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 0 1 23
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 0 0 1 10
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 3 76 0 1 9 337
Components of Market Risk and Return 0 0 0 23 0 0 4 301
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 50 0 1 3 187
Do jumps contribute to the dynamics of the equity premium? 0 0 2 29 0 1 4 138
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 2 3 4 608
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 1 1 1 271
Hedging foreign currency portfolios 0 0 0 168 0 0 0 457
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 1 91 1 1 3 337
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 2 2 7 2,442
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 0 0 4 45 0 2 19 141
Nonlinear Features of Realized FX Volatility 0 0 0 104 0 1 3 503
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 0 0 0 68
Simulation-based learning using the RIT market simulator and RIT decision cases 1 1 1 4 2 3 7 36
Single Beta Models and Currency Futures Prices 0 0 0 0 1 1 1 3
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 1 2 2 35
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 0 0 0 208
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 0 0 0 151
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 0 0 1 325
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 0 1 2 119
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 0 66
Time-Varying Window Length for Correlation Forecasts 0 0 0 8 0 0 1 58
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 0 1 119
Total Journal Articles 1 1 11 966 10 20 74 7,099
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 2 3 4 5
Total Chapters 0 0 0 0 2 3 4 5

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Statistics updated 2025-03-03