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 3 9 9 363
A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators 0 0 0 0 1 5 5 5
A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? 0 0 0 0 1 4 6 7
A Semi-Markov Approach to Modeling Volatility Dynamics 0 0 0 1 2 6 10 533
An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks 0 0 0 0 1 6 6 96
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 5 0 8 10 325
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 0 0 2 2 2
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 13 1 3 6 38
Bull and Bear Markets During the COVID-19 Pandemic 0 0 0 43 2 9 10 235
Components of bull and bear markets: bull corrections and bear rallies 0 0 0 157 3 9 14 503
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? 0 0 0 28 1 9 13 122
Do Jumps Contribute to the Dynamics of the Equity Premium? 0 0 1 141 1 6 12 460
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 0 134 4 9 14 333
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 6 6 6
Duration Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 41 2 8 11 704
Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data 0 0 0 0 0 2 2 221
Employment and Income Effects of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 7 7 47
Evidence of risk Premia in Foreign Currency Futures Markets 0 0 0 0 2 4 4 177
Extracting bull and bear markets from stock returns 0 0 2 361 2 7 16 1,023
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 9 1 5 5 64
How useful are historical data for forecasting the long-run equity return distribution? 0 0 0 423 2 8 10 2,075
Modeling foreign exchange rates with jumps 0 0 2 294 0 5 16 731
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns 0 0 0 431 1 1 4 1,103
Non-Steady-State Dynamic Growth Theory 0 0 0 0 0 4 4 157
Nonlinear Features of Realized FX Volatility 0 0 0 295 0 3 4 1,081
Occupational Implications of Microelectronic-Based Technical Change: A Multisectoral Study for Canada 0 0 0 0 1 2 2 44
On the Boundary Between Keynesian Unemployment and Repressed Inflation 0 0 0 0 0 3 4 101
Simultaneous Price-Quantity Adjustment in the Presence of Spillovers Across Markets 0 0 0 0 0 8 8 92
Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets 0 0 0 1 0 4 9 24
Single Beta Models and currency Futures Prices 0 0 0 4 0 2 3 381
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 2 7 7 247
Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets 0 0 0 0 0 5 6 175
Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility 0 0 0 1 0 7 9 355
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis 0 0 0 1 1 3 3 109
Volatility Dynamics Under Duration-Dependent Mixing 0 0 0 99 1 2 3 249
Total Working Papers 0 0 5 2,483 37 188 260 12,188
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 6 8 164
An International Economy with Country-Specific Money and Productivity Growth Processes 0 0 0 1 0 2 4 27
Bull and bear markets during the COVID-19 pandemic 0 0 0 4 2 8 13 23
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies 0 0 2 78 2 13 19 356
Components of Market Risk and Return 1 1 1 24 3 14 15 316
Do high-frequency measures of volatility improve forecasts of return distributions? 0 0 3 53 1 4 13 200
Do jumps contribute to the dynamics of the equity premium? 0 0 1 30 0 4 12 150
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth 0 0 0 0 1 8 12 620
Evidence of Risk Premiums in Foreign Currency Futures Markets 0 0 0 55 0 2 3 274
Hedging foreign currency portfolios 0 0 0 168 1 7 10 467
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution? 0 0 0 91 1 5 11 348
Identifying Bull and Bear Markets in Stock Returns 0 0 0 0 4 17 28 2,470
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies 1 1 8 53 6 15 35 176
Nonlinear Features of Realized FX Volatility 0 0 0 104 3 6 9 512
On Testing Theories of Financial Intermediary Portfolio Selection 0 0 0 25 1 2 4 72
Simulation-based learning using the RIT market simulator and RIT decision cases 0 0 1 5 0 10 18 54
Single Beta Models and Currency Futures Prices 0 0 0 0 0 5 6 9
Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada 0 0 0 3 0 4 4 39
Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity 0 0 0 45 1 5 10 218
Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis 0 0 0 52 1 6 9 160
Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity 0 0 0 55 1 3 8 333
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility 0 0 0 41 3 5 8 127
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 7 13 79
Time-Varying Window Length for Correlation Forecasts 0 0 0 8 0 6 10 68
Volatility dynamics under duration-dependent mixing 0 0 0 26 0 5 8 127
Total Journal Articles 2 2 16 982 32 169 290 7,389
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 0 1 6
Total Chapters 0 0 0 0 0 0 1 6

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Statistics updated 2026-03-04