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Thomas H. McCurdy · Study

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Thomas H. McCurdy

24 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0001-7303-8614

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Citations2,627

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Most cited in this library

News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns2004 · 561 citations
Identifying Bull and Bear Markets in Stock Returns2000 · 320 citations
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth1994 · 288 citations
Identifying Bull and Bear Markets in Stock Returns2000 · 229 citations
Do high-frequency measures of volatility improve forecasts of return distributions?2010 · 147 citations

Works

24 shown

News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

Journal of Financial Economics·2021·3 authors·Open access

134citations

Do jumps contribute to the dynamics of the equity premium?

Journal of Financial Economics·2013·3 authors·Open access

69citations

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth

SSRN Electronic Journal·2011·2 authors·preprint·Open access

16citations

Components of Bull and Bear Markets: Bull Corrections and Bear Rallies

SSRN Electronic Journal·2011·3 authors·preprint·Open access

24citations

Do high-frequency measures of volatility improve forecasts of return distributions?

Journal of Econometrics·2010·2 authors·Open access

147citations

How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?

Journal of Business and Economic Statistics·2009·2 authors·Open access

38citations

Components of Market Risk and Return

Journal of Financial Econometrics·2007·2 authors·Open access

41citations

News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns

The Journal of Finance·2004·2 authors·Open access

561citations

Nonlinear Features of Realized FX Volatility

The Review of Economics and Statistics·2002·2 authors·Open access

112citations

Volatility dynamics under duration-dependent mixing

Journal of Empirical Finance·2000·2 authors·Open access

35citations

Identifying Bull and Bear Markets in Stock Returns

Journal of Business and Economic Statistics·2000·1 author

320citations

Identifying Bull and Bear Markets in Stock Returns

Journal of Business and Economic Statistics·2000·2 authors

229citations

Identifying Bull and Bear Markets in Stock Returns

SSRN Electronic Journal·1999·2 authors·preprint·Open access

29citations

Hedging foreign currency portfolios

Journal of Empirical Finance·1998·2 authors·Open access

90citations

The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data

TSpace (University of Toronto)·1998·2 authors·report·Open access

27citations

An International Economy with Country-Specific Money and Productivity Growth Processes

Canadian Journal of Economics/Revue canadienne d économique·1995·2 authors·Open access

11citations

Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth

Journal of Business and Economic Statistics·1994·2 authors·Open access

288citations

Evidence of Risk Premiums in Foreign Currency Futures Markets

Review of Financial Studies·1992·2 authors·Open access

52citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

The Review of Economic Studies·1991·2 authors·Open access

62citations

Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity

Journal of Applied Econometrics·1988·2 authors

109citations

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

International Journal of Forecasting·1987·2 authors·Open access

119citations

The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany

European Economic Review·1986·2 authors·Open access

21citations

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity

SSRN Electronic Journal·1986·2 authors·preprint·Open access

30citations

Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis

Journal of International Money and Finance·1984·2 authors·Open access

63citations