T
Thomas H. McCurdy
Researcher at University of Toronto
Publications - 83
Citations - 3456
Thomas H. McCurdy is an academic researcher from University of Toronto. The author has contributed to research in topics: Futures contract & Volatility (finance). The author has an hindex of 26, co-authored 83 publications receiving 3300 citations. Previous affiliations of Thomas H. McCurdy include CIRANO & University of British Columbia.
Papers
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Journal ArticleDOI
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
John M. Maheu,Thomas H. McCurdy +1 more
TL;DR: In this paper, different components of the return distribution are assumed to be directed by a latent news process, and the conditional variance of returns is a combination of jumps and smoothly changing components.
Journal ArticleDOI
News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns ⁄
John M. Maheu,Thomas H. McCurdy +1 more
TL;DR: In this article, the conditional variance of returns is a combination of jumps and smoothly changing components, which captures occasional large changes in price, due to the impact of news innovations such as earnings surprises, as well as smoother changes in prices which can result from liquidity trading or strategic trading as information disseminates.
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Identifying Bull and Bear Markets in Stock Returns
John M. Maheu,Thomas H. McCurdy +1 more
TL;DR: The authors used a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both the conditional mean and the conditional variance of stock returns, and labeled these as bull and bear markets, respectively.
Journal ArticleDOI
Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth
TL;DR: In this article, Hamilton's nonlinear Markovian filter is extended to allow state transitions to be duration dependent, and restricted on the state transition matrix associated with a τ-order Markov system such that the corresponding first-order conditional transition probabilities are functions of both the inferred current state and also the number of periods the process has been in that state.
Journal ArticleDOI
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?
John M. Maheu,Thomas H. McCurdy +1 more
TL;DR: In this paper, a bivariate model of returns and realized volatility (RV) is proposed, and the authors explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample.