LOGIN TO MY ACCOUNT

Tom  McCurdy Professor of Finance; Bonham Chair in International Finance; Founding Academic Director, Financial Research & Trading Lab; Associated Fellow, CIRANO; Research Associate, Institute for Policy Analyis   Degrees   PhD, University of London (LSE) MA, University of British Columbia BA (Hons), University of Guelph Email   Personal Web Site   http://www.rotman.utoronto.ca/~tmccurdy

Positions Held Academic Positions 1996-Present   Professor of Finance, Rotman School of Management 1980-1996   Queen's University

Selected Articles and Papers "Do high-frequency measures of volatility improve forecasts of return distributions?" with John Maheu, Journal of Econometrics, Forthcoming, 2010 "How useful are historical data for forecasting the long-run equity return distribution?" with Maheu, Journal of Business & Economic Statistics, 27 (1), 2009, pp. 95-112 "Modeling Foreign Exchange Rates with Jumps" with Maheu, in 'Forecasting in the Presence of Structural Breaks and Model Uncertainty', edited by D. Rapach and M. Wohar, 2008, pp. 449-475 "Components of market risk and return" with Maheu, Journal of Financial Econometrics, 5 (4), 2007, pp. 560-590 "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," with Maheu, Journal of Finance, 59 (2), 2004, pp. 755-794 "Nonlinear Features of Realized FX Volatility," with Maheu, Review of Economics and Statistics, 84 (4) , 2002, pp. 668-681 "Instructional Innovation: Experiential Learning," with Woodhouse, Rotman Management, Spring/Summer, 2002 "Volatility Dynamics under Duration-Dependent Mixing," with Maheu, Journal of Empirical Finance, November, 2000, pp. 345-372 "Identifying Bull and Bear Markets in Stock Returns," with Maheu, Journal of Business and Economic Statistics, January, 2000, pp. 100-112 "Intertemporal Risk in the Foreign Currency Futures Basis," with Morgan, Canadian Journal of Administrative Sciences, 16 (3), 1999, pp. 172-184 "Hedging Foreign Currency Portfolios," with Gagnon and Lypny, Journal of Empirical Finance, September, 1998, pp. 197-220 "An International Economy with Country-Specific Money and Productivity Growth Processes," with Ricketts, Canadian Journal of Economics, 28, 1995, pp. S141-S162 "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," with Durland, Journal of Business and Economic Statistics, 12 (3), 1994, pp. 279-288 "Intertemporal Risk in Foreign Currency Markets," with Morgan, in The Exchange Rate and the Economy, Bank of Canada Monograph, 1993 "Sources of Employment Growth by Occupation and Industry in Canada," with Betts, Relations Industrielles, 48 (2), 1993, pp. 285-304 "Foreign Currency Futures Spreads and Risk Premia," with Morgan, in Rational Expectations and Efficiency in Futures Markets, edited by B. Goss, 1992 "Single Beta Models and Currency Futures Prices," with Morgan, Economic Record, 1992, pp. 117-129 "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators," with Stengos, Journal of Econometrics, 52 (1-2), 1992, pp. 225-244 "Evidence of Risk Premiums in Foreign Currency Futures Markets," with Morgan, Review of Financial Studies, 5 (1), 1992, pp. 65-83 "Equity Premium Puzzle," with Burnside, The New Palgrave Dictionary of Money and Finance, 1992 "Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity," with Morgan, Review of Economic Studies, 58, 1991, pp. 587-602 "Some Potential Job Displacements Associated with Computer-Based Automation in Canada," Technological Forecasting and Social Change: An International Journal, 35, 1989, pp. 299-317 "Testing the Martingale Hypothesis in Duetsche Mark Futures with Models Specifying the Form of Heteroskedasticity," with Morgan, Journal of Applied Econometrics, 3, 1988, pp. 187-202 "An Efficiency Frontier Model: An Analysis of the Macreoeconomic Implications of Structural Shocks," Economic Notes, 17 (3), 1988, pp. 69-94 "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," with Morgan, International Journal of Forecasting, 3, 1987, pp. 131-148 "Some Employment, Income and Occupational Effects of Microelectronic-Based Technical Change: A Multisectoral Simulation for Canada," Journal of Policy Modelling, 9 (2), 1987, pp. 337-365 "The Unbiasedness Hypothesis in the Forward Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany," with Gregory, European Economic Review, 30, 1986, pp. 365-381 "Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis," with Gregory, Journal of International Money and Finance, 3, 1984, pp. 357-368 "On Testing Theories of Financial Intermediary Portfolio Selection," with Berndt and Rose, Review of Economic Studies, 47, 1980, pp. 861-873

Academic/Professional Service Associate Editor, Journal of Financial Econometrics Steering Committee, Mathematical Finance Symposia, Fields Institute Extensive refereeing for thirty different international academic journals and granting agencies

Honors/Awards Parliamentary Internship Fellowship, Canadian Political Science Association and House of Commons, Ottawa Research Prize for best paper, Northern Finance Association Meetings Roger Martin and Nancy Lang Award for Teaching Excellence, Rotman School of Management

Research and Teaching Interests Teaches courses in Financial Modeling for Trading and Risk Management, International Financial Management, and Empirical Finance. Current working papers and research projects include: forecasting the market premium for equity and the distribution of returns; the effects of jumps on volatility dynamics; estimating realized volatility; sources of intraday volatility in asset returns; long-memory components of volatility; hedging portfolios; risk management; semi-Markov models of asset return and volatility dynamics; and generalized distributions for volatility modelling.