• Bonham Chair in International Finance,
  Professor of Finance, and
  Founding Academic Director, Financial Research and Trading Lab

Joseph L. Rotman School of Management
University of Toronto
• Associate Fellow, CIRANO
• Reseach Associate, Institute for Policy Analyis

Link to Tom's Rotman School of Management WebPages

• Extracting bull and bear markets from stock returns
       with J. Maheu and Yong Song
  

• Do high frequency measures of volatility improve forecasts of return distributions?
       with J. Maheu
        Journal of Econometrics, Forthcoming.

• How useful are historical data for forecasting the long-run equity return distribution?
       with J. Maheu
        Journal of Business & Economic Statistics, 27 (1), January 2009, pp. 95-112.

• Modeling Foreign Exchange Rates with Jumps
       with J. Maheu
       in: Forecasting in the Presence of Structural Breaks and Model Uncertainty,
       edited by David E. Rapach and Mark E. Wohar, 2008, pp. 449-475.

• Components of market risk and return
       with J. Maheu
        Journal of Financial Econometrics, 5 (4). 2007, pp.560-590.

• News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns
       with J. Maheu
        Journal of Finance, 59 (2), 2004, pp. 755-794.
  

• Evidence of Risk Premiums in Foreign Currency Futures Markets
        with I. Morgan
        Review of Financial Studies, Vol. 5, no. 1, 1992, pp. 65-83.
  

• Identifying Bull and Bear Markets in Stock Returns
        with J. Maheu
        Journal of Business & Economic Statistics, Vol. 18, no. 1, 2000, pp.100-112.
  

• Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth
        with M. Durland
        Journal of Business & Economic Statistics, Vol. 12, no.3, 1994, pp. 279-288 .
  

• Nonlinear Features of Realized FX Volatility
       with J. Maheu
        Review of Economics and Statistics, Vol. 84, no. 4, 2002, pp. 668-681.
  

• Volatility Dynamics under Duration-Dependent Mixing
        with J. Maheu
        Journal of Empirical Finance, Vol. 7, 2000, pp. 345-372.
  

• A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators
        with T. Stengos
        Journal of Econometrics, Vol. 52, 1992, pp. 225-244.
  

• Tests for a Systematic Component in Deviatons from Uncovered Interest Rate Parity
        with I. Morgan
        Review of Economic Studies, Vol. 58, 1991, pp. 587-602.
  

• Intertemporal Risk in the Foreign Currency Futures Basis
        with I. Morgan
        Canadian Journal of Administrative Sciences, Vol. 16, no. 3, 1999, pp. 172-184.
  

• Hedging foreign currency portfolios
        with L. Gagnon and G. Lpyny
        Journal of Empirical Finance, Vol. 5, 1998, pp. 197-220.
  

• Capturing Long Memory in the Volatility of Equity Returns: a Fractionally Integrated Asymmetric Power ARCH Model
        with P. Michaud
        under revision

• Multivariate Generalized Distributions with an Application to Pricing Time-Varying Risk
        with G. Lim and V. Martin
  

• The Impact of News on Foreign Exchange Rates: Evidence from High-Frequency Data
        with D. Eddelbuettel
  

• Rotman Portfolio Management Application and Associated Cases:
  RPM WebSite
  
  
• Rotman Interactive Trader Application and Associated Cases:
  RIT WebSite