Tom McCurdy's Recent Research and Teaching Pages

Bonham Chair in International Finance,
Professor of Finance, and
Founder and Director, Financial Research and Trading Lab

Rotman School of Management

Associate Fellow, CIRANO

Link to Tom's Rotman School of Management WebPages

Selected Research Papers:

Do Jumps Contribute to the Dynamics of the Equity Premium?
with J. Maheu and Xiaofei Zhao
Components of bull and bear markets: bull corrections and bear rallies
with J. Maheu and Yong Song

Do high frequency measures of volatility improve forecasts of return distributions?
with J. Maheu
Journal of Econometrics, 160 (1), January 2011, pp.69-76.

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.

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

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 .

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.

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

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

An International Economy with Country-Specific Money and Productivity Growth Processes
with N. Ricketts
Canadian Journal of Economics, Vol. 28, 1995, pp. S141-S162.

Sources of Employment Growth by Occupation and Industry in Canada
with J. Betts
Relations Industrielles, Vol. 48 (2), 1993, pp. 285-304.

Intertemporal Risk in Foreign Currency Markets
with I. Morgan
in The Exchange Rate and the Economy,
edited by The Bank of Canada, 1993, pp. 325-360.

Foreign Currency Futures Spreads and Risk Premia
with I. Morgan
in: Rational Expectations and Efficiency in Futures Markets,
edited by Barry A. Goss, 1992, pp. 31-51.

Equity Premium Puzzle
with C. Burnside
in: The New Palgrave Dictionary of Money and Finance,
edited by J. Eatwell, M. Milgate and P. Newman, 1992, pp. 771-773.

Single Beta Models and Currency Futures Prices
with I. Morgan
Economic Record, Vol. 68, 1992, pp. 117-129.

Some Potential Job Displacements Associated with Computer-Based Automation in Canada
Technological Forecasting and Social Change, Vol. 35, 1989, pp. 299-317.

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroskedasticity
with I. Morgan
Journal of Applied Econometrics, Vol. 3, 1988, pp. 187-202.

An Efficiency Frontier Model: An analysis of the macroeconomic implications of structural shocks
Economic Notes, Vol. 17 (3), 1988, pp. 69-94.

Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility
with I. Morgan
International Journal of Forecasting, Vol. 3, 1987, pp. 131-148.

The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany
with A. Gregory
European Economic Review, Vol. 30 (2), 1986, pp. 365-381.

Some Employment, Income and Occupational Effects of Microelectronic-Based Technical Change: A Multisectoral Simulation for Canada
Journal of Policy Modeling, Vol. 9 (2), 1987, pp. 337-364.

Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis
with A. Gregory
Journal of International Money and Finance, Vol. 3, 1984, pp. 357-368.

On Testing Theories of Financial Intermediary Portfolio Selection
with E. Berndt and A. Rose
Review of Eoonomic Studies, Vol. 47 (5), 1980, pp. 861-873.

Summary of Some Research Projects

Contributions to Development of Experiential Learning Curricula:

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

Selected Teaching:

PhD Lab Module

Participants click here

Rotman Master of Finance Program

MFin-Data Information on Data in FRTL
Participants click here

MGT-4319 Portfolio Managment and Trading Risks
Posted material is available through the Rotman portal.

Rotman MBA Program

MGT-2303 Risk Modeling and Trading Strategies
Posted material is available through the Rotman portal.

Rotman Commerce Program

MGT-412H Financial Trading Strategies
Participants click here

Mathematical Finance Program

MMF-1920H Investments and Finance: Introduction to Capital Markets and Securities
Current students click here

MMF-2012HF Modeling and Forecasting the Volatility of Returns
Current students click here

Global Management

September-2007: Risks and Expected Return in the Global Economy
Participants click here

Bridge to Business

B2B-2008: Introduction to Risk and Return
Participants click here

BANKSETA

Bankseta-2008: Global Opportunities and Risks
Participants click here

PhD

MGT-3034 Topics in Empirical Finance
Current students click here

RITC video

RITC-2011

To Contact Tom McCurdy:

Rotman School of Management
University of Toronto
105 St. George Street
Toronto, Ontario
Canada M5S 3E6

(416) 978-3425 email: tmccurdy[at]rotman.utoronto.ca