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Thomas H. McCurdy

Global rank #4200 95%

Institution: University of Toronto

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www-2.rotman.utoronto.ca/~tmccurdy

First Publication: 1980

Most Recent: 2022

RePEc ID: pmc141 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.67 0.00 0.00 1.34
Last 10 Years 0.00 0.67 0.00 0.00 1.34
All Time 1.68 7.04 3.02 0.00 23.80

Publication Statistics

Raw Publications 13
Coauthorship-Adjusted Count 11.78

Publications (13)

Year Article Journal Tier Authors
2022 News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies Journal of Financial Economics A 3
2013 Do jumps contribute to the dynamics of the equity premium? Journal of Financial Economics A 3
2012 Components of Bull and Bear Markets: Bull Corrections and Bear Rallies Journal of Business & Economic Statistics A 3
2011 Do high-frequency measures of volatility improve forecasts of return distributions? Journal of Econometrics A 2
2004 repec:bla:jfinan:v:59:y:2004:i:2:p:755-793 Journal of Finance A 2
2002 Nonlinear Features of Realized FX Volatility Review of Economics and Statistics A 2
1992 A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators Journal of Econometrics A 2
1992 Evidence of Risk Premiums in Foreign Currency Futures Markets. The Review of Financial Studies A 2
1991 Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity Review of Economic Studies S 2
1987 Tests of the martingale hypothesis for foreign currency futures with time-varying volatility International Journal of Forecasting B 2
1986 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 B 2
1984 Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis Journal of International Money and Finance B 2
1980 On Testing Theories of Financial Intermediary Portfolio Selection Review of Economic Studies S 3