Professor (status only cross-appointed)
Ph.D. (London School of Economics, ), M.A. (University of British Columbia, ), B.A. (University of Guelph, )
Office: Rotman School of Management, 455. Phone: 416-978-3425.
Personal website: http://www.rotman.utoronto.ca/~tmccurdy
Research fields: Financial economics, Financial Econometrics, Risk Management, Financial Decision Strategies
- John Maheu and Tom McCurdy, "Do high-frequency measures of volatility improve forecasts of return distributions?", Journal of Econometrics 160 (1) (2011), 69–76.
- John Maheu and Tom McCurdy, "How useful are historical data for forecasting the long-run equity return distribution?", Journal of Business and Economic Statistics 27 (1) (2009), 95–112.
- John Maheu and Tom McCurdy, "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns", Journal of Finance 59 (2) (2004), 755–793.
- John Maheu and Tom McCurdy, "Nonlinear Features of Realized FX Volatility", Review of Economics and Statistics 84 (4) (2002), 668–681.
- Tom McCurdy and I. Morgan, "Evidence of Risk Premiums in Foreign Currency Futures Markets", Review of Financial Studies 5 (1) (1992), 65–83.
Honors and awards
- Roger Martin and Nancy Lang Award for Teaching Excellence, 2007.
- Best Paper Award: Northern Finance Association, 1989.
- Parliamentary Internship Program: Canadian Political Science Association and House of Commons, 1976.