| News arrival, jump dynamics, and volatility components for individual stock returns JM Maheu, TH McCurdy The Journal of Finance 59 (2), 755-793, 2004 | 740 | 2004 |
| Identifying Bull and Bear Markets in Stock Returns JM Maheu, TH McCurdy Journal of Business & Economic Statistics 18 (1), 100-112, 2000 | 571 | 2000 |
| Duration-dependent transitions in a Markov model of US GNP growth JM Durland, TH McCurdy Journal of Business & Economic Statistics 12 (3), 279-288, 1994 | 447 | 1994 |
| Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity TH McCurdy, IG Morgan Journal of Applied Econometrics 3 (3), 187-202, 1988 | 191 | 1988 |
| Tests of the martingale hypothesis for foreign currency futures with time-varying volatility TH McCurdy, IG Morgan International Journal of Forecasting 3 (1), 131-148, 1987 | 190 | 1987 |
| Nonlinear features of realized FX volatility JM Maheu, TH McCurdy Review of Economics and Statistics 84 (4), 668-681, 2002 | 163 | 2002 |
| Do high-frequency measures of volatility improve forecasts of return distributions? JM Maheu, TH McCurdy Journal of Econometrics 160 (1), 69-76, 2011 | 159 | 2011 |
| Hedging foreign currency portfolios L Gagnon, GJ Lypny, TH McCurdy Journal of Empirical Finance 5 (3), 197-220, 1998 | 133 | 1998 |
| Components of bull and bear markets: bull corrections and bear rallies JM Maheu, TH McCurdy, Y Song Journal of Business & Economic Statistics 30 (3), 391-403, 2012 | 121 | 2012 |
| Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis AW Gregory, TH McCurdy Journal of International Money and Finance 3 (3), 357-368, 1984 | 109 | 1984 |
| Tests for a systematic risk component in deviations from uncovered interest rate parity TH McCurdy, IG Morgan The Review of Economic Studies 58 (3), 587-602, 1991 | 101 | 1991 |
| Evidence of risk premiums in foreign currency futures markets TH McCurdy, I Morgan The Review of Financial Studies 5 (1), 65-83, 1992 | 87 | 1992 |
| News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies Y Jeon, TH McCurdy, X Zhao Journal of Financial Economics 145 (2), 1-17, 2022 | 83 | 2022 |
| Do jumps contribute to the dynamics of the equity premium? JM Maheu, TH McCurdy, X Zhao Journal of Financial Economics 110 (2), 457-477, 2013 | 78 | 2013 |
| Components of market risk and return JM Maheu, TH McCurdy Journal of Financial Econometrics 5 (4), 560-590, 2007 | 54 | 2007 |
| The impact of news on foreign exchange rates: evidence from high frequency data D Eddelbüttel, TH McCurdy | 45 | 1998 |
| Volatility dynamics under duration-dependent mixing JM Maheu, TH McCurdy Journal of Empirical Finance 7 (3-4), 345-372, 2000 | 38 | 2000 |
| How useful are historical data for forecasting the long-run equity return distribution? JM Maheu, TH McCurdy Journal of Business & Economic Statistics 27 (1), 95-112, 2009 | 37 | 2009 |
| An international economy with country-specific money and productivity growth processes N Ricketts, TH McCurdy Canadian Journal of Economics, S141-S162, 1995 | 35 | 1995 |
| A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators TH McCurdy, T Stengos Journal of Econometrics 52 (1-2), 225-244, 1992 | 32 | 1992 |
