Thomas H. McCurdy

Finance · 2000–2011

A researcher in the Science corpus: 4 papers; trusts 25 researchers and is trusted by 44 researchers here, as inferred from the citation graph.

Subfields

Whom Thomas H. McCurdy trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Torben G. Andersen
  2. Ole E. Barndorff-Nielsen
  3. Tim Bollerslev
  4. R. C. Merton
  5. N. Shephard
  6. Jun Pan
  7. John M. Maheu
  8. Fulvio Corsi
  9. Halbert White
  10. Sanjiv Ranjan Das

Who trusts Thomas H. McCurdy overall

  1. Shiu‐Sheng Chen
  2. John M. Maheu
  3. Massimo Guidolin
  4. Asger Lunde
  5. Jan Bulla
  6. Mark P. Taylor
  7. Ole E. Barndorff-Nielsen
  8. Torben G. Andersen
  9. Fulvio Corsi
  10. Tim Bollerslev

Papers from Thomas H. McCurdy's perspective

Ordered by how strongly the researchers Thomas H. McCurdy trusts endorse each paper. Same corpus, a different order for every researcher.

  1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
  2. Separating Microstructure Noise from Volatility
  3. Post-'87 crash fears in the S&P 500 futures option market
  4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
  5. MODELING AND FORECASTING REALIZED VOLATILITY
  6. The Impact of Jumps in Volatility and Returns
  7. Generalized autoregressive conditional heteroskedasticity
  8. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (Review of Economics and Statistics)
  9. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
  10. On Estimating the Expected Return on the Market: An Exploratory Investigation

Their papers