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Duration dependent transitions in a Markov model of U.S. GNP growth
Durland, J. M. - 1993
Persistent link: https://www.econbiz.de/10013400543
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An efficiency frontier model : an analysis of the macroeconomic implications of structural shocks
McCurdy, Thomas H. - In: Economic notes : economic review of Banca Monte dei … (1988), pp. 69-95
Persistent link: https://www.econbiz.de/10001060270
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Intertemporal risk in foreign currency markets
McCurdy, Thomas H. - In: The exchange rate and the economy : [proceedings of a …, (pp. 325-355). 1993
Persistent link: https://www.econbiz.de/10001295874
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An international economy with country-specific money and productivity growth processes
Ricketts, Nicholas - In: The Canadian journal of economics 28 (1995), pp. 141-162
Persistent link: https://www.econbiz.de/10001333989
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Tests for a systematic risk component in deviations from uncovered interest rate parity
McCurdy, Thomas H. - In: The review of economic studies 58 (1991) 4, pp. 587-602
Persistent link: https://www.econbiz.de/10001114301
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Testing the martingale hypothesis in Deutsche Mark futures with models specifying the form of heteroscedasticity
McCurdy, Thomas H. - In: Journal of applied econometrics 3 (1988) 3, pp. 187-202
Persistent link: https://www.econbiz.de/10001053503
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Single beta models and currency futures prices
McCurdy, Thomas H.; Morgan, Ieuan G. - 1991 - rev
Persistent link: https://www.econbiz.de/10000135919
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Evidence of risk premiums in foreign currency futures markets
McCurdy, Thomas H. - In: The review of financial studies 5 (1992) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10001119826