Details about Clifford M. Hurvich

Access statistics for papers by Clifford M. Hurvich.

Last updated 2009-09-04. Update your information in the RePEc Author Service.

Short-id: phu84

Working Papers

2009

1. A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects
   MPRA Paper, University Library of Munich, Germany
   Also in MPRA Paper, University Library of Munich, Germany (2006)

2007

2. Long Memory in Nonlinear Processes
   Quantitative Finance Papers, arXiv.org View citations

2005

3. Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Econometrics (2006)
4. Propagation of Memory Parameter from Durations to Counts
   Econometrics, EconWPA View citations
5. Tracing the Source of Long Memory in Volatility
   Econometrics, EconWPA View citations

2004

6. Asymptotics for Duration-Driven Long Range Dependent Processes
   Econometrics, EconWPA
   See also Journal Article in Journal of Econometrics (2007)
7. Estimating Long Memory in Volatility
   Econometrics, EconWPA View citations
   See also Journal Article in Econometrica (2005)
8. Hypothesis Testing in Predictive Regressions
   Finance, EconWPA View citations
9. Predictive Regressions: A Reduced-Bias Estimation Method
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Financial and Quantitative Analysis (2004)
10. Semiparametric Estimation of Fractional Cointegrating Subspaces
    Econometrics, EconWPA View citations

Journal Articles

2009

1. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
   Econometric Theory, 2009, 25, (03), 764-792
2. Multiple-Predictor Regressions: Hypothesis Testing
   Review of Financial Studies, 2009, 22, (1), 413-434

2008

3. Corrigendum to "Estimating Long Memory in Volatility"
   Econometrica, 2008, 76, (3), 661-662

2007

4. Asymptotics for duration-driven long range dependent processes
   Journal of Econometrics, 2007, 141, (2), 913-949
   See also Working Paper (2004)

2006

5. Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
   Journal of Econometrics, 2006, 131, (1-2), 29-58 View citations
   See also Working Paper (2005)
6. On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
   Journal of the American Statistical Association, 2006, 101, 812-822 View citations

2005

7. Estimating Long Memory in Volatility
   Econometrica, 2005, 73, (4), 1283-1328 View citations
   See also Working Paper (2004)
8. Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
   Journal of the American Statistical Association, 2005, 100, 853-871

2004

9. Predictive Regressions: A Reduced-Bias Estimation Method
   Journal of Financial and Quantitative Analysis, 2004, 39, (04), 813-841 View citations
   See also Working Paper (2004)

2003

10. Estimating fractional cointegration in the presence of polynomial trends
    Journal of Econometrics, 2003, 117, (1), 95-121 View citations
11. Semiparametric Estimation of Multivariate Fractional Cointegration
    Journal of the American Statistical Association, 2003, 98, 629-642 View citations
12. The Local Whittle Estimator of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2003, 1, (3), 445-470 View citations

2002

13. Multistep forecasting of long memory series using fractional exponential models
    International Journal of Forecasting, 2002, 18, (2), 167-179 View citations
14. TESTING FOR LONG MEMORY IN VOLATILITY
    Econometric Theory, 2002, 18, (06), 1291-1308 View citations

2001

15. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (04), 686-710 View citations

1996

16. The impact of unsuspected serial correlations on model selection in linear regression
    Statistics & Probability Letters, 1996, 27, (2), 115-126

1991

17. An information-theoretic framework for robustness
    Annals of the Institute of Statistical Mathematics, 1991, 43, (1), 131-146

1990

18. Model selection for least absolute deviations regression in small samples
    Statistics & Probability Letters, 1990, 9, (3), 259-265