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Details about Clifford M. Hurvich

Homepage:http://www.stern.nyu.edu/ioms/FACULTY/hurvich.html
Workplace:Stern School of Business, New York University (NYU), (more information at EDIRC)
New York University Stern School of Business Statistics Group

Access statistics for papers by Clifford M. Hurvich.

Last updated 2015-10-29. Update your information in the RePEc Author Service.

Short-id: phu84


Jump to Journal Articles

Working Papers

2014

  1. Limit Laws in Transaction-Level Asset Price Models
    Post-Print, HAL Downloads
    See also Journal Article in Econometric Theory (2014)

2012

  1. Drift in Transaction-Level Asset Price Models
    Working Papers, HAL Downloads

2009

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

2007

  1. Long Memory in Nonlinear Processes
    Papers, arXiv.org Downloads View citations (3)

2005

  1. Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
    Econometrics, EconWPA Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2006)
  2. Propagation of Memory Parameter from Durations to Counts
    Econometrics, EconWPA Downloads View citations (3)
  3. Tracing the Source of Long Memory in Volatility
    Econometrics, EconWPA Downloads View citations (2)

2004

  1. Asymptotics for Duration-Driven Long Range Dependent Processes
    Econometrics, EconWPA Downloads
    See also Journal Article in Journal of Econometrics (2007)
  2. Estimating Long Memory in Volatility
    Econometrics, EconWPA Downloads View citations (6)
    See also Journal Article in Econometrica (2005)
  3. Hypothesis Testing in Predictive Regressions
    Finance, EconWPA Downloads View citations (4)
  4. Predictive Regressions: A Reduced-Bias Estimation Method
    Econometrics, EconWPA Downloads View citations (80)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2004)
  5. Semiparametric Estimation of Fractional Cointegrating Subspaces
    Econometrics, EconWPA Downloads View citations (15)

Journal Articles

2014

  1. LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
    Econometric Theory, 2014, 30, (03), 536-579 Downloads
    See also Working Paper (2014)

2013

  1. Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
    Journal of the American Statistical Association, 2013, 108, (503), 1031-1043 Downloads View citations (2)

2012

  1. The averaged periodogram estimator for a power law in coherency
    Journal of Time Series Analysis, 2012, 33, (2), 340-363 Downloads View citations (16)

2010

  1. A Pure-Jump Transaction-Level Price Model Yielding Cointegration
    Journal of Business & Economic Statistics, 2010, 28, (4), 539-558 Downloads View citations (2)
  2. Predictive regression with order-p autoregressive predictors
    Journal of Empirical Finance, 2010, 17, (3), 513-525 Downloads View citations (9)

2009

  1. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
    Econometric Theory, 2009, 25, (03), 764-792 Downloads View citations (5)
  2. Computationally efficient methods for two multivariate fractionally integrated models
    Journal of Time Series Analysis, 2009, 30, (6), 631-651 Downloads View citations (8)
  3. Multiple-Predictor Regressions: Hypothesis Testing
    Review of Financial Studies, 2009, 22, (1), 413-434 Downloads View citations (24)

2008

  1. Corrigendum to "Estimating Long Memory in Volatility"
    Econometrica, 2008, 76, (3), 661-662 Downloads View citations (2)

2007

  1. Asymptotics for duration-driven long range dependent processes
    Journal of Econometrics, 2007, 141, (2), 913-949 Downloads View citations (3)
    See also Working Paper (2004)

2006

  1. Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
    Journal of Econometrics, 2006, 131, (1-2), 29-58 Downloads View citations (48)
    See also Working Paper (2005)
  2. 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 Downloads View citations (7)

2005

  1. Estimating Long Memory in Volatility
    Econometrica, 2005, 73, (4), 1283-1328 Downloads View citations (55)
    See also Working Paper (2004)
  2. Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
    Journal of the American Statistical Association, 2005, 100, 853-871 Downloads View citations (5)

2004

  1. Predictive Regressions: A Reduced-Bias Estimation Method
    Journal of Financial and Quantitative Analysis, 2004, 39, (04), 813-841 Downloads View citations (77)
    See also Working Paper (2004)

2003

  1. Estimating fractional cointegration in the presence of polynomial trends
    Journal of Econometrics, 2003, 117, (1), 95-121 Downloads View citations (20)
  2. Semiparametric Estimation of Multivariate Fractional Cointegration
    Journal of the American Statistical Association, 2003, 98, 629-642 Downloads View citations (25)
  3. The Local Whittle Estimator of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2003, 1, (3), 445-470 View citations (34)

2002

  1. Multistep forecasting of long memory series using fractional exponential models
    International Journal of Forecasting, 2002, 18, (2), 167-179 Downloads View citations (11)
  2. TESTING FOR LONG MEMORY IN VOLATILITY
    Econometric Theory, 2002, 18, (06), 1291-1308 Downloads View citations (10)
  3. The FEXP estimator for potentially non-stationary linear time series
    Stochastic Processes and their Applications, 2002, 97, (2), 307-340 Downloads View citations (6)

2001

  1. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (04), 686-710 Downloads View citations (74)

1996

  1. The impact of unsuspected serial correlations on model selection in linear regression
    Statistics & Probability Letters, 1996, 27, (2), 115-126 Downloads View citations (1)

1994

  1. An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
    Stochastic Processes and their Applications, 1994, 54, (2), 297-307 Downloads View citations (3)

1991

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

1990

  1. Model selection for least absolute deviations regression in small samples
    Statistics & Probability Letters, 1990, 9, (3), 259-265 Downloads View citations (7)
 
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