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Details about Clifford M. Hurvich

Workplace:Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Clifford M. Hurvich.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: phu84


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Working Papers

2023

  1. A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation
    Papers, arXiv.org Downloads

2022

  1. Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes
    Papers, arXiv.org Downloads

2014

  1. Limit Laws in Transaction-Level Asset Price Models
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS, Econometric Theory, Cambridge University Press (2014) Downloads View citations (2) (2014)

2012

  1. Drift in Transaction-Level Asset Price Models
    Working Papers, HAL Downloads
    See also Journal Article Drift in Transaction-Level Asset Price Models, Journal of Time Series Analysis, Wiley Blackwell (2017) Downloads View citations (4) (2017)

2009

  1. A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    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, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment, Journal of Econometrics, Elsevier (2006) Downloads View citations (70) (2006)
  2. Propagation of Memory Parameter from Durations to Counts
    Econometrics, University Library of Munich, Germany Downloads View citations (3)
  3. Tracing the Source of Long Memory in Volatility
    Econometrics, University Library of Munich, Germany Downloads View citations (2)

2004

  1. Asymptotics for Duration-Driven Long Range Dependent Processes
    Econometrics, University Library of Munich, Germany Downloads
    See also Journal Article Asymptotics for duration-driven long range dependent processes, Journal of Econometrics, Elsevier (2007) Downloads View citations (5) (2007)
  2. Estimating Long Memory in Volatility
    Econometrics, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article Estimating Long Memory in Volatility, Econometrica, Econometric Society (2005) Downloads View citations (79) (2005)
  3. Hypothesis Testing in Predictive Regressions
    Finance, University Library of Munich, Germany Downloads View citations (4)
  4. Predictive Regressions: A Reduced-Bias Estimation Method
    Econometrics, University Library of Munich, Germany Downloads View citations (145)
    See also Journal Article Predictive Regressions: A Reduced-Bias Estimation Method, Journal of Financial and Quantitative Analysis, Cambridge University Press (2004) Downloads View citations (143) (2004)
  5. Semiparametric Estimation of Fractional Cointegrating Subspaces
    Econometrics, University Library of Munich, Germany Downloads View citations (15)

Journal Articles

2022

  1. Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility
    Stochastic Processes and their Applications, 2022, 150, (C), 972-994 Downloads

2019

  1. The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility
    Journal of Time Series Analysis, 2019, 40, (4), 590-608 Downloads
  2. The value of sharing disaggregated information in supply chains
    European Journal of Operational Research, 2019, 277, (2), 469-478 Downloads View citations (5)

2017

  1. Drift in Transaction-Level Asset Price Models
    Journal of Time Series Analysis, 2017, 38, (5), 769-790 Downloads View citations (4)
    See also Working Paper Drift in Transaction-Level Asset Price Models, Working Papers (2012) Downloads (2012)

2014

  1. Assessing the value of demand sharing in supply chains
    Naval Research Logistics (NRL), 2014, 61, (7), 515-531 Downloads View citations (3)
  2. Forecasting and information sharing in supply chains under ARMA demand
    IISE Transactions, 2014, 46, (1), 35-54 Downloads View citations (7)
  3. LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
    Econometric Theory, 2014, 30, (3), 536-579 Downloads View citations (2)
    See also Working Paper Limit Laws in Transaction-Level Asset Price Models, Post-Print (2014) Downloads View citations (2) (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 (14)

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 (25)

2010

  1. A Pure-Jump Transaction-Level Price Model Yielding Cointegration
    Journal of Business & Economic Statistics, 2010, 28, (4), 539-558 Downloads View citations (4)
  2. Predictive regression with order-p autoregressive predictors
    Journal of Empirical Finance, 2010, 17, (3), 513-525 Downloads View citations (21)

2009

  1. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
    Econometric Theory, 2009, 25, (3), 764-792 Downloads View citations (11)
  2. Computationally efficient methods for two multivariate fractionally integrated models
    Journal of Time Series Analysis, 2009, 30, (6), 631-651 Downloads View citations (21)
  3. Multiple-Predictor Regressions: Hypothesis Testing
    The Review of Financial Studies, 2009, 22, (1), 413-434 Downloads View citations (49)

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 (5)
    See also Working Paper Asymptotics for Duration-Driven Long Range Dependent Processes, Econometrics (2004) Downloads (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 (70)
    See also Working Paper Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment, Econometrics (2005) Downloads View citations (9) (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 (10)

2005

  1. Estimating Long Memory in Volatility
    Econometrica, 2005, 73, (4), 1283-1328 Downloads View citations (79)
    See also Working Paper Estimating Long Memory in Volatility, Econometrics (2004) Downloads View citations (6) (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 (7)

2004

  1. Predictive Regressions: A Reduced-Bias Estimation Method
    Journal of Financial and Quantitative Analysis, 2004, 39, (4), 813-841 Downloads View citations (143)
    See also Working Paper Predictive Regressions: A Reduced-Bias Estimation Method, Econometrics (2004) Downloads View citations (145) (2004)

2003

  1. Estimating fractional cointegration in the presence of polynomial trends
    Journal of Econometrics, 2003, 117, (1), 95-121 Downloads View citations (24)
  2. Semiparametric Estimation of Multivariate Fractional Cointegration
    Journal of the American Statistical Association, 2003, 98, 629-642 Downloads View citations (32)
  3. The Local Whittle Estimator of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2003, 1, (3), 445-470 View citations (46)

2002

  1. Multistep forecasting of long memory series using fractional exponential models
    International Journal of Forecasting, 2002, 18, (2), 167-179 Downloads View citations (16)
  2. TESTING FOR LONG MEMORY IN VOLATILITY
    Econometric Theory, 2002, 18, (6), 1291-1308 Downloads View citations (11)
  3. The FEXP estimator for potentially non-stationary linear time series
    Stochastic Processes and their Applications, 2002, 97, (2), 307-340 Downloads View citations (7)

2001

  1. Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
    Journal of Time Series Analysis, 2001, 22, (2), 221-249 Downloads View citations (26)
  2. Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
    Journal of Time Series Analysis, 2001, 22, (6), 679-709 Downloads View citations (13)
  3. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (4), 686-710 Downloads View citations (93)

2000

  1. An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series
    Journal of Time Series Analysis, 2000, 21, (2), 155-180 Downloads View citations (13)

1999

  1. Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
    Journal of Time Series Analysis, 1999, 20, (3), 331-341 Downloads View citations (38)

1998

  1. Linear Trend with Fractionally Integrated Errors
    Journal of Time Series Analysis, 1998, 19, (4), 379-397 Downloads View citations (9)
  2. Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion
    Journal of the Royal Statistical Society Series B, 1998, 60, (2), 271-293 Downloads View citations (235)
  3. The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series
    Journal of Time Series Analysis, 1998, 19, (1), 19-46 Downloads View citations (158)

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)

1995

  1. ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
    Journal of Time Series Analysis, 1995, 16, (1), 17-41 Downloads View citations (71)

1994

  1. ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES”
    Journal of Time Series Analysis, 1994, 15, (1), 64-64 Downloads
  2. AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES
    Journal of Time Series Analysis, 1994, 15, (3), 285-302 Downloads View citations (6)
  3. 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)

1993

  1. A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
    Journal of Time Series Analysis, 1993, 14, (3), 271-279 Downloads View citations (65)
  2. ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES
    Journal of Time Series Analysis, 1993, 14, (5), 455-472 Downloads View citations (6)

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. CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
    Journal of Time Series Analysis, 1990, 11, (2), 121-137 Downloads View citations (1)
  2. Model selection for least absolute deviations regression in small samples
    Statistics & Probability Letters, 1990, 9, (3), 259-265 Downloads View citations (9)
 
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