Details about Clifford M. Hurvich

Access statistics for papers by Clifford M. Hurvich.

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

Short-id: phu84

Working Papers

2023

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

2022

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

2014

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

2012

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

2009

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

2007

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

2005

7. Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
   Econometrics, University Library of Munich, Germany 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) View citations (71) (2006)
8. Propagation of Memory Parameter from Durations to Counts
   Econometrics, University Library of Munich, Germany View citations (3)
9. Tracing the Source of Long Memory in Volatility
   Econometrics, University Library of Munich, Germany View citations (2)

2004

10. Asymptotics for Duration-Driven Long Range Dependent Processes
    Econometrics, University Library of Munich, Germany
    See also Journal Article Asymptotics for duration-driven long range dependent processes, Journal of Econometrics, Elsevier (2007) View citations (5) (2007)
11. Estimating Long Memory in Volatility
    Econometrics, University Library of Munich, Germany View citations (6)
    See also Journal Article Estimating Long Memory in Volatility, Econometrica, Econometric Society (2005) View citations (81) (2005)
12. Hypothesis Testing in Predictive Regressions
    Finance, University Library of Munich, Germany View citations (4)
13. Predictive Regressions: A Reduced-Bias Estimation Method
    Econometrics, University Library of Munich, Germany View citations (148)
    See also Journal Article Predictive Regressions: A Reduced-Bias Estimation Method, Journal of Financial and Quantitative Analysis, Cambridge University Press (2004) View citations (146) (2004)
14. Semiparametric Estimation of Fractional Cointegrating Subspaces
    Econometrics, University Library of Munich, Germany 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

2019

2. 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
3. The value of sharing disaggregated information in supply chains
   European Journal of Operational Research, 2019, 277, (2), 469-478 View citations (5)

2017

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

2014

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

2013

8. Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
   Journal of the American Statistical Association, 2013, 108, (503), 1031-1043 View citations (15)

2012

9. The averaged periodogram estimator for a power law in coherency
   Journal of Time Series Analysis, 2012, 33, (2), 340-363 View citations (26)

2010

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

2009

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

2008

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

2007

16. Asymptotics for duration-driven long range dependent processes
    Journal of Econometrics, 2007, 141, (2), 913-949 View citations (5)
    See also Working Paper Asymptotics for Duration-Driven Long Range Dependent Processes, Econometrics (2004) (2004)

2006

17. 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 (71)
    See also Working Paper Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment, Econometrics (2005) View citations (9) (2005)
18. 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 (9)

2005

19. Estimating Long Memory in Volatility
    Econometrica, 2005, 73, (4), 1283-1328 View citations (81)
    See also Working Paper Estimating Long Memory in Volatility, Econometrics (2004) View citations (6) (2004)
20. Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
    Journal of the American Statistical Association, 2005, 100, 853-871 View citations (7)

2004

21. Predictive Regressions: A Reduced-Bias Estimation Method
    Journal of Financial and Quantitative Analysis, 2004, 39, (4), 813-841 View citations (146)
    See also Working Paper Predictive Regressions: A Reduced-Bias Estimation Method, Econometrics (2004) View citations (148) (2004)

2003

22. Estimating fractional cointegration in the presence of polynomial trends
    Journal of Econometrics, 2003, 117, (1), 95-121 View citations (24)
23. Semiparametric Estimation of Multivariate Fractional Cointegration
    Journal of the American Statistical Association, 2003, 98, 629-642 View citations (33)
24. The Local Whittle Estimator of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2003, 1, (3), 445-470 View citations (46)

2002

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

2001

28. 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 View citations (26)
29. Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
    Journal of Time Series Analysis, 2001, 22, (6), 679-709 View citations (13)
30. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (4), 686-710 View citations (94)

2000

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

1999

32. 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 View citations (38)

1998

33. Linear Trend with Fractionally Integrated Errors
    Journal of Time Series Analysis, 1998, 19, (4), 379-397 View citations (10)
34. 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 View citations (239)
35. 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 View citations (160)

1996

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

1995

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

1994

38. 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
39. AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES
    Journal of Time Series Analysis, 1994, 15, (3), 285-302 View citations (6)
40. 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 View citations (3)

1993

41. A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
    Journal of Time Series Analysis, 1993, 14, (3), 271-279 View citations (67)
42. 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 View citations (6)

1991

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

1990

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