Access Statistics for Clifford M. Hurvich

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 50 1 4 5 167
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 73 1 3 5 324
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 0 1 4 35
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 2 2 4 303
Drift in Transaction-Level Asset Price Models 0 0 0 8 2 7 9 63
Estimating Long Memory in Volatility 0 0 0 376 1 2 3 790
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 1 837 2 3 6 1,521
Hypothesis Testing in Predictive Regressions 0 0 0 204 0 4 6 760
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 3 57
Long Memory in Nonlinear Processes 0 0 0 76 0 3 6 171
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 7 7 10 26
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 520 5 7 11 1,391
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 1 7 9 450
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 3 5 6 364
Tracing the Source of Long Memory in Volatility 0 0 0 221 1 1 3 471
Total Working Papers 0 0 1 2,723 26 57 90 6,893

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION 0 3 7 51 0 6 12 100
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 1 2 3 77
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 0 2 0 0 0 5
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 0 1 1 5 1 4 5 11
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 1 1 3 2 5 8 12
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 1 1 4 8
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series 0 0 0 0 1 1 2 31
An information-theoretic framework for robustness 0 0 0 13 0 0 0 38
Assessing the value of demand sharing in supply chains 0 0 0 0 0 1 5 12
Asymptotics for duration-driven long range dependent processes 0 0 0 15 2 4 4 72
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 1 2 2 4
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 1 1 4 69
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 1 1 1 0 2 3 3
Computationally efficient methods for two multivariate fractionally integrated models 0 0 0 50 2 4 5 145
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 1 1 3 117
Drift in Transaction-Level Asset Price Models 0 0 1 3 0 4 7 20
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 0 1 2 4 8 11 13
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 0 2 4 32
Estimating Long Memory in Volatility 0 0 0 320 0 3 4 838
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 0 3 4 186
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 2 3 4 65
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 0 0 0 5
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 4 6 9 22
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 1 192 1 3 9 448
Information Design and Sharing in Supply Chains 0 0 0 0 3 4 4 4
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 0 0 2 55
Linear Trend with Fractionally Integrated Errors 0 0 0 0 2 2 3 5
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 1 2 3 4
Model selection for least absolute deviations regression in small samples 1 1 1 131 2 6 6 261
Multiple-Predictor Regressions: Hypothesis Testing 0 0 2 89 1 2 7 295
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 2 2 2 117
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 0 1 38 0 0 1 105
On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series 0 0 0 50 1 1 2 210
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 0 1 2 3
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series 0 1 1 1 2 5 5 7
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 1 81 2 8 9 264
Predictive regression with order-p autoregressive predictors 0 0 0 58 0 1 3 280
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 6 9 10 87
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 1 13 20 82
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 5 7 8 68
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 3 3 4 42
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 0 1 4 208
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 0 0 1 12
The averaged periodogram estimator for a power law in coherency 0 0 0 20 1 2 2 65
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 1 1 2 88
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 1 1 3 14 2 5 13 41
The value of sharing disaggregated information in supply chains 0 0 0 2 0 0 1 28
Total Journal Articles 2 9 24 1,463 59 141 226 4,664

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Statistics updated 2026-01-09