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 0 0 2 163
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 73 0 0 2 321
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 2 2 3 34
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 0 1 2 301
Drift in Transaction-Level Asset Price Models 0 0 0 8 1 1 2 56
Estimating Long Memory in Volatility 0 0 0 376 0 0 0 787
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 1 837 0 1 4 1,518
Hypothesis Testing in Predictive Regressions 0 0 0 204 1 1 3 756
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 3 56
Long Memory in Nonlinear Processes 0 0 0 76 0 2 4 168
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 0 0 3 19
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 2 520 0 3 7 1,384
Propagation of Memory Parameter from Durations to Counts 0 0 1 118 1 1 3 443
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 1 1 1 359
Tracing the Source of Long Memory in Volatility 0 0 0 221 1 2 2 470
Total Working Papers 0 0 4 2,723 7 16 41 6,835

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 0 5 48 0 0 9 94
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 1 1 1 75
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 0 0 4 0 1 1 7
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 0 2 0 1 4 7
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 3 3 0 1 6 7
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series 0 0 0 0 0 0 1 30
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 2 2 3 10
Asymptotics for duration-driven long range dependent processes 0 0 0 15 0 0 0 68
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 0 0 0 2
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 1 1 15 0 2 4 68
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 0 0 0 0 1 1
Computationally efficient methods for two multivariate fractionally integrated models 0 0 0 50 0 0 1 141
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 0 2 2 116
Drift in Transaction-Level Asset Price Models 1 1 1 3 1 1 2 15
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 0 2 2 0 1 4 5
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 0 2 3 30
Estimating Long Memory in Volatility 0 0 1 320 0 0 2 835
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 1 1 2 183
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 0 1 1 62
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 1 3 0 0 1 5
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 2 2 3 15
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 2 192 1 2 6 444
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 0 1 1 54
Linear Trend with Fractionally Integrated Errors 0 0 0 0 0 0 1 3
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 0 1 1 2
Model selection for least absolute deviations regression in small samples 0 0 0 130 0 0 1 255
Multiple-Predictor Regressions: Hypothesis Testing 0 0 2 89 0 0 3 291
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 0 0 0 115
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 0 1 38 0 0 2 105
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 0 0 1 209
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series 0 0 0 0 0 0 0 2
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 2 81 0 0 6 256
Predictive regression with order-p autoregressive predictors 0 0 0 58 0 0 2 279
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 0 0 2 78
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 24 1 1 9 68
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 0 1 1 61
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 0 0 1 39
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 0 0 3 207
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 0 1 1 12
The averaged periodogram estimator for a power law in coherency 0 0 0 20 0 0 0 63
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 0 0 1 87
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 1 1 2 13 1 3 8 35
The value of sharing disaggregated information in supply chains 0 0 0 2 0 0 3 28
Total Journal Articles 2 3 24 1,453 10 28 104 4,512

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Statistics updated 2025-09-05