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 73 1 7 12 333
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 50 0 3 10 173
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 3 7 17 49
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 1 6 11 311
Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation 0 0 12 12 1 2 12 12
Drift in Transaction-Level Asset Price Models 0 0 0 8 0 2 14 69
Estimating Long Memory in Volatility 0 0 0 376 0 2 10 797
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 0 837 0 5 12 1,529
Hypothesis Testing in Predictive Regressions 0 0 0 204 0 0 10 765
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 4 59
Long Memory in Nonlinear Processes 0 0 0 76 0 2 10 176
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 1 7 22 41
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 1 521 1 7 28 1,409
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 1 3 12 454
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 0 2 10 368
Tracing the Source of Long Memory in Volatility 0 0 0 221 2 5 10 478
Total Working Papers 0 0 13 2,736 11 61 204 7,023

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 1 6 54 3 11 23 117
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 0 5 10 84
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 1 1 1 1 3 4 4
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 0 2 1 2 4 9
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 0 0 2 6 0 4 15 21
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 1 3 3 4 11 17
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 0 4 8 14
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series 0 0 0 0 0 1 3 33
An information-theoretic framework for robustness 0 0 0 13 0 6 7 45
Assessing the value of demand sharing in supply chains 0 0 0 0 0 2 9 17
Asymptotics for duration-driven long range dependent processes 0 0 0 15 0 3 9 77
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 0 2 9 11
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 0 4 9 75
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 1 1 0 4 8 9
Computationally efficient methods for two multivariate fractionally integrated models 0 0 1 51 0 3 9 150
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 2 3 10 124
Drift in Transaction-Level Asset Price Models 0 0 1 3 0 4 15 29
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 0 1 3 0 2 16 20
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 1 4 9 37
Estimating Long Memory in Volatility 0 0 0 320 1 3 9 844
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 0 3 12 194
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 1 2 7 68
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 0 1 3 8
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 0 2 15 28
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 0 192 3 5 12 454
Information Design and Sharing in Supply Chains 0 1 1 1 1 5 14 14
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 0 4 9 62
Linear Trend with Fractionally Integrated Errors 0 0 0 0 0 0 5 8
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 1 3 8 9
Model selection for least absolute deviations regression in small samples 0 0 1 131 0 4 12 267
Multiple-Predictor Regressions: Hypothesis Testing 0 0 0 89 0 2 10 301
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 0 2 12 127
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 0 1 39 2 4 8 113
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 3 7 216
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 1 3 7 8
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series 0 0 1 1 3 6 12 14
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 81 3 4 19 275
Predictive regression with order-p autoregressive predictors 0 0 0 58 0 1 4 283
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 1 2 20 98
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 3 5 26 93
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 1 3 14 74
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 0 3 13 52
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 0 0 5 212
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 1 6 9 20
The averaged periodogram estimator for a power law in coherency 0 0 1 21 0 2 15 78
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 0 1 4 91
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 1 1 4 16 4 8 24 56
The value of sharing disaggregated information in supply chains 0 1 1 3 0 7 13 41
Total Journal Articles 1 5 26 1,476 38 165 516 5,001

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Autoregressive Model Selection in Small Samples Using a Bias-Corrected Version of AIC 0 0 0 0 0 2 5 5
Fractional Cointegration 0 0 0 0 1 2 5 5
Stochastic Volatility Models with Long Memory 0 0 0 0 0 3 4 4
Summary 0 0 0 0 0 1 2 2
Total Chapters 0 0 0 0 1 8 16 16

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Statistics updated 2026-06-04