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 4 8 170
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 73 0 3 6 326
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 3 7 11 42
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 1 4 6 305
Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation 0 0 12 12 1 3 10 10
Drift in Transaction-Level Asset Price Models 0 0 0 8 1 6 12 67
Estimating Long Memory in Volatility 0 0 0 376 1 6 8 795
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 0 837 1 5 8 1,524
Hypothesis Testing in Predictive Regressions 0 0 0 204 1 5 10 765
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 3 58
Long Memory in Nonlinear Processes 0 0 0 76 1 3 9 174
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 4 15 18 34
Predictive Regressions: A Reduced-Bias Estimation Method 0 1 1 521 2 16 22 1,402
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 0 2 9 451
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 0 5 8 366
Tracing the Source of Long Memory in Volatility 0 0 0 221 0 3 5 473
Total Working Papers 0 1 13 2,736 16 88 153 6,962

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 1 2 7 53 4 6 15 106
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 0 3 5 79
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 0 1 1 1 1
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 0 2 0 2 2 7
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 1 1 2 6 1 7 11 17
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 1 3 0 3 9 13
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 0 3 5 10
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series 0 0 0 0 0 2 2 32
An information-theoretic framework for robustness 0 0 0 13 0 1 1 39
Assessing the value of demand sharing in supply chains 0 0 0 0 0 3 8 15
Asymptotics for duration-driven long range dependent processes 0 0 0 15 0 4 6 74
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 1 6 7 9
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 0 3 6 71
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 1 1 0 2 4 5
Computationally efficient methods for two multivariate fractionally integrated models 1 1 1 51 1 4 6 147
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 0 5 7 121
Drift in Transaction-Level Asset Price Models 0 0 1 3 0 5 12 25
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 1 2 3 1 9 15 18
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 1 1 5 33
Estimating Long Memory in Volatility 0 0 0 320 0 3 6 841
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 0 5 9 191
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 0 3 5 66
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 0 2 2 7
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 0 8 13 26
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 0 192 0 2 8 449
Information Design and Sharing in Supply Chains 0 0 0 0 2 8 9 9
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 1 3 5 58
Linear Trend with Fractionally Integrated Errors 0 0 0 0 2 5 5 8
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 0 3 5 6
Model selection for least absolute deviations regression in small samples 0 1 1 131 2 4 8 263
Multiple-Predictor Regressions: Hypothesis Testing 0 0 1 89 0 5 10 299
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 3 10 10 125
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 1 1 39 1 4 4 109
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 4 4 213
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 0 2 4 5
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 1 3 6 8
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 81 1 9 15 271
Predictive regression with order-p autoregressive predictors 0 0 0 58 1 2 4 282
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 2 15 18 96
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 0 7 22 88
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 1 8 11 71
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 2 10 10 49
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 1 4 8 212
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 0 2 3 14
The averaged periodogram estimator for a power law in coherency 1 1 1 21 7 12 13 76
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 0 3 3 90
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 0 2 4 15 0 9 19 48
The value of sharing disaggregated information in supply chains 0 0 0 2 2 6 7 34
Total Journal Articles 4 10 26 1,471 40 231 373 4,836

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 3 3 3
Fractional Cointegration 0 0 0 0 1 3 3 3
Stochastic Volatility Models with Long Memory 0 0 0 0 0 1 1 1
Summary 0 0 0 0 0 1 1 1
Total Chapters 0 0 0 0 1 8 8 8

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