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 5 6 11 332
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 50 2 3 10 173
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 2 7 14 46
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 3 6 11 310
Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation 0 0 12 12 1 2 11 11
Drift in Transaction-Level Asset Price Models 0 0 0 8 2 3 14 69
Estimating Long Memory in Volatility 0 0 0 376 2 3 10 797
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 0 837 4 6 12 1,529
Hypothesis Testing in Predictive Regressions 0 0 0 204 0 1 10 765
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 1 1 4 59
Long Memory in Nonlinear Processes 0 0 0 76 2 3 10 176
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 3 10 23 40
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 1 521 1 8 28 1,408
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 2 2 11 453
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 2 2 10 368
Tracing the Source of Long Memory in Volatility 0 0 0 221 3 3 8 476
Total Working Papers 0 0 13 2,736 35 66 197 7,012

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 54 7 12 21 114
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 5 5 10 84
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 1 1 1 1 3 3 3
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 0 2 1 1 3 8
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 0 1 2 6 3 5 15 21
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 1 3 1 1 10 14
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 2 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 5 6 7 45
Assessing the value of demand sharing in supply chains 0 0 0 0 1 2 9 17
Asymptotics for duration-driven long range dependent processes 0 0 0 15 3 3 9 77
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 2 3 9 11
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 4 4 9 75
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 1 1 3 4 8 9
Computationally efficient methods for two multivariate fractionally integrated models 0 1 1 51 3 4 9 150
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 1 1 8 122
Drift in Transaction-Level Asset Price Models 0 0 1 3 4 4 16 29
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 0 1 3 1 3 16 20
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 3 4 8 36
Estimating Long Memory in Volatility 0 0 0 320 1 2 8 843
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 2 3 12 194
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 1 1 6 67
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 1 1 3 8
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 2 2 15 28
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 0 192 1 2 9 451
Information Design and Sharing in Supply Chains 1 1 1 1 4 6 13 13
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 4 5 9 62
Linear Trend with Fractionally Integrated Errors 0 0 0 0 0 2 5 8
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 2 2 7 8
Model selection for least absolute deviations regression in small samples 0 0 1 131 4 6 12 267
Multiple-Predictor Regressions: Hypothesis Testing 0 0 1 89 2 2 11 301
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 1 5 12 127
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 0 1 39 2 3 6 111
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 2 3 6 215
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 1 2 6 7
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 2 4 9 11
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 81 1 2 16 272
Predictive regression with order-p autoregressive predictors 0 0 0 58 0 2 5 283
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 1 3 19 97
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 1 2 23 90
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 2 3 13 73
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 2 5 13 52
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 0 1 6 212
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 5 5 8 19
The averaged periodogram estimator for a power law in coherency 0 1 1 21 2 9 15 78
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 1 1 4 91
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 0 0 4 15 4 4 23 52
The value of sharing disaggregated information in supply chains 1 1 1 3 6 9 14 41
Total Journal Articles 3 8 28 1,475 107 167 489 4,963

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 2 2 5 5
Fractional Cointegration 0 0 0 0 0 2 4 4
Stochastic Volatility Models with Long Memory 0 0 0 0 1 3 4 4
Summary 0 0 0 0 1 1 2 2
Total Chapters 0 0 0 0 4 8 15 15

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