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 2 3 4 166
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 73 0 2 4 323
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 1 1 4 35
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 0 0 2 301
Drift in Transaction-Level Asset Price Models 0 0 0 8 4 5 7 61
Estimating Long Memory in Volatility 0 0 0 376 1 2 2 789
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 1 837 0 1 4 1,519
Hypothesis Testing in Predictive Regressions 0 0 0 204 4 4 6 760
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 4 57
Long Memory in Nonlinear Processes 0 0 0 76 2 3 6 171
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 0 520 2 2 6 1,386
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 4 6 8 449
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 1 2 3 361
Tracing the Source of Long Memory in Volatility 0 0 0 221 0 0 2 470
Total Working Papers 0 0 1 2,723 21 32 65 6,867

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 2 3 7 51 3 6 12 100
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 1 1 2 76
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 0 3 4 10
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 1 1 3 2 3 6 10
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 0 0 3 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 1 2 5 12
Asymptotics for duration-driven long range dependent processes 0 0 0 15 2 2 2 70
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 0 1 1 3
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 0 0 4 68
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 1 2 3 143
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 0 0 2 116
Drift in Transaction-Level Asset Price Models 0 0 1 3 3 5 7 20
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 0 1 2 2 4 7 9
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 2 2 5 32
Estimating Long Memory in Volatility 0 0 0 320 2 3 4 838
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 2 3 4 186
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 0 1 2 63
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 1 3 6 18
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 1 192 1 3 8 447
Information Design and Sharing in Supply Chains 0 0 0 0 1 1 1 1
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 0 1 2 55
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 1 1 2 3
Model selection for least absolute deviations regression in small samples 0 0 0 130 1 4 4 259
Multiple-Predictor Regressions: Hypothesis Testing 0 0 2 89 0 3 6 294
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
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 1 2 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 0 3 3 5
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 1 81 4 6 7 262
Predictive regression with order-p autoregressive predictors 0 0 0 58 1 1 3 280
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 2 3 4 81
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 1 1 25 6 13 19 81
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 2 2 3 63
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 1 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 0 1 1 64
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 0 0 2 13 3 4 11 39
The value of sharing disaggregated information in supply chains 0 0 0 2 0 0 2 28
Total Journal Articles 2 8 22 1,461 46 92 172 4,605

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Statistics updated 2025-12-06