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 3 6 8 170
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 73 2 3 7 326
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 4 5 8 39
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 1 3 5 304
Drift in Transaction-Level Asset Price Models 0 0 0 8 3 9 12 66
Estimating Long Memory in Volatility 0 0 0 376 4 6 7 794
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 0 837 2 4 7 1,523
Hypothesis Testing in Predictive Regressions 0 0 0 204 4 8 10 764
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 1 1 3 58
Long Memory in Nonlinear Processes 0 0 0 76 2 4 8 173
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 4 11 14 30
Predictive Regressions: A Reduced-Bias Estimation Method 1 1 1 521 9 16 20 1,400
Propagation of Memory Parameter from Durations to Counts 0 0 0 118 1 6 9 451
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 2 6 8 366
Tracing the Source of Long Memory in Volatility 0 0 0 221 2 3 5 473
Total Working Papers 1 1 1 2,724 44 91 131 6,937

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 3 7 52 2 5 13 102
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 2 4 5 79
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 0 2 2 2 2 7
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 0 0 1 5 5 6 10 16
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 1 3 1 5 9 13
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 2 3 6 10
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series 0 0 0 0 1 2 3 32
An information-theoretic framework for robustness 0 0 0 13 1 1 1 39
Assessing the value of demand sharing in supply chains 0 0 0 0 3 4 8 15
Asymptotics for duration-driven long range dependent processes 0 0 0 15 2 6 6 74
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 4 5 6 8
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 1 15 2 3 6 71
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 1 1 2 2 4 5
Computationally efficient methods for two multivariate fractionally integrated models 0 0 0 50 1 4 6 146
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 4 5 7 121
Drift in Transaction-Level Asset Price Models 0 0 1 3 5 8 12 25
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 1 1 2 3 4 10 14 17
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 0 2 4 32
Estimating Long Memory in Volatility 0 0 0 320 3 5 7 841
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 5 7 9 191
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 1 3 5 66
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 2 2 2 7
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 4 9 13 26
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 0 192 1 3 8 449
Information Design and Sharing in Supply Chains 0 0 0 0 3 7 7 7
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 2 2 4 57
Linear Trend with Fractionally Integrated Errors 0 0 0 0 1 3 4 6
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 2 4 5 6
Model selection for least absolute deviations regression in small samples 0 1 1 131 0 3 6 261
Multiple-Predictor Regressions: Hypothesis Testing 0 0 1 89 4 5 10 299
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 5 7 7 122
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 1 1 1 39 3 3 3 108
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 4 212
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 2 3 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 0 2 5 7
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 81 6 12 14 270
Predictive regression with order-p autoregressive predictors 0 0 0 58 1 2 4 281
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 7 15 16 94
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 6 13 26 88
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 2 9 10 70
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 5 8 9 47
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 3 4 7 211
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 2 2 3 14
The averaged periodogram estimator for a power law in coherency 0 0 0 20 4 5 6 69
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 2 3 4 90
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 1 2 4 15 7 12 20 48
The value of sharing disaggregated information in supply chains 0 0 0 2 4 4 5 32
Total Journal Articles 4 8 23 1,467 132 237 349 4,796

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Statistics updated 2026-02-12