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 1 72 0 0 3 309
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 47 1 1 4 145
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 66 3 3 9 294
Drift in Transaction-Level Asset Price Models 0 0 0 7 0 0 3 40
Estimating Long Memory in Volatility 0 1 1 373 2 5 18 770
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 1 6 828 1 3 16 1,481
Hypothesis Testing in Predictive Regressions 0 0 0 197 4 5 9 727
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 6 50
Long Memory in Nonlinear Processes 0 0 1 69 1 1 6 145
Predictive Regressions: A Reduced-Bias Estimation Method 0 1 1 510 2 4 16 1,340
Propagation of Memory Parameter from Durations to Counts 1 1 4 115 2 2 10 424
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 103 1 1 3 351
Tracing the Source of Long Memory in Volatility 0 0 0 218 0 0 2 456
Total Working Papers 1 4 14 2,630 17 26 105 6,532


Journal Article 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 0 0 0 6 2 3 17 66
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” 0 0 1 1 0 0 3 3
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 2 26
An information-theoretic framework for robustness 0 0 1 13 0 0 5 36
Asymptotics for duration-driven long range dependent processes 0 0 0 15 0 0 4 65
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 0 0 0 0 0
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 0 12 0 1 5 59
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 0 0 0 0 0 0
Computationally efficient methods for two multivariate fractionally integrated models 0 0 2 45 1 1 15 120
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 1 1 6 111
Drift in Transaction-Level Asset Price Models 0 0 0 2 0 1 3 10
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 1 1 1 5 19
Estimating Long Memory in Volatility 0 0 1 317 2 3 10 806
Estimating fractional cointegration in the presence of polynomial trends 0 0 1 57 1 1 5 177
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 1 1 4 59
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 1 1 1 1 4
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 1 173 0 0 26 387
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 3 0 0 9 48
Linear Trend with Fractionally Integrated Errors 0 0 0 0 0 0 0 0
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 0 0 0 0
Model selection for least absolute deviations regression in small samples 0 0 1 118 0 1 5 232
Multiple-Predictor Regressions: Hypothesis Testing 1 2 9 66 6 9 33 243
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 0 1 4 109
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 0 0 33 0 1 9 91
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 49 1 1 8 206
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series 0 0 0 0 0 0 1 1
Predictive Regressions: A Reduced-Bias Estimation Method 1 1 2 55 2 2 12 179
Predictive regression with order-p autoregressive predictors 1 2 6 52 3 6 20 243
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 29 0 1 4 67
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 0 1 0 1 3 5
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 0 0 3 57
The FEXP estimator for potentially non-stationary linear time series 0 0 0 4 0 0 3 34
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 1 1 8 193
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 1 1 1 1 3 5
The averaged periodogram estimator for a power law in coherency 0 1 2 19 1 2 12 62
The impact of unsuspected serial correlations on model selection in linear regression 0 0 1 16 0 0 4 82
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 0 0 0 0 0 6 6 7
Total Journal Articles 3 6 29 1,229 25 47 258 3,812


Statistics updated 2020-09-04