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 1 2 14 335
A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects 0 0 0 50 1 1 11 174
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 0 0 25 1 1 16 50
Asymptotics for Duration-Driven Long Range Dependent Processes 0 0 0 67 0 0 10 311
Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation 0 1 13 13 2 5 17 17
Drift in Transaction-Level Asset Price Models 0 0 0 8 0 0 13 69
Estimating Long Memory in Volatility 0 0 0 376 0 0 10 797
Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment 0 0 0 837 0 0 11 1,529
Hypothesis Testing in Predictive Regressions 0 0 0 204 0 0 9 765
Limit Laws in Transaction-Level Asset Price Models 0 0 0 25 0 1 4 60
Long Memory in Nonlinear Processes 0 0 0 76 1 2 10 178
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes 0 0 0 19 0 0 22 41
Predictive Regressions: A Reduced-Bias Estimation Method 1 1 2 522 3 3 28 1,412
Propagation of Memory Parameter from Durations to Counts 1 1 1 119 1 1 12 455
Semiparametric Estimation of Fractional Cointegrating Subspaces 0 0 0 104 0 0 9 368
Tracing the Source of Long Memory in Volatility 0 0 0 221 0 0 8 478
Total Working Papers 2 3 16 2,739 10 16 204 7,039

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 1 7 55 3 5 28 122
A Pure-Jump Transaction-Level Price Model Yielding Cointegration 0 0 0 6 0 0 9 84
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation 0 1 2 2 0 1 5 5
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 6 11
ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES 0 0 2 6 0 1 15 22
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES 0 0 1 3 0 2 12 19
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series 0 0 0 3 1 4 11 18
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 3 33
An information-theoretic framework for robustness 0 0 0 13 1 2 9 47
Assessing the value of demand sharing in supply chains 0 0 0 0 0 0 7 17
Asymptotics for duration-driven long range dependent processes 0 0 0 15 0 0 9 77
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models 0 0 0 1 0 0 9 11
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY 0 0 0 15 0 1 8 76
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC 0 0 1 1 0 0 8 9
Computationally efficient methods for two multivariate fractionally integrated models 0 0 1 51 0 0 9 150
Corrigendum to "Estimating Long Memory in Volatility" 0 0 0 42 1 3 11 127
Drift in Transaction-Level Asset Price Models 0 0 0 3 0 0 14 29
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES 0 1 2 4 0 1 16 21
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models 0 0 0 6 0 0 7 37
Estimating Long Memory in Volatility 0 0 0 320 1 1 10 845
Estimating fractional cointegration in the presence of polynomial trends 0 0 0 58 0 0 11 194
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend 0 0 0 26 0 1 7 69
Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility 0 0 0 3 0 0 3 8
Forecasting and information sharing in supply chains under ARMA demand 0 0 0 4 0 1 14 29
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment 0 0 0 192 1 1 11 455
Information Design and Sharing in Supply Chains 0 0 1 1 0 1 15 15
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS 0 0 0 5 0 0 8 62
Linear Trend with Fractionally Integrated Errors 0 0 0 0 0 2 7 10
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series 0 0 0 0 0 0 7 9
Model selection for least absolute deviations regression in small samples 0 0 1 131 0 1 13 268
Multiple-Predictor Regressions: Hypothesis Testing 0 0 0 89 0 1 11 302
Multistep forecasting of long memory series using fractional exponential models 0 0 0 48 1 1 13 128
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS 0 1 2 40 0 1 9 114
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 7 216
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model 0 0 0 0 0 0 7 8
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 1 13 15
Predictive Regressions: A Reduced-Bias Estimation Method 0 0 0 81 1 1 20 276
Predictive regression with order-p autoregressive predictors 0 0 0 58 0 0 4 283
Semiparametric Estimation of Multivariate Fractional Cointegration 0 0 0 31 0 2 22 100
Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion 0 0 1 25 2 4 29 97
TESTING FOR LONG MEMORY IN VOLATILITY 0 0 0 24 0 1 14 75
The FEXP estimator for potentially non-stationary linear time series 0 0 0 5 0 2 15 54
The Local Whittle Estimator of Long-Memory Stochastic Volatility 0 0 0 0 0 0 5 212
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility 0 0 0 4 1 1 9 21
The averaged periodogram estimator for a power law in coherency 0 0 1 21 1 1 16 79
The impact of unsuspected serial correlations on model selection in linear regression 0 0 0 16 0 0 4 91
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series 0 2 5 18 1 5 26 61
The value of sharing disaggregated information in supply chains 0 0 1 3 0 1 14 42
Total Journal Articles 1 6 29 1,482 15 52 540 5,053

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 0 5 5
Fractional Cointegration 0 0 0 0 0 0 5 5
Stochastic Volatility Models with Long Memory 0 0 0 0 0 0 4 4
Summary 0 0 0 0 2 2 4 4
Total Chapters 0 0 0 0 2 2 18 18

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Statistics updated 2026-09-10