Clifford M. Hurvich

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Affiliations

• New York University (NYU) / Stern School of Business (weight: 50%)
  • EDIRC entry
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Research profile

author of:

• Long Memory in Nonlinear Processes (RePEc:arx:papers:0706.1836)
  by Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier
• A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation (RePEc:arx:papers:2108.06093)
  by Zhihao Xu & Clifford M. Hurvich
• Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes (RePEc:arx:papers:2202.00793)
  by Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier
• Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend (RePEc:bes:jnlasa:v:100:y:2005:p:853-871)
  by Hurvich, Clifford & Lang, Gabriel & Soulier, Philippe
• On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series (RePEc:bes:jnlasa:v:101:y:2006:p:812-822)
  by Chen, Willa W. & Hurvich, Clifford M. & Lu, Yi
• Semiparametric Estimation of Multivariate Fractional Cointegration (RePEc:bes:jnlasa:v:98:y:2003:p:629-642)
  by Chen, Willa W. & Hurvich, Clifford M.
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration (RePEc:bes:jnlbes:v:28:i:4:y:2010:p:539-558)
  by Hurvich, Clifford M. & Wang, Yi
• Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion (RePEc:bla:jorssb:v:60:y:1998:i:2:p:271-293)
  by Clifford M. Hurvich & Jeffrey S. Simonoff & Chih‐Ling Tsai
• Cross‐Validatory Choice Of A Spectrum Estimate And Its Connections With Aic (RePEc:bla:jtsera:v:11:y:1990:i:2:p:121-137)
  by Clifford M. Hurvich & Kaizô I. Beltrato
• A Corrected Akaike Information Criterion For Vector Autoregressive Model Selection (RePEc:bla:jtsera:v:14:y:1993:i:3:p:271-279)
  by Clifford M. Hurvich & Chih‐Ling Tsai
• Asymptotics For The Low‐Frequency Ordinates Of The Periodogram Of A Long‐Memory Time Series (RePEc:bla:jtsera:v:14:y:1993:i:5:p:455-472)
  by Clifford M. Hurvich & Kaizo I. Beltrao
• Acknowledgement Of Priority For “Asymptotics For The Low‐Frequency Ordinates Of The Periodogram Of A Long‐Memory Time Series” (RePEc:bla:jtsera:v:15:y:1994:i:1:p:64-64)
  by Clifford M. Hurvich & Kaizo I. Beltrao
• Automatic Semiparametric Estimation Of The Memory Parameter Of A Long‐Memory Time Series (RePEc:bla:jtsera:v:15:y:1994:i:3:p:285-302)
  by Clifford M. Hurvich & Kaizo I. Beltrao
• Estimation Of The Memory Parameter For Nonstationary Or Noninvertible Fractionally Integrated Processes (RePEc:bla:jtsera:v:16:y:1995:i:1:p:17-41)
  by Clifford M. Hurvich & Bonnie K. Ray
• The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series (RePEc:bla:jtsera:v:19:y:1998:i:1:p:19-46)
  by Clifford M. Hurvich & Rohit Deo & Julia Brodsky
• Linear Trend with Fractionally Integrated Errors (RePEc:bla:jtsera:v:19:y:1998:i:4:p:379-397)
  by Rohit S. Deo & Clifford M. Hurvich
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series (RePEc:bla:jtsera:v:20:y:1999:i:3:p:331-341)
  by Clifford M. Hurvich & Rohit S. Deo
• An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series (RePEc:bla:jtsera:v:21:y:2000:i:2:p:155-180)
  by Clifford M. Hurvich & Willa W. Chen
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models (RePEc:bla:jtsera:v:22:y:2001:i:2:p:221-249)
  by Clifford M. Hurvich & Julia Brodsky
• Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series (RePEc:bla:jtsera:v:22:y:2001:i:6:p:679-709)
  by Clifford M. Hurvich
• Computationally efficient methods for two multivariate fractionally integrated models (RePEc:bla:jtsera:v:30:y:2009:i:6:p:631-651)
  by Rebecca J. Sela & Clifford M. Hurvich
• The averaged periodogram estimator for a power law in coherency (RePEc:bla:jtsera:v:33:y:2012:i:2:p:340-363)
  by Rebecca J. Sela & Clifford M. Hurvich
• Drift in Transaction-Level Asset Price Models (RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790)
  by Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier
• The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility (RePEc:bla:jtsera:v:40:y:2019:i:4:p:590-608)
  by Jun Liu & Rohit Deo & Clifford Hurvich
• On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models (RePEc:cup:etheor:v:17:y:2001:i:04:p:686-710_17)
  by Deo, Rohit S. & Hurvich, Clifford M.
• Testing For Long Memory In Volatility (RePEc:cup:etheor:v:18:y:2002:i:06:p:1291-1308_18)
  by Hurvich, Clifford M. & Soulier, Philippe
• Conditions For The Propagation Of Memory Parameter From Durations To Counts And Realized Volatility (RePEc:cup:etheor:v:25:y:2009:i:03:p:764-792_09)
  by Deo, Rohit & Hurvich, Clifford M. & Soulier, Philippe & Wang, Yi
• Limit Laws In Transaction-Level Asset Price Models (RePEc:cup:etheor:v:30:y:2014:i:03:p:536-579_00)
  by Aue, Alexander & Horváth, Lajos & Hurvich, Clifford & Soulier, Philippe
• Predictive Regressions: A Reduced-Bias Estimation Method (RePEc:cup:jfinqa:v:39:y:2004:i:04:p:813-841_00)
  by Amihud, Yakov & Hurvich, Clifford M.
• Estimating Long Memory in Volatility (RePEc:ecm:emetrp:v:73:y:2005:i:4:p:1283-1328)
  by Clifford M. Hurvich & Eric Moulines & Philippe Soulier
• Corrigendum to "Estimating Long Memory in Volatility" (RePEc:ecm:emetrp:v:76:y:2008:i:3:p:661-662)
  by Clifford M. Hurvich & Eric Moulines & Philippe Soulier
• Estimating fractional cointegration in the presence of polynomial trends (RePEc:eee:econom:v:117:y:2003:i:1:p:95-121)
  by Chen, Willa W. & Hurvich, Clifford M.
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment (RePEc:eee:econom:v:131:y:2006:i:1-2:p:29-58)
  by Deo, Rohit & Hurvich, Clifford & Lu, Yi
• Asymptotics for duration-driven long range dependent processes (RePEc:eee:econom:v:141:y:2007:i:2:p:913-949)
  by Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe
• The value of sharing disaggregated information in supply chains (RePEc:eee:ejores:v:277:y:2019:i:2:p:469-478)
  by Kovtun, Vladimir & Giloni, Avi & Hurvich, Clifford
• Predictive regression with order-p autoregressive predictors (RePEc:eee:empfin:v:17:y:2010:i:3:p:513-525)
  by Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi
• Multistep forecasting of long memory series using fractional exponential models (RePEc:eee:intfor:v:18:y:2002:i:2:p:167-179)
  by Hurvich, Clifford M.
• Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility (RePEc:eee:spapps:v:150:y:2022:i:c:p:972-994)
  by Zhang, Yichen & Hurvich, Clifford M.
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series (RePEc:eee:spapps:v:54:y:1994:i:2:p:297-307)
  by Terrin, Norma & Hurvich, Clifford M.
• The FEXP estimator for potentially non-stationary linear time series (RePEc:eee:spapps:v:97:y:2002:i:2:p:307-340)
  by Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe
• The impact of unsuspected serial correlations on model selection in linear regression (RePEc:eee:stapro:v:27:y:1996:i:2:p:115-126)
  by Hurvich, Clifford M. & Tsai, Chih-Ling
• Model selection for least absolute deviations regression in small samples (RePEc:eee:stapro:v:9:y:1990:i:3:p:259-265)
  by Hurvich, Clifford M. & Tsai, Chih-Ling
• Limit Laws in Transaction-Level Asset Price Models (RePEc:hal:journl:hal-00583372)
  by Alexander Aue & Lajos Horváth & Clifford M. Hurvich & Philippe Soulier
• Drift in Transaction-Level Asset Price Models (RePEc:hal:wpaper:hal-00756372)
  by Wen Cao & Clifford Hurvich & Philippe Soulier
• The Local Whittle Estimator of Long-Memory Stochastic Volatility (RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470)
  by Clifford M. Hurvich & Bonnie K. Ray
• Multiple-Predictor Regressions: Hypothesis Testing (RePEc:oup:rfinst:v:22:y:2009:i:1:p:413-434)
  by Yakov Amihud & Clifford M. Hurvich & Yi Wang
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects (RePEc:pra:mprapa:12575)
  by Hurvich, Clifford & Wang, Yi
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects (RePEc:pra:mprapa:1413)
  by Hurvich, Cliiford & Wang, Yi
• An information-theoretic framework for robustness (RePEc:spr:aistmt:v:43:y:1991:i:1:p:131-146)
  by Stephan Morgenthaler & Clifford Hurvich
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models (RePEc:taf:jnlasa:v:108:y:2013:i:503:p:1031-1043)
  by Cheryl J. Flynn & Clifford M. Hurvich & Jeffrey S. Simonoff
• Forecasting and information sharing in supply chains under ARMA demand (RePEc:taf:uiiexx:v:46:y:2014:i:1:p:35-54)
  by Avi Giloni & Clifford Hurvich & Sridhar Seshadri
• Assessing the value of demand sharing in supply chains (RePEc:wly:navres:v:61:y:2014:i:7:p:515-531)
  by Vladimir Kovtun & Avi Giloni & Clifford Hurvich
• Estimating Long Memory in Volatility (RePEc:wpa:wuwpem:0412006)
  by Clifford Hurvich & Eric Moulines & Philippe Soulier
• Semiparametric Estimation of Fractional Cointegrating Subspaces (RePEc:wpa:wuwpem:0412007)
  by Willa Chen & Clifford Hurvich
• Predictive Regressions: A Reduced-Bias Estimation Method (RePEc:wpa:wuwpem:0412008)
  by Yakov Amihud & Clifford Hurvich
• Asymptotics for Duration-Driven Long Range Dependent Processes (RePEc:wpa:wuwpem:0412009)
  by Mengchen Hsieh & Clifford Hurvich & Philippe Soulier
• Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment (RePEc:wpa:wuwpem:0501002)
  by Rohit Deo & Clifford Hurvich & Yi Lu
• Tracing the Source of Long Memory in Volatility (RePEc:wpa:wuwpem:0501005)
  by Rohit Deo & Mengchen Hsieh & Clifford Hurvich
• Propagation of Memory Parameter from Durations to Counts (RePEc:wpa:wuwpem:0511010)
  by Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang
• Hypothesis Testing in Predictive Regressions (RePEc:wpa:wuwpfi:0412022)
  by Yakov Amihud & Clifford Hurvich & Yi Wang