Clifford M. Hurvich : Citation Profile


Are you Clifford M. Hurvich?

New York University (NYU) (50% share)

13

H index

14

i10 index

608

Citations

RESEARCH PRODUCTION:

37

Articles

13

Papers

RESEARCH ACTIVITY:

   27 years (1990 - 2017). See details.
   Cites by year: 22
   Journals where Clifford M. Hurvich has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 16 (2.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phu84
   Updated: 2020-08-01    RAS profile: 2020-06-29    
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Relations with other researchers


Works with:

Horvath, Lajos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Clifford M. Hurvich.

Is cited by:

Nielsen, Morten (27)

Arteche, Josu (23)

Sibbertsen, Philipp (22)

Krištoufek, Ladislav (17)

Perron, Pierre (17)

Proietti, Tommaso (11)

Shimotsu, Katsumi (10)

Leschinski, Christian (10)

Kim, Jae (10)

Bollerslev, Tim (10)

Iacone, Fabrizio (9)

Cites to:

Deo, Rohit (15)

Bollerslev, Tim (11)

Velasco, Carlos (10)

Robinson, Peter (9)

Diebold, Francis (7)

Engle, Robert (7)

Andersen, Torben (7)

Stambaugh, Robert (6)

Renault, Eric (5)

Phillips, Peter (5)

Amihud, Yakov (4)

Main data


Where Clifford M. Hurvich has published?


Journals with more than one article published# docs
Journal of Time Series Analysis11
Econometric Theory4
Journal of Econometrics3
Journal of the American Statistical Association3
Stochastic Processes and their Applications2
Statistics & Probability Letters2
Econometrica2

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany7
MPRA Paper / University Library of Munich, Germany2

Recent works citing Clifford M. Hurvich (2019 and 2018)


YearTitle of citing document
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2018TÜRKİYE’DE DEVLETİN GİRİŞİMCİLİK DESTEKLERİ VE SEÇİLMİŞ BAZI DEĞİŞKENLERİN YENİ FİRMA DOĞUM ORANI ÜZERİNE ETKİSİ. (2018). Duran, Halit. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:3:y:2018:i:1:p:68-85.

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2018Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616.

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2019Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2019). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Papers. RePEc:arx:papers:1909.02182.

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2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2018Value Matters: The Long-run Behavior of Stock Index Returns. (2018). Angelini, Natascia ; Nardini, Franco ; Marmi, Stefano ; Bormetti, Giacomo. In: Review of Economics & Finance. RePEc:bap:journl:180202.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2019Long Memory Conditional Heteroscedasticity in Count Data. (2019). Stapper, Manuel ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:8219.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-19.

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2018Corporate innovative efficiency: Evidence of effects on credit ratings. (2018). Griffin, Paul A ; Woo, JI ; Hong, Hyun A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:51:y:2018:i:c:p:352-373.

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2020Corrected Mallows criterion for model averaging. (2020). Zou, Guohua ; Liao, Jun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302579.

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2019A unified test for predictability of asset returns regardless of properties of predicting variables. (2019). Liu, Xiaohui ; Peng, Liang ; Cai, Zongwu ; Yang, Bingduo. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:141-159.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2019Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). García Enríquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77.

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2019The value of sharing disaggregated information in supply chains. (2019). Hurvich, Clifford ; Giloni, Avi ; Kovtun, Vladimir. In: European Journal of Operational Research. RePEc:eee:ejores:v:277:y:2019:i:2:p:469-478.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2019Balanced predictive regressions. (2019). Ren, Yu ; Yi, Yanping ; Tu, Yundong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:118-142.

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2018Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data. (2018). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:260-270.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2019Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach. (2019). Paul, Samit ; Karmakar, Madhusudan . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:699-709.

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2018Asset pricing and ambiguity: Empirical evidence⁎. (2018). Brenner, Menachem ; Izhakian, Yehuda. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:3:p:503-531.

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2019Manager sentiment and stock returns. (2019). Zhou, Guofu ; Martin, Xiumin ; Lee, Joshua ; Jiang, Fuwei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:126-149.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

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2020Aggregate profit instability and time variations in momentum returns: Evidence from China. (2020). Wei, YA ; Yin, Libo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19303683.

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2017Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis. (2017). Zhang, Hong ; Dong, Keqiang ; Gao, You. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:363-369.

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2017Record length requirement of long-range dependent teletraffic. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:164-187.

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2018The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality. (2018). Qin, Jing ; Lu, Xinsheng ; Ge, Jintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1026-1037.

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2019The influence of a scaling exponent on ρDCCA: A spatial cross-correlation pattern of precipitation records over eastern China. (2019). Shen, Chenhua . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:579-590.

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2019Institutions and return predictability in oil-exporting countries. (2019). Shugarman, Justin K ; Jahan-Parvar, Mohammad R ; Aramonte, Sirio. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:14-26.

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2019Tests for spatial dependence and heterogeneity in spatially autoregressive varying coefficient models with application to Boston house price analysis. (2019). Wang, Ning ; Mei, Chang-Lin ; Li, Deng-Kui. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:79:y:2019:i:c:s0166046218303132.

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2018Growth volatility and size: a firm-level study. (2018). Secchi, Angelo ; Menon, Carlo ; Criscuolo, Chiara ; Calvino, Flavio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87597.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:13-:d:135826.

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2020Cross-Validation Model Averaging for Generalized Functional Linear Model. (2020). Zou, Guohua ; Zhang, Haili. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:7-:d:324497.

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2020Frequency-Domain Evidence for Climate Change. (2020). Reschenhofer, Erhard ; Mangat, Manveer Kaur. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:28-:d:387111.

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2020Prefeasibility Study of Photovoltaic Power Potential Based on a Skew-Normal Distribution. (2020). Kim, Hyun-Goo ; Kang, Yong-Heack ; Jang, Gilsoo ; Sapotta, Benedikt. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:3:p:676-:d:316502.

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2019Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program. (2019). Goodwin, Barry K ; Ramsey, Ford A. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:65-:d:223072.

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2019Forecasting Realized Volatility Using a Nonnegative Semiparametric Model. (2019). Yu, Jun ; JunYu, ; Daniel, ; Eriksson, Anders. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:139-:d:262198.

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2020Mass Appraisal Modeling of Real Estate in Urban Centers by Geographically and Temporally Weighted Regression: A Case Study of Beijing’s Core Area. (2020). Yu, Huayi ; Li, Victor Jing ; Wang, Daikun. In: Land. RePEc:gam:jlands:v:9:y:2020:i:5:p:143-:d:355249.

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2020Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2020). Nikoli, Zoran ; Korn, Ralf ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:21-:d:323720.

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2019A Study of the Spatial Difference of the Soil Quality of The Mun River Basin during the Rainy Season. (2019). Liang, LI ; Zhao, Zhonghe ; Huang, Chong ; Yu, Fang ; Liu, Gaohuan ; Ma, Guoxia ; Wu, Chunsheng. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3423-:d:241845.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-628.

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2018The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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2019The Memory of Beta Factors. (2019). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Hollstein, Fabian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-661.

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2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence. (2020). Prokopczuk, Marcel ; Benno, Duc Binh ; Drager, Lena ; Sibbertsen, Philipp. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-667.

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2018A Very Uneven Playing Field: Economic Mobility in the United States. (2018). Mitnik, Pablo ; Grusky, David ; Bryant, Victoria. In: Working Papers. RePEc:hka:wpaper:2018-097.

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2018Unified Tests for a Dynamic Predictive Regression. (2018). Cai, Zongwu ; Peng, Liang ; Liu, Xiaohui ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201808.

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2018A New Test In A Predictive Regression with Structural Breaks. (2018). Chang, Seong Yeon ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201811.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails. (2020). Boubaker, Heni. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09897-9.

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2020Bayesian Inference of Local Projections with Roughness Penalty Priors. (2020). Tanaka, Masahiro. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09905-y.

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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald ; Martin, Gael M ; Nadarajah, Kanchana. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-7.

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2020Biases in Long-Horizon Predictive Regressions. (2020). Israel, Ronen ; Boudoukh, Jacob ; Richardson, Matthew P. In: NBER Working Papers. RePEc:nbr:nberwo:27410.

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2018Assessing spatial variation and heterogeneity of fertility in Greece at local authority level. (2018). Kalogirou, Stamatis ; Tsimbos, Cleon ; Tsimpanos, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:100406.

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2018Two Distinct Seasonally Fractionally Differenced Periodic Processes. (2018). BENSALMA, AHMED. In: MPRA Paper. RePEc:pra:mprapa:84969.

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2019Predicting the U.S. Stock Market Return: Evidence from the Improved Augmented Regression Method. (2019). Jurdi, Doureige ; Kim, Jae. In: MPRA Paper. RePEc:pra:mprapa:94028.

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2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:96272.

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2019Testing for Long-Range Dependence in Financial Time Series. (2019). Reschenhofer, Erhard ; Mangat, Manveer Kaur. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:11:y:2019:i:2:p:93-106.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2018Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks. (2018). O'Hara, Keith ; Doppelt, Ross. In: 2018 Meeting Papers. RePEc:red:sed018:1212.

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2018Commercial property values in a border metropolitan economy. (2018). Fullerton, Thomas ; Bujanda, Arturo. In: Asia-Pacific Journal of Regional Science. RePEc:spr:apjors:v:2:y:2018:i:2:d:10.1007_s41685-017-0065-x.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2020Does the price of crude oil help predict the conditional distribution of aggregate equity return?. (2020). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01643-2.

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2020Forecasting with supervised factor models. (2020). Umbach, Simon Lineu. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01745-x.

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2020Using local learning with fuzzy transform: application to short term forecasting problems. (2020). Gao, Jinwu ; Vaccaro, Alfredo ; Tomasiello, Stefania ; Loia, Vincenzo. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:19:y:2020:i:1:d:10.1007_s10700-019-09311-x.

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2017Impacts of transportation infrastructure on single-family property values. (2017). Fullerton, Thomas ; Bujanda, Arturo. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:51:p:5183-5199.

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2017Variable Selection in Kernel Regression Using Measurement Error Selection Likelihoods. (2017). White, Kyle R ; Wu, Yichao ; Stefanski, Leonard A. In: Journal of the American Statistical Association. RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1587-1597.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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Works by Clifford M. Hurvich:


YearTitleTypeCited
2007Long Memory in Nonlinear Processes In: Papers.
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paper3
2005Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend In: Journal of the American Statistical Association.
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article6
2006On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series In: Journal of the American Statistical Association.
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article6
2003Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association.
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article22
2010A Pure-Jump Transaction-Level Price Model Yielding Cointegration In: Journal of Business & Economic Statistics.
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article0
1998Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion In: Journal of the Royal Statistical Society Series B.
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article34
1990CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC In: Journal of Time Series Analysis.
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article0
1994ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” In: Journal of Time Series Analysis.
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article0
1998The mean squared error of Geweke and Porter‐Hudaks estimator of the memory parameter of a long‐memory time series In: Journal of Time Series Analysis.
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article8
1998Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis.
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article1
1999Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series In: Journal of Time Series Analysis.
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article5
2001Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models In: Journal of Time Series Analysis.
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article5
2001Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series In: Journal of Time Series Analysis.
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2009Computationally efficient methods for two multivariate fractionally integrated models In: Journal of Time Series Analysis.
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article14
2012The averaged periodogram estimator for a power law in coherency In: Journal of Time Series Analysis.
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article21
2017Drift in Transaction-Level Asset Price Models In: Journal of Time Series Analysis.
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article0
2012Drift in Transaction-Level Asset Price Models.(2012) In: Working Papers.
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2019The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility In: Journal of Time Series Analysis.
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2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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article71
2002TESTING FOR LONG MEMORY IN VOLATILITY In: Econometric Theory.
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article7
2009CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY In: Econometric Theory.
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article5
2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
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2014Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print.
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2004Predictive Regressions: A Reduced-Bias Estimation Method In: Journal of Financial and Quantitative Analysis.
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article102
2004Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics.
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2005Estimating Long Memory in Volatility In: Econometrica.
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article75
2004Estimating Long Memory in Volatility.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 75
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2008Corrigendum to Estimating Long Memory in Volatility In: Econometrica.
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article2
2003Estimating fractional cointegration in the presence of polynomial trends In: Journal of Econometrics.
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