Clifford M. Hurvich : Citation Profile

Are you Clifford M. Hurvich?

New York University (NYU) (50% share)

15

H index

19

i10 index

1135

Citations

RESEARCH PRODUCTION:

37

Articles

13

Papers

RESEARCH ACTIVITY:

   29 years (1990 - 2019). See details.
   Cites by year: 39
   Journals where Clifford M. Hurvich has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 18 (1.56 %)

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   Permalink: http://citec.repec.org/phu84
   Updated: 2023-03-25    RAS profile: 2020-06-29    
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Relations with other researchers

Works with:

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

Is cited by:

Sibbertsen, Philipp (40)

Nielsen, Morten (39)

Arteche, Josu (37)

Perron, Pierre (23)

Phillips, Peter (19)

Krištoufek, Ladislav (17)

Henderson, Daniel (17)

Rodrigues, Paulo (15)

Hassler, Uwe (15)

Bollerslev, Tim (13)

Darné, Olivier (12)

Cites to:

Deo, Rohit (16)

Bollerslev, Tim (13)

Velasco, Carlos (11)

Robinson, Peter (9)

Diebold, Francis (8)

Engle, Robert (7)

Andersen, Torben (7)

Stambaugh, Robert (6)

Phillips, Peter (5)

Amihud, Yakov (5)

Renault, Eric (5)

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 the American Statistical Association3
Journal of Econometrics3
Econometrica2
Stochastic Processes and their Applications2
Statistics & Probability Letters2

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 (2022 and 2021)

YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

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2022Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2021Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197.

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2022Skill, Scale, and Value Creation in the Mutual Fund Industry. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:601-638.

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2022Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681.

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2022Predictable Financial Crises. (2022). Sorensen, Jakob Ahm ; Shleifer, Andrei ; Hanson, Samuel G ; Greenwood, Robin. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:863-921.

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2022Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693.

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2021A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar. (2021). Engel, Charles ; Xiang, Nan ; Wang, Mengqi ; Kazakova, Ekaterina. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15872.

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2021Discrete Fourier Transforms of Fractional Processes with Econometric Applications. (2021). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2303.

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2022A generalized correlated Cp criterion for derivative estimation with dependent errors. (2022). Kong, Xiaoli ; Liu, Sisheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:171:y:2022:i:c:s0167947322000536.

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2022Sequential Bayesian bandwidth selection for multivariate kernel regression with applications. (2022). Zhang, Yonghui ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001055.

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2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2021Simple tests for stock return predictability with good size and power properties. (2021). Taylor, Robert ; Robert, A M ; Leybourne, Stephen J ; Harvey, David I. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:198-214.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2022Testing for episodic predictability in stock returns. (2022). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:85-113.

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2022Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

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2021Iterated conditional expectation algorithm on DAGs and regression graphs. (2021). Bolla, Marianna ; Baranyi, Mate. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:131-152.

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2021On the value of information sharing in the presence of information errors. (2021). Feng, Gengzhong ; Lu, Jizhou ; Lai, Kin Keung ; Shum, Stephen. In: European Journal of Operational Research. RePEc:eee:ejores:v:294:y:2021:i:3:p:1139-1152.

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2021Predictive regression with p-lags and order-q autoregressive predictors. (2021). Zhu, Min ; Wang, You-Gan ; Jayetileke, Harshanie L. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:282-293.

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2022Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260.

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2022Flight-to-safety and retail investor behavior. (2022). Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001090.

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2022Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study. (2022). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002095.

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2022The persistence of financial volatility after COVID-19. (2022). Vera-Valdes, Eduardo J. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001379.

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2021The pricing of the illiquidity factor’s conditional risk with time-varying premium. (2021). Noh, Joonki ; Amihud, Yakov. In: Journal of Financial Markets. RePEc:eee:finmar:v:56:y:2021:i:c:s1386418120300744.

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2022Pandemic-induced fear and stock market returns: Evidence from China. (2022). Fang, Tong ; Liu, Peng ; Su, Zhi. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000429.

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2022A reconsideration of the failure of uncovered interest parity for the U.S. dollar. (2022). Xiang, Nan ; Wang, Mengqi ; Kazakova, Katya ; Engel, Charles. In: Journal of International Economics. RePEc:eee:inecon:v:136:y:2022:i:c:s0022199622000344.

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2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2021Country governance and international equity returns. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Marshall, Ben R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s037842662030248x.

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2021Mutual fund flows and fluctuations in credit and business cycles. (2021). Goldstein, Itay ; Choi, Jaewon ; Ben-Rephael, Azi. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:84-108.

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2022Validity, tightness, and forecasting power of risk premium bounds. (2022). Kazempour, Seyed Mohammad ; Crotty, Kevin ; Back, Kerry. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:3:p:732-760.

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2022Biases in long-horizon predictive regressions. (2022). Richardson, Matthew ; Israel, Ronen ; Boudoukh, Jacob. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:3:p:937-969.

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2021Omnibus test for covariate effects in conditional copula models. (2021). Veraverbeke, Noel ; Omelka, Marek ; Gijbels, Irene. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000828.

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2022Optimal model averaging for multivariate regression models. (2022). Zou, Guohua ; He, Shuyuan ; Alan, ; Liao, Jun. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001366.

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2021Predictability in commodity markets: Evidence from more than a century. (2021). Simen, Chardin Wese ; Tharann, Bjorn ; Prokopczuk, Marcel ; Hollstein, Fabian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000052.

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2022Forecasting volatility in commodity markets with long-memory models. (2022). Nikitopoulos, Christina Sklibosios ; Alfeus, Mesias. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132200006x.

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2021Geographically weighted regression models of residential property transactions: Walkability and value uplift. (2021). Zolnik, Edmund. In: Journal of Transport Geography. RePEc:eee:jotrge:v:92:y:2021:i:c:s096669232100082x.

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2022A modelling approach with geographically weighted regression methods for determining geographic variation and influencing factors in housing price: A case in Istanbul. (2022). Aydinoglu, A C ; Sisman, S. In: Land Use Policy. RePEc:eee:lauspo:v:119:y:2022:i:c:s0264837722002101.

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2022Predicting the Australian equity risk premium. (2022). Jurdi, Doureige J. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21001906.

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2021Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets. (2021). Umeno, Ken ; Kakinaka, Shinji. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:581:y:2021:i:c:s0378437121005100.

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2022Testing stationarity of the detrended price return in stock markets. (2022). Alonso-Marroquin, Fernando ; Tang, Yaoyue ; Harre, Michael S ; Najafi, Morteza N ; Arias-Calluari, Karina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007603.

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2021Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices. (2021). Rakovská, Zuzana ; Rakovska, Zuzana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:473-495.

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2022Estimation of ?, ? and portfolio weights in a pure-jump model with long memory in volatility. (2022). Zhang, Yichen ; Hurvich, Clifford M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:972-994.

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2022Transformed Regression-based Long-Horizon Predictability Tests. (2021). Rodrigues, Paulo ; Demetrescu, Matei ; Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30620.

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2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289.

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2021Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830.

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2021Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:39-:d:660147.

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2021.

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2021.

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2021Soil-Quality Assessment during the Dry Season in the Mun River Basin Thailand. (2021). Zhao, Zhonghe ; Dai, Erfu ; Wu, Chunsheng ; Liu, Gaohuan ; Wang, Youxiao. In: Land. RePEc:gam:jlands:v:10:y:2021:i:1:p:61-:d:478896.

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2022.

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2022Toward Sustainability: Dynamics of Total Carbon Dioxide Emissions, Aggregate Income, Non-Renewable Energy, and Renewable Power. (2022). Chen, Wan-Jiun. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:5:p:2712-:d:758948.

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2021Skill, scale, and value creation in the mutual fund industry. (2021). Gagliardini, Patrick ; Scaillet, Olivier ; Barras, Laurent. In: Working Papers. RePEc:gnv:wpgsem:unige:150822.

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2022Stock Return Predictability: Evaluation based on interval forecasts. (2022). Darne, Olivier ; Kim, Jae ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03656310.

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2022Estimation and Testing in a Perturbed Multivariate Long Memory Framework. (2022). Sibbertsen, Philipp ; Less, Vivien. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-704.

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2021Regularized Conditional Estimators of Unit Inefficiency in Stochastic Frontier Analysis, with Application to Electricity Distribution Market. (2021). Söderberg, Magnus ; Soderberg, Magnus ; Sjolander, Par ; Mnsson, Kristofer ; Zeebari, Zangin. In: Ratio Working Papers. RePEc:hhs:ratioi:0345.

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2021A New Test for Multiple Predictive Regression. (2021). Guo, Junjie ; Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022001.

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2021R-Squared-Bootstrapping for Gegenbauer-Type Long Memory. (2021). Woodward, Wayne A ; Xing, Yixun. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09977-1.

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2023Regularized conditional estimators of unit inefficiency in stochastic frontier analysis, with application to electricity distribution market. (2023). Soderberg, Magnus ; Sjolander, Par ; Mnsson, Kristofer ; Zeebari, Zangin. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:59:y:2023:i:1:d:10.1007_s11123-022-00651-2.

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2021A Panel Regression Approach to Holdings-Based Fund Performance Measures. (2021). Wang, Junbo L ; Ferson, Wayne. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:4:p:695-734..

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2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Working Papers. RePEc:ptu:wpaper:w202102.

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2022Determinants of short-term rental prices in the sharing economy: The case of Airbnb in Moscow. (2022). Polbin, Andrey ; Bobrovskaya, Ekaterina. In: Applied Econometrics. RePEc:ris:apltrx:0436.

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2021Spatial econometric approach to the EU regional employment process. (2021). Chocholata, Michaela ; Furkova, Andrea. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-020-00714-5.

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2021Fast computation and practical use of amplitudes at non-Fourier frequencies. (2021). Mangat, Manveer K ; Reschenhofer, Erhard. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:3:d:10.1007_s00180-020-01061-4.

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2021A new algorithm for fitting semi-parametric variance regression models. (2021). Marschner, Ian C ; Robledo, Kristy P. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:4:d:10.1007_s00180-021-01067-6.

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2021Semiparametric modeling of the right-censored time-series based on different censorship solution techniques. (2021). Yilmaz, Ersin ; Aydin, Dursun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:4:d:10.1007_s00181-020-01944-x.

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2022Quantile spectral analysis of long-memory processes. (2022). Lim, Yaeji ; Oh, Hee-Seok. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02045-z.

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2022True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods. (2022). Mokni, Khaled ; Gil-Alana, Luis Alberiko ; Assaf, Ata. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02165-6.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Shen, Dehua ; Yan, Kai ; Zhang, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2022Corporate managers, price noise and the investment factor. (2022). Lehnert, Thorsten. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00365-2.

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2021Empirical foundation of valence using Aldrich–McKelvey scaling. (2021). GOURET, Fabian. In: Review of Economic Design. RePEc:spr:reecde:v:25:y:2021:i:3:d:10.1007_s10058-021-00243-w.

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2021Brazilian stock market bubble in the 2010s. (2021). Laurini, Márcio ; Chaim, Pedro. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:1:d:10.1007_s43546-020-00005-w.

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2021A comparison of semiparametric tests for fractional cointegration. (2021). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:4:d:10.1007_s00362-020-01169-1.

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2021Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing. (2021). Xia, Xiaochao. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:6:d:10.1007_s00362-020-01218-9.

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2022Estimation methods for stationary Gegenbauer processes. (2022). Hunt, Richard ; Weber, Neville ; Peiris, Shelton. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:6:d:10.1007_s00362-022-01290-3.

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2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

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2021Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910.

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2022Singular spectrum analysis for value at risk in stochastic volatility models. (2022). Arteche, Josu ; Garciaenriquez, Javier. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:3-16.

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Works by Clifford M. Hurvich:

YearTitleTypeCited
2007Long Memory in Nonlinear Processes In: Papers.
[Full Text][Citation analysis]		paper3
2005Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
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.
[Full Text][Citation analysis]		article7
2003Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article27
2010A Pure-Jump Transaction-Level Price Model Yielding Cointegration In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
1998Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article222
1990CROSS?VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article153
1998Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
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