Clifford M. Hurvich : Citation Profile


Are you Clifford M. Hurvich?

New York University (NYU) (50% share)

12

H index

13

i10 index

529

Citations

RESEARCH PRODUCTION:

26

Articles

13

Papers

RESEARCH ACTIVITY:

   24 years (1990 - 2014). See details.
   Cites by year: 22
   Journals where Clifford M. Hurvich has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 15 (2.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phu84
   Updated: 2019-09-14    RAS profile: 2015-10-29    
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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)

Perron, Pierre (17)

Sibbertsen, Philipp (17)

Krištoufek, Ladislav (17)

Proietti, Tommaso (11)

Kim, Jae (10)

Shimotsu, Katsumi (10)

Leschinski, Christian (10)

Bollerslev, Tim (10)

Darné, Olivier (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)

Phillips, Peter (5)

Renault, Eric (5)

Amihud, Yakov (4)

Main data


Where Clifford M. Hurvich has published?


Journals with more than one article published# docs
Econometric Theory4
Journal of Econometrics3
Journal of the American Statistical Association3
Stochastic Processes and their Applications2
Statistics & Probability Letters2
Econometrica2
Journal of Time Series Analysis2

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 (2018 and 2017)


YearTitle of citing document
2017Spikes and memory in (Nord Pool) electricity price spot prices. (2017). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar. In: CREATES Research Papers. RePEc:aah:create:2017-39.

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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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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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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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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2017Drift in Transaction-Level Asset Price Models. (2017). Perron, Pierre ; Soulier, Philippe ; Hurvich, Clifford ; Cao, Wen ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:769-790.

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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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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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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2017Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes. (2017). Iacone, Fabrizio ; Hualde, Javier. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:39-43.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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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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2017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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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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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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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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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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2017Out-of-sample equity premium predictability and sample split–invariant inference. (2017). Karapandza, Rasa ; Kolev, Gueorgui I. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:188-201.

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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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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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2017Time-varying return predictability in South Asian equity markets. (2017). Lee, Doo Won ; Lutfur, MD ; Shamsuddin, Abul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:179-200.

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2017Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.

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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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2017Characterizing Spatial Neighborhoods of Refugia Following Large Fires in Northern New Mexico USA. (2017). Haire, Sandra L ; Miller, Carol ; Coop, Jonathan D. In: Land. RePEc:gam:jlands:v:6:y:2017:i:1:p:19-:d:92363.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-599.

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2017The Memory of Volatility. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-601.

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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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). Rodrigues, Paulo ; Voges, Michelle ; Sibbertsen, Philipp. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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

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2017Text as Data. (2017). Gentzkow, Matthew ; Taddy, Matt ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:23276.

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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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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Demetrescu, Matei. 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). Doppelt, Ross ; O'Hara, Keith . In: 2018 Meeting Papers. RePEc:red:sed018:1212.

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2017Spikes and memory in (Nord Pool) electricity price spot prices. (2017). Proietti, Tommaso ; Knapik, Oskar ; Haldrup, Niels. In: CEIS Research Paper. RePEc:rtv:ceisrp:422.

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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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2017Stickiness of employee expenses and implications for stock returns. (2017). Taussig, Roi D. In: Eurasian Economic Review. RePEc:spr:eurase:v:7:y:2017:i:2:d:10.1007_s40822-017-0070-4.

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2017Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:1-2017.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:34.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). DUMITRU, ANA-MARIA ; Izzeldin, Marwan ; Hizmeri, Rodrigo. 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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article1
2009Computationally efficient methods for two multivariate fractionally integrated models In: Journal of Time Series Analysis.
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article12
2012The averaged periodogram estimator for a power law in coherency In: Journal of Time Series Analysis.
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article21
2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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article69
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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article6
2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
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article1
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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article96
2004Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics.
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This paper has another version. Agregated cites: 96
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2005Estimating Long Memory in Volatility In: Econometrica.
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article71
2004Estimating Long Memory in Volatility.(2004) In: Econometrics.
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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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article16
2006Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment In: Journal of Econometrics.
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article62
2005Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment.(2005) In: Econometrics.
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This paper has another version. Agregated cites: 62
paper
2007Asymptotics for duration-driven long range dependent processes In: Journal of Econometrics.
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article4
2004Asymptotics for Duration-Driven Long Range Dependent Processes.(2004) In: Econometrics.
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2010Predictive regression with order-p autoregressive predictors In: Journal of Empirical Finance.
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article11
2002Multistep forecasting of long memory series using fractional exponential models In: International Journal of Forecasting.
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article13
1994An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series In: Stochastic Processes and their Applications.
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article1
2002The FEXP estimator for potentially non-stationary linear time series In: Stochastic Processes and their Applications.
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article2
1996The impact of unsuspected serial correlations on model selection in linear regression In: Statistics & Probability Letters.
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article1
1990Model selection for least absolute deviations regression in small samples In: Statistics & Probability Letters.
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article8
2012Drift in Transaction-Level Asset Price Models In: Working Papers.
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paper0
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility In: Journal of Financial Econometrics.
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article38
2009Multiple-Predictor Regressions: Hypothesis Testing In: Review of Financial Studies.
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article29
2009A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects In: MPRA Paper.
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paper0
2006A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects.(2006) In: MPRA Paper.
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1991An information-theoretic framework for robustness In: Annals of the Institute of Statistical Mathematics.
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article1
2013Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models In: Journal of the American Statistical Association.
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article3
2004Semiparametric Estimation of Fractional Cointegrating Subspaces In: Econometrics.
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paper13
2005Tracing the Source of Long Memory in Volatility In: Econometrics.
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2005Propagation of Memory Parameter from Durations to Counts In: Econometrics.
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2004Hypothesis Testing in Predictive Regressions In: Finance.
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paper4

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