Clifford M. Hurvich : Citation Profile


Are you Clifford M. Hurvich?

New York University (NYU) (50% share)

17

H index

22

i10 index

1331

Citations

RESEARCH PRODUCTION:

44

Articles

15

Papers

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 40
   Journals where Clifford M. Hurvich has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 23 (1.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu84
   Updated: 2024-07-05    RAS profile: 2023-05-08    
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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 (46)

Nielsen, Morten (44)

Arteche, Josu (40)

Perron, Pierre (23)

Phillips, Peter (22)

Velasco, Carlos (21)

Rodrigues, Paulo (19)

Hassler, Uwe (18)

Krištoufek, Ladislav (17)

Henderson, Daniel (17)

Leschinski, Christian (15)

Cites to:

Deo, Rohit (17)

Bollerslev, Tim (15)

Velasco, Carlos (11)

Diebold, Francis (10)

Robinson, Peter (10)

Andersen, Torben (8)

Stambaugh, Robert (8)

Engle, Robert (8)

Amihud, Yakov (7)

Campbell, John (6)

Renault, Eric (6)

Main data


Where Clifford M. Hurvich has published?


Journals with more than one article published# docs
Journal of Time Series Analysis16
Econometric Theory4
Journal of the American Statistical Association3
Journal of Econometrics3
Stochastic Processes and their Applications2
Econometrica2
Statistics & Probability Letters2

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany7
Papers / arXiv.org3
MPRA Paper / University Library of Munich, Germany2

Recent works citing Clifford M. Hurvich (2024 and 2023)


YearTitle of citing document
2023Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2023Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2023Time-varying predictability of the long horizon equity premium based on semiparametric regressions. (2023). Li, Luyang ; Chen, LI ; Yu, Deshui. In: Economics Letters. RePEc:eee:ecolet:v:224:y:2023:i:c:s0165176523000587.

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2023Complete subset averaging approach for high-dimensional generalized linear models. (2023). Zhang, Jing ; Li, Haiqi ; Chen, Xingyi. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s016517652300109x.

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2023A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257.

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2023Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586.

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2023Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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2023Retailer inventory data sharing in a fresh product supply chain. (2023). Webster, Scott ; Wang, Yimin ; Oliva, Rogelio ; Ketzenberg, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:680-693.

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2024Product innovation in a supply chain with information asymmetry: Is more private information always worse?. (2024). Shi, Jia ; Xu, Yue ; Ni, Jian ; Li, Jiali. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:229-240.

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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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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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2023An accurate and fully-automated ensemble model for weekly time series forecasting. (2023). Montero-Manso, Pablo ; Webb, Geoffrey I ; Bergmeir, Christoph ; Godahewa, Rakshitha. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:641-658.

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2023Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244.

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2023Airports in the urban landscape: externalities, stigmatization and housing market. (2023). Guszak, Micha ; Fory, Iwona ; Cellmer, Radosaw ; Beej, Mirosaw. In: Land Use Policy. RePEc:eee:lauspo:v:126:y:2023:i:c:s0264837723000066.

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2023Uncovering the spatiotemporal impacts of built environment on traffic carbon emissions using multi-source big data. (2023). Zhang, Junyi ; Kuang, Haibo ; Li, Haijiang ; Feng, Tao ; Jia, Peng ; Wu, Jishi. In: Land Use Policy. RePEc:eee:lauspo:v:129:y:2023:i:c:s026483772300087x.

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2023Machine learning for US cross-industry return predictability under information uncertainty. (2023). Khlifi, Foued ; ben Lahouel, Bechir ; ben Zaied, Younes ; Awijen, Haithem. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000193.

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2023Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators. (2023). Gannaz, Irene. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:485-534.

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2023Empirical likelihood inference for monotone index model. (2023). Xu, Mengshan ; Takahata, Keisuke ; Otsu, Taisuke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118123.

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2023How the PBoC´s new MLF affects the yield curve. (2023). El-Shagi, Makram ; Jiang, Lunan. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:202301.

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2023.

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2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

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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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2023Clinical and genetic associations of deep learning-derived cardiac magnetic resonance-based left ventricular mass. (2023). Friedman, Samuel F ; Wang, Xin ; Hall, Amelia W ; Lubitz, Steven A ; Choi, Seung Hoan ; Ellinor, Patrick T ; Weng, Lu-Chen ; Philippakis, Anthony A ; Pirruccello, James P ; Lazarte, Julieta ; Batra, Puneet ; Khurshid, Shaan ; Aragam, Krishna G ; Biddinger, Kiran J ; Nauffal, Victor. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-37173-w.

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Dynamics of transposable element accumulation in the non-recombining regions of mating-type chromosomes in anther-smut fungi. (2023). Giraud, Tatiana ; Rodriguez, Ricardo C ; Hood, Michael E ; Duhamel, Marine. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-41413-4.

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2023Intraday Trades Profile Estimation: An Intensity Approach*. (2023). Sancetta, Alessio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:3:p:651-677..

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2023Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*. (2023). Clements, Adam ; Volkov, V ; Lindsay, K A ; Hurn, A S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790..

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2023Nonparametric inference for additive models estimated via simplified smooth backfitting. (2023). Chatla, Suneel Babu. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:1:d:10.1007_s10463-022-00840-8.

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2023Continuous-time state-space modelling of the hot hand in basketball. (2023). Otting, Marius ; Mews, Sina. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00410-y.

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2023Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series. (2023). Shang, Han Lin. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:3:d:10.1007_s10182-022-00463-7.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023The Willingness to get Vaccinated Against SARS-CoV-2 Virus among Southeast Asian Countries: Does the Vaccine Brand Matter?. (2023). Antriyandarti, Ernoiz ; Duong, An Hoai. In: Applied Research in Quality of Life. RePEc:spr:ariqol:v:18:y:2023:i:2:d:10.1007_s11482-022-10104-5.

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2023Predictors with measurement error in mixtures of polynomial regressions. (2023). Young, Derek S ; Chen, Andy W ; Fang, Xiaoqiong. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:1:d:10.1007_s00180-022-01232-5.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Political Relations and Trade: New Evidence from Australia, China and the United States.. (2023). Saadaoui, Jamel ; Wu, Yanrui ; Cai, Yifei. In: Working Papers of BETA. RePEc:ulp:sbbeta:2023-24.

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2023Long memory conditional random fields on regular lattices. (2023). Bhansali, R J ; Valentini, P ; Ippoliti, L ; Ferretti, Angela. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:5:n:e2817.

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2023Forecasting intraday financial time series with sieve bootstrapping and dynamic updating. (2023). Shang, Han Lin ; Ji, Kaiying. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:1973-1988.

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Works by Clifford M. Hurvich:


YearTitleTypeCited
2007Long Memory in Nonlinear Processes In: Papers.
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paper3
2023A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation In: Papers.
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paper0
2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes In: Papers.
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paper0
2005Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend In: Journal of the American Statistical Association.
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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.
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article7
2003Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association.
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article27
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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article235
1990CROSS?VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC In: Journal of Time Series Analysis.
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article1
1993A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION In: Journal of Time Series Analysis.
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article65
1993ASYMPTOTICS FOR THE LOW?FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG?MEMORY TIME SERIES In: Journal of Time Series Analysis.
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article6
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
1994AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG?MEMORY TIME SERIES In: Journal of Time Series Analysis.
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article6
1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES In: Journal of Time Series Analysis.
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article68
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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article154
1998Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis.
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article8
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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article37
2000An Efficient Taper for Potentially Overdifferenced Long?memory Time Series In: Journal of Time Series Analysis.
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article11
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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article23
2001Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series In: Journal of Time Series Analysis.
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article12
2009Computationally efficient methods for two multivariate fractionally integrated models In: Journal of Time Series Analysis.
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article21
2012The averaged periodogram estimator for a power law in coherency In: Journal of Time Series Analysis.
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article25
2017Drift in Transaction-Level Asset Price Models In: Journal of Time Series Analysis.
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article2
2012Drift in Transaction-Level Asset Price Models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2019The Slow Convergence of Ordinary Least Squares Estimators of ?, ? and Portfolio Weights under Long?Memory Stochastic Volatility In: Journal of Time Series Analysis.
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article0
2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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article87
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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article7
2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
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article0
2014Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 0
paper
2004Predictive Regressions: A Reduced-Bias Estimation Method In: Journal of Financial and Quantitative Analysis.
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article144
2004Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics.
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This paper has nother version. Agregated cites: 144
paper
2005Estimating Long Memory in Volatility In: Econometrica.
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article83
2004Estimating Long Memory in Volatility.(2004) In: Econometrics.
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This paper has nother version. Agregated cites: 83
paper
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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article19
2006Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment In: Journal of Econometrics.
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article74
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 nother version. Agregated cites: 74
paper
2007Asymptotics for duration-driven long range dependent processes In: Journal of Econometrics.
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article3
2004Asymptotics for Duration-Driven Long Range Dependent Processes.(2004) In: Econometrics.
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This paper has nother version. Agregated cites: 3
paper
2019The value of sharing disaggregated information in supply chains In: European Journal of Operational Research.
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article5
2010Predictive regression with order-p autoregressive predictors In: Journal of Empirical Finance.
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article21
2002Multistep forecasting of long memory series using fractional exponential models In: International Journal of Forecasting.
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article15
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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article3
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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article9
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility In: Journal of Financial Econometrics.
[Citation analysis]
article44
2009Multiple-Predictor Regressions: Hypothesis Testing In: The Review of Financial Studies.
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article49
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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This paper has nother version. Agregated cites: 0
paper
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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article14
2014Forecasting and information sharing in supply chains under ARMA demand In: IISE Transactions.
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article5
2014Assessing the value of demand sharing in supply chains In: Naval Research Logistics (NRL).
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article2
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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paper0
2005Propagation of Memory Parameter from Durations to Counts In: Econometrics.
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paper0
2004Hypothesis Testing in Predictive Regressions In: Finance.
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paper4

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