Clifford M. Hurvich : Citation Profile

New York University (NYU)

18

H index

22

i10 index

1396

Citations

RESEARCH PRODUCTION:

47

Articles

15

Papers

RESEARCH ACTIVITY:

   35 years (1990 - 2025). See details.
   Cites by year: 39
   Journals where Clifford M. Hurvich has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 24 (1.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phu84
   Updated: 2025-12-20    RAS profile: 2025-09-08    
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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 (47)

Nielsen, Morten (44)

Arteche, Josu (39)

Perron, Pierre (23)

Phillips, Peter (22)

Velasco, Carlos (21)

Rodrigues, Paulo (20)

Hassler, Uwe (18)

Henderson, Daniel (17)

Krištoufek, Ladislav (17)

Leschinski, Christian (15)

Cites to:

Deo, Rohit (18)

Bollerslev, Tim (15)

Velasco, Carlos (11)

Robinson, Peter (10)

Diebold, Francis (10)

Engle, Robert (9)

Andersen, Torben (8)

Stambaugh, Robert (8)

Amihud, Yakov (7)

Giraitis, Liudas (6)

Campbell, John (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
Stochastic Processes and their Applications3
Journal of Econometrics3
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 (2025 and 2024)

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

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Automatic Order, Bandwidth Selection and Flaws of Eigen Adjustment in HAC Estimation. (2025). Li, Zhuoxun ; Hurvich, Clifford M. In: Papers. RePEc:arx:papers:2509.23256.

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2025Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods. (2025). Blevins, Jason R. In: Papers. RePEc:arx:papers:2511.15689.

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2024Univariate Measures of Persistence: A Comparative Analysis. (2024). Orraca, Maria Jose ; Martinez-Ramirez, Francisco J ; Arango-Castillo, Lenin. In: Working Papers. RePEc:bdm:wpaper:2024-11.

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2024Local Whittle estimation with (quasi‐)analytic wavelets. (2024). Gannaz, Irne ; Achard, Sophie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:421-443.

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2024Political relations and trade: New evidence from Australia, China, and the United States. (2024). Saadaoui, Jamel ; Wu, Yanrui ; Cai, Yifei. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:71:y:2024:i:3:p:253-275.

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2024Testing Predictability in the Presence of Persistent Errors. (2024). Yu, Jun ; Lui, Yiu Lim ; Fei, Yijie. In: Working Papers. RePEc:boa:wpaper:202401.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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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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2024Product innovation in a supply chain with information asymmetry: Is more private information always worse?. (2024). Xu, Yue ; Shi, Jia ; 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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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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2024Local predictability of stock returns and cash flows. (2024). Chen, LI ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000203.

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2025A revisit to bias-adjusted predictive regression. (2025). Xu, Ke-Li. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001129.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2025A system of time-varying models for predictive regressions. (2025). Yan, Yayi ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000441.

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2024Novel and old news sentiment in commodity futures markets. (2024). El-Jahel, Lina ; Chi, Yeguang ; Vu, Thanh. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400714x.

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2025Predicting the equity premium around the globe: Comprehensive evidence from a large sample. (2025). Tharann, Bjrn ; Simen, Chardin Wese ; Hollstein, Fabian ; Prokopczuk, Marcel. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:208-228.

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2025Adaptively aggregated forecast for exponential family panel model. (2025). Shi, Yang ; Tang, Nian-Sheng ; Yu, Dalei. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:733-747.

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2025The return of return dominance: Decomposing the cross-section of prices. (2025). Myers, Sean ; Han, Xiao ; Delao, Ricardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:169:y:2025:i:c:s0304405x25000674.

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2025How the PBoC’s new MLF affects the yield curve. (2025). Jiang, Lunan ; El-Shagi, Makram. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000622.

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2024Spatiotemporal differentiation calendar for car and truck flow on expressways: A case study of Jiangsu, China. (2024). Lu, Yuqi ; Chen, YU ; Jin, Cheng. In: Journal of Transport Geography. RePEc:eee:jotrge:v:116:y:2024:i:c:s0966692324000565.

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2025Technical indicators and aggregate stock returns: An updated look. (2025). Shi, QI. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x25000027.

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2024Sustainability and high-level corruption in healthcare procurement: Profiles of Italian contracting authorities. (2024). Salvini, Niccolo ; Gnaldi, Michela ; del Sarto, Simone. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124001873.

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2024Heterogeneous impacts of the high-speed railway network on urban–rural income disparity: Spatiotemporal evidence from Yangtze River Delta of China. (2024). Xiao, YI ; Shi, Wenming ; Gu, Ruyue ; Jin, Mengjie ; Li, Kevin X. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:183:y:2024:i:c:s0965856424000983.

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2024Bootstrapping Long-Run Covariance of Stationary Functional Time Series. (2024). Shang, Han Lin. In: Forecasting. RePEc:gam:jforec:v:6:y:2024:i:1:p:8-151:d:1333779.

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2025Bayesian Tapered Narrowband Least Squares for Fractional Cointegration Testing in Panel Data. (2025). Alharbi, Nada Mohammedsaeed ; Rashash, Ali ; Olaniran, Saidat Fehintola ; Alzahrani, Asma Ahmad. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:10:p:1615-:d:1655783.

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2025Kernel Ridge-Type Shrinkage Estimators in Partially Linear Regression Models with Correlated Errors. (2025). Aydin, Dursun ; Yilmaz, Ersin ; Ahmed, Syed Ejaz. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1959-:d:1678771.

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2025Fast and Slow Level Shifts in Intraday Stochastic Volatility. (2025). , Igor ; Virbickait, Audron ; Hedibert, Freitas Lopes ; Nguyen, Hoang. In: Working Papers. RePEc:hhs:oruesi:2025_012.

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2024Multivariate Functional Clustering with Variable Selection and Application to Sensor Data from Engineering Systems. (2024). Yang, Qingyu ; Du, Pang ; Hong, Yili ; Min, Jie ; Jin, Zhongnan. In: INFORMS Joural on Data Science. RePEc:inm:orijds:v:3:y:2024:i:2:p:203-218.

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2024Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models. (2024). Newton, David P ; Huang, Winifred ; Xiao, Chuxuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:3:d:10.1007_s11156-024-01279-z.

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2025On random coefficient INAR processes with long memory. (2025). Beran, Jan ; Droullier, Frieder. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:109:y:2025:i:2:d:10.1007_s10182-025-00523-8.

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2025Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models. (2025). Nair, Gopalan ; Khan, Ramzan Nazim ; Mohd, Muhammad Jaffri ; Nur, Darfiana. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:7:d:10.1007_s00180-025-01642-1.

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2024A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis. (2024). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Gil-Alana, Luis ; Furuoka, Fumitaka ; Aruchunan, Elayaraja. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:6:d:10.1007_s00181-023-02540-5.

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2024The stability of government bond markets’ equilibrium and the interdependence of lending rates. (2024). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:6:d:10.1007_s00181-024-02623-x.

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2025Does the Kyoto Protocol have a structural impact on the environmental Kuznets curve? An application of the varying coefficient model. (2025). Chen, Wan-Jiun ; Wang, Chien-Ho ; Chu, Chi-Yang. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-024-02655-3.

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2025Nonstationary Functional Time Series Forecasting. (2025). Shang, Han Lin ; Yang, Yang. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1347-1362.

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2025The Variance Risk Premium Over Trading and Nontrading Periods. (2025). Dotsis, George ; Papagelis, Lucas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:752-770.

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Works by Clifford M. Hurvich:

YearTitleTypeCited
2007Long Memory in Nonlinear Processes In: Papers.
[Full Text][Citation analysis]		paper3
2023A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation In: Papers.
[Full Text][Citation analysis]		paper1
2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes In: Papers.
[Full Text][Citation analysis]		paper0
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]		article6
2003Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article28
2010A Pure-Jump Transaction-Level Price Model Yielding Cointegration In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
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]		article255
1990CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
1993A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article71
1993ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article7
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
1994AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article76
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]		article157
1998Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
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.
[Full Text][Citation analysis]		article37
2000An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
2001Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article24
2001Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
2009Computationally efficient methods for two multivariate fractionally integrated models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article21
2012The averaged periodogram estimator for a power law in coherency In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article26
2017Drift in Transaction-Level Asset Price Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2012Drift in Transaction-Level Asset Price Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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.
[Full Text][Citation analysis]		article0
2001ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article88
2002TESTING FOR LONG MEMORY IN VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article7
2009CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article9
2014LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article0
2014Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2004Predictive Regressions: A Reduced-Bias Estimation Method In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article150
2004Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 150		paper
2005Estimating Long Memory in Volatility In: Econometrica.
[Full Text][Citation analysis]		article86
2008Corrigendum to Estimating Long Memory in Volatility.(2008) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		article
2004Estimating Long Memory in Volatility.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2003Estimating fractional cointegration in the presence of polynomial trends In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2006Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment In: Journal of Econometrics.
[Full Text][Citation analysis]		article77
2005Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment.(2005) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2007Asymptotics for duration-driven long range dependent processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2004Asymptotics for Duration-Driven Long Range Dependent Processes.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019The value of sharing disaggregated information in supply chains In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2010Predictive regression with order-p autoregressive predictors In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
2002Multistep forecasting of long memory series using fractional exponential models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article15
2022Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article1
2002The FEXP estimator for potentially non-stationary linear time series In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article3
1996The impact of unsuspected serial correlations on model selection in linear regression In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
1990Model selection for least absolute deviations regression in small samples In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article9
2023Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model In: Stats.
[Full Text][Citation analysis]		article0
2025Information Design and Sharing in Supply Chains In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article52
2009A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2006A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects.(2006) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1991An information-theoretic framework for robustness In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]		article1
2013Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article20
2014Forecasting and information sharing in supply chains under ARMA demand In: IISE Transactions.
[Full Text][Citation analysis]		article4
2014Assessing the value of demand sharing in supply chains In: Naval Research Logistics (NRL).
[Full Text][Citation analysis]		article2
2004Semiparametric Estimation of Fractional Cointegrating Subspaces In: Econometrics.
[Full Text][Citation analysis]		paper13
2005Tracing the Source of Long Memory in Volatility In: Econometrics.
[Full Text][Citation analysis]		paper0
2005Propagation of Memory Parameter from Durations to Counts In: Econometrics.
[Full Text][Citation analysis]		paper0
2004Hypothesis Testing in Predictive Regressions In: Finance.
[Full Text][Citation analysis]		paper4

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