15
H index
18
i10 index
1099
Citations
New York University (NYU) (50% share) | 15 H index 18 i10 index 1099 Citations RESEARCH PRODUCTION: 35 Articles 15 Papers RESEARCH ACTIVITY: 33 years (1990 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/phu84 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Time Series Analysis | 7 |
Econometric Theory | 4 |
Journal of Econometrics | 3 |
Journal of the American Statistical Association | 3 |
Econometrica | 2 |
Statistics & Probability Letters | 2 |
Stochastic Processes and their Applications | 2 |
Working Papers Series with more than one paper published | # docs |
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Econometrics / University Library of Munich, Germany | 7 |
Papers / arXiv.org | 3 |
MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document | |
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2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper | |
2024 | Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926. Full description at Econpapers || Download paper | |
2023 | Seemingly 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Time-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. Full description at Econpapers || Download paper | |
2023 | Complete 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | We 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. Full description at Econpapers || Download paper | |
2023 | Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257. Full description at Econpapers || Download paper | |
2023 | Extensions 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. Full description at Econpapers || Download paper | |
2023 | Transformed 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. Full description at Econpapers || Download paper | |
2023 | Retailer 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. Full description at Econpapers || Download paper | |
2024 | Product 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. Full description at Econpapers || Download paper | |
2023 | Cross-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. Full description at Econpapers || Download paper | |
2023 | Stock 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. Full description at Econpapers || Download paper | |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | An 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. Full description at Econpapers || Download paper | |
2023 | Asset 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. Full description at Econpapers || Download paper | |
2023 | Airports 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. Full description at Econpapers || Download paper | |
2023 | Uncovering 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. Full description at Econpapers || Download paper | |
2023 | Machine 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. Full description at Econpapers || Download paper | |
2024 | Heterogeneous impacts of the high-speed railway network on urban–rural income disparity: Spatiotemporal evidence from Yangtze River Delta of China. (2024). Shi, Wenming ; Li, Kevin X ; Gu, Ruyue ; Jin, Mengjie ; Xiao, YI. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:183:y:2024:i:c:s0965856424000983. Full description at Econpapers || Download paper | |
2023 | Empirical likelihood inference for monotone index model. (2023). Xu, Mengshan ; Takahata, Keisuke ; Otsu, Taisuke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118123. Full description at Econpapers || Download paper | |
2023 | How the PBoC´s new MLF affects the yield curve. (2023). El-Shagi, Makram ; Jiang, Lunan. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:202301. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | We modeled long memory with just one lag!. (2023). Laurent, Sebastien ; Chevillon, Guillaume ; Bauwens, Luc. In: Post-Print. RePEc:hal:journl:hal-04185755. Full description at Econpapers || Download paper | |
2023 | Volatility 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. Full description at Econpapers || Download paper | |
2023 | Regularized 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. Full description at Econpapers || Download paper | |
2023 | Clinical 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. Full description at Econpapers || Download 2023 | 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. Full description at Econpapers || Download paper |
2023 | Intraday 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.. Full description at Econpapers || Download paper | |
2023 | Estimating 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.. Full description at Econpapers || Download paper | |
2023 | Nonparametric 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. Full description at Econpapers || Download paper | |
2023 | Continuous-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. Full description at Econpapers || Download paper | |
2023 | Sieve 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. Full description at Econpapers || Download paper | |
2023 | Long 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Predictors 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. Full description at Econpapers || Download paper | |
2023 | Review 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. Full description at Econpapers || Download paper | |
2023 | Political 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. Full description at Econpapers || Download paper | |
2023 | Long 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. Full description at Econpapers || Download paper | |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2007 | Long Memory in Nonlinear Processes In: Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
2005 | Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 7 |
2006 | On 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] | article | 7 |
2003 | Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 27 |
2010 | A Pure-Jump Transaction-Level Price Model Yielding Cointegration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
1998 | Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 236 |
1993 | A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 65 |
1995 | ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 68 |
1998 | Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
2001 | Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
2009 | Computationally efficient methods for two multivariate fractionally integrated models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 21 |
2012 | The averaged periodogram estimator for a power law in coherency In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 25 |
2017 | Drift in Transaction-Level Asset Price Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
2012 | Drift in Transaction-Level Asset Price Models.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2001 | ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 88 |
2002 | TESTING FOR LONG MEMORY IN VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
2009 | CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
2014 | LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2014 | Limit Laws in Transaction-Level Asset Price Models.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2004 | Predictive Regressions: A Reduced-Bias Estimation Method In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 146 |
2004 | Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 146 | paper | |
2005 | Estimating Long Memory in Volatility In: Econometrica. [Full Text][Citation analysis] | article | 84 |
2004 | Estimating Long Memory in Volatility.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
2008 | Corrigendum to Estimating Long Memory in Volatility In: Econometrica. [Full Text][Citation analysis] | article | 2 |
2003 | Estimating fractional cointegration in the presence of polynomial trends In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2006 | Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 74 |
2005 | Forecasting 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: 74 | paper | |
2007 | Asymptotics for duration-driven long range dependent processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2004 | Asymptotics for Duration-Driven Long Range Dependent Processes.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2019 | The value of sharing disaggregated information in supply chains In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
2010 | Predictive regression with order-p autoregressive predictors In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 21 |
2002 | Multistep forecasting of long memory series using fractional exponential models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 15 |
1994 | An 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] | article | 1 |
2002 | The FEXP estimator for potentially non-stationary linear time series In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 3 |
1996 | The impact of unsuspected serial correlations on model selection in linear regression In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 1 |
1990 | Model selection for least absolute deviations regression in small samples In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 9 |
2003 | The Local Whittle Estimator of Long-Memory Stochastic Volatility In: Journal of Financial Econometrics. [Citation analysis] | article | 44 |
2009 | Multiple-Predictor Regressions: Hypothesis Testing In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 49 |
2009 | A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2006 | A 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 | |
1991 | An information-theoretic framework for robustness In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] | article | 1 |
2013 | Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 14 |
2014 | Forecasting and information sharing in supply chains under ARMA demand In: IISE Transactions. [Full Text][Citation analysis] | article | 5 |
2014 | Assessing the value of demand sharing in supply chains In: Naval Research Logistics (NRL). [Full Text][Citation analysis] | article | 2 |
2004 | Semiparametric Estimation of Fractional Cointegrating Subspaces In: Econometrics. [Full Text][Citation analysis] | paper | 13 |
2005 | Tracing the Source of Long Memory in Volatility In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
2005 | Propagation of Memory Parameter from Durations to Counts In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
2004 | Hypothesis Testing in Predictive Regressions In: Finance. [Full Text][Citation analysis] | paper | 4 |
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