17
H index
22
i10 index
1347
Citations
Clifford M. Hurvich : Citation Profile
New York University (NYU) (50% share) | RESEARCH PRODUCTION: 45 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1990 - 2023). 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:
| Cites to:
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Main data
Where Clifford M. Hurvich has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Time Series Analysis | 16 |
| Econometric Theory | 4 |
| Stochastic Processes and their Applications | 3 |
| Journal of Econometrics | 3 |
| Journal of the American Statistical Association | 3 |
| Statistics & Probability Letters | 2 |
| Econometrica | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Econometrics / University Library of Munich, Germany | 7 |
| Papers / arXiv.org | 3 |
| MPRA Paper / University Library of Munich, Germany | 2 |
Recent works citing Clifford M. Hurvich (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 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 |
| 2024 | Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Political 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. Full description at Econpapers || Download paper |
| 2024 | Bootstrapping 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. 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 |
| 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 |
| 2024 | Sustainability 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. 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 |
| 2024 | . Full description at Econpapers || Download paper |
Works by Clifford M. Hurvich:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 6 |
| 2003 | Semiparametric Estimation of Multivariate Fractional Cointegration In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 28 |
| 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 | 237 |
| 1990 | CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 1993 | A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 67 |
| 1993 | 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] | article | 6 |
| 1994 | ACKNOWLEDGEMENT 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] | article | 0 |
| 1994 | AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 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 | The 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] | article | 156 |
| 1998 | Linear Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
| 1999 | Plug‐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] | article | 37 |
| 2000 | An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
| 2001 | Broadband 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] | article | 23 |
| 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 | 26 |
| 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 | |
| 2019 | The 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] | article | 0 |
| 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 | 147 |
| 2004 | Predictive Regressions: A Reduced-Bias Estimation Method.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 147 | paper | |
| 2005 | Estimating Long Memory in Volatility In: Econometrica. [Full Text][Citation analysis] | article | 85 |
| 2004 | Estimating Long Memory in Volatility.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 85 | 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 | 75 |
| 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: 75 | 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 |
| 2022 | Estimation 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] | article | 0 |
| 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 | 15 |
| 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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