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Information about:
Clifford M. Hurvich

Personal Details | Affiliation | Works
This is information that was supplied by Clifford Hurvich in registering through RePEc. If you are Clifford M. Hurvich , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Clifford
Middle Name: M.
Last Name: Hurvich
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RePEc Short-ID: phu84

Email: [This author has chosen not to make the email address public]
Homepage: http://www.stern.nyu.edu/ioms/FACULTY/hurvich.html
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Quantitative Finance Papers 0706.1836, arXiv.org. [Downloadable!]

  2. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  3. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, EconWPA. [Downloadable!]

  4. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, EconWPA. [Downloadable!]

  5. Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, EconWPA. [Downloadable!]
    Published as:

  6. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA. [Downloadable!]

  7. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA. [Downloadable!]
    Published as:

  8. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, EconWPA. [Downloadable!]
    Published as:

  9. Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, EconWPA. [Downloadable!]
    Published as:

  10. Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, EconWPA. [Downloadable!]

Articles

  1. Yakov Amihud & Clifford M. Hurvich & Yi Wang, 2009. "Multiple-Predictor Regressions: Hypothesis Testing," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(1), pages 413-434, January. [Downloadable!] (restricted)

  2. Deo, Rohit & Hurvich, Clifford M. & Soulier, Philippe & Wang, Yi, 2009. "Conditions For The Propagation Of Memory Parameter From Durations To Counts And Realized Volatility," Econometric Theory, Cambridge University Press, vol. 25(03), pages 764-792, June. [Downloadable!]

  3. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2008. "Corrigendum to "Estimating Long Memory in Volatility"," Econometrica, Econometric Society, vol. 76(3), pages 661-662, 05. [Downloadable!] (restricted)

  4. Hsieh, Meng-Chen & Hurvich, Clifford M. & Soulier, Philippe, 2007. "Asymptotics for duration-driven long range dependent processes," Journal of Econometrics, Elsevier, vol. 141(2), pages 913-949, December. [Downloadable!] (restricted)
    Other versions:

  5. Deo, Rohit & Hurvich, Clifford & Lu, Yi, 2006. "Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 29-58. [Downloadable!] (restricted)
    Other versions:

  6. Chen, Willa W. & Hurvich, Clifford M. & Lu, Yi, 2006. "On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 812-822, June. [Downloadable!] (restricted)

  7. Hurvich, Clifford & Lang, Gabriel & Soulier, Philippe, 2005. "Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 853-871, September. [Downloadable!] (restricted)

  8. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, 07. [Downloadable!] (restricted)
    Other versions:

  9. Amihud, Yakov & Hurvich, Clifford M., 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 813-841, December. [Downloadable!]
    Other versions:

  10. Chen, Willa W. & Hurvich, Clifford M., 2003. "Estimating fractional cointegration in the presence of polynomial trends," Journal of Econometrics, Elsevier, vol. 117(1), pages 95-121, November. [Downloadable!] (restricted)

  11. Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 445-470.

  12. Chen, Willa W. & Hurvich, Clifford M., 2003. "Semiparametric Estimation of Multivariate Fractional Cointegration," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 629-642, January. [Downloadable!] (restricted)

  13. Hurvich, Clifford M. & Soulier, Philippe, 2002. "Testing For Long Memory In Volatility," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1291-1308, December. [Downloadable!]

  14. Hurvich, Clifford M., 2002. "Multistep forecasting of long memory series using fractional exponential models," International Journal of Forecasting, Elsevier, vol. 18(2), pages 167-179. [Downloadable!] (restricted)

  15. Deo, Rohit S. & Hurvich, Clifford M., 2001. "On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 17(04), pages 686-710, August. [Downloadable!]

  16. Hurvich, Clifford M. & Tsai, Chih-Ling, 1996. "The impact of unsuspected serial correlations on model selection in linear regression," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 115-126, April. [Downloadable!] (restricted)

  17. Stephan Morgenthaler & Clifford Hurvich, 1991. "An information-theoretic framework for robustness," Annals of the Institute of Statistical Mathematics, Springer, vol. 43(1), pages 131-146, March. [Downloadable!] (restricted)

  18. Hurvich, Clifford M. & Tsai, Chih-Ling, 1990. "Model selection for least absolute deviations regression in small samples," Statistics & Probability Letters, Elsevier, vol. 9(3), pages 259-265, March. [Downloadable!] (restricted)

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (10) 2004-12-20 2004-12-20 2004-12-20 2004-12-20 2004-12-20 2005-01-16 2005-01-16 2005-11-12 2007-01-14 2009-01-10 Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2004-12-20 2004-12-20 2004-12-20 2004-12-20 2004-12-20 2005-01-16 2005-01-16 2005-11-12 Author is listed
  3. NEP-FIN: Finance (8) 2004-12-20 2004-12-20 2004-12-20 2004-12-22 2004-12-22 2004-12-22 2005-01-16 2005-01-16 Author is listed
  4. NEP-FMK: Financial Markets (2) 2005-01-16 2005-01-16
  5. NEP-MST: Market Microstructure (2) 2007-01-14 2009-01-10
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This page was last updated on 2009-11-1.

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