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Clifford M. Hurvich

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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 the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Clifford
Middle Name: M.
Last Name: Hurvich
Suffix:

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
Postal Address:
Phone:

Affiliation

(50%) Stern School of Business
New York University (NYU)
Location: New York City, New York (United States)
Homepage: http://www.stern.nyu.edu/
Email:
Phone: (212) 998-0100
Fax:
Postal: 44 West Fourth Street, New York, NY 10012
Handle: RePEc:edi:sternus (more details at EDIRC)
(50%) New York University Stern School of Business Statistics Group (New York University Stern School of Business Statistics Group)
Homepage: http://w4.stern.nyu.edu/ioms/index.cfm?doc_id=3537
Location: USA, New York New York

Works

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Working papers

  1. Alexander Aue & Lajos Horváth & Clifford Hurvich & Philippe Soulier, 2014. "Limit Laws in Transaction-Level Asset Price Models," Post-Print hal-00583372, HAL.
  2. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers hal-00756372, HAL.
  3. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
  4. 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.
  5. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, EconWPA.
  6. 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.
  7. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, EconWPA.
  8. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, EconWPA.
  9. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
  10. Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, EconWPA.
  11. Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, EconWPA.
  12. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA.

    RePEc:hal:wpaper:hal-00583372 is not listed on IDEAS

Articles

  1. Rebecca J. Sela & Clifford M. Hurvich, 2012. "The averaged periodogram estimator for a power law in coherency," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(2), pages 340-363, 03.
  2. Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi, 2010. "Predictive regression with order-p autoregressive predictors," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 513-525, June.
  3. Hurvich, Clifford M. & Wang, Yi, 2010. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 539-558.
  4. 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.
  5. Yakov Amihud & Clifford M. Hurvich & Yi Wang, 2009. "Multiple-Predictor Regressions: Hypothesis Testing," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 413-434, January.
  6. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, 07.
  13. 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.
  14. 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.
  15. 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.
  16. Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 445-470.
  17. Hurvich, Clifford M. & Soulier, Philippe, 2002. "Testing For Long Memory In Volatility," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1291-1308, December.
  18. Hurvich, Clifford M. & Moulines, Eric & Soulier, Philippe, 2002. "The FEXP estimator for potentially non-stationary linear time series," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 307-340, February.
  19. 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.
  20. 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.
  21. 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.
  22. Terrin, Norma & Hurvich, Clifford M., 1994. "An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series," Stochastic Processes and their Applications, Elsevier, vol. 54(2), pages 297-307, December.
  23. 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.
  24. 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.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (11) 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 2011-04-16. 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-FMK: Financial Markets (2) 2005-01-16 2005-01-16
  4. NEP-MST: Market Microstructure (4) 2007-01-14 2009-01-10 2011-04-16 2014-04-29. Author is listed

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