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Clifford M. Hurvich

Personal Details

First Name:Clifford
Middle Name:M.
Last Name:Hurvich
Suffix:
RePEc Short-ID:phu84
[This author has chosen not to make the email address public]
http://www.stern.nyu.edu/ioms/FACULTY/hurvich.html
Terminal Degree:1985 Department of Economics; Princeton University (from RePEc Genealogy)

Affiliation

(50%) Stern School of Business
New York University (NYU)

New York City, New York (United States)
http://www.stern.nyu.edu/

(212) 998-0100

44 West Fourth Street, New York, NY 10012
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)

http://w4.stern.nyu.edu/ioms/index.cfm?doc_id=3537
USA, New York New York

Research output

as
Jump to: Working papers Articles

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 Transaction-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, University Library of Munich, Germany.
  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, University Library of Munich, Germany.
  7. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, University Library of Munich, Germany.
  8. Yakov Amihud & Clifford Hurvich, 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Econometrics 0412008, University Library of Munich, Germany.
  9. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, University Library of Munich, Germany.
  10. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, University Library of Munich, Germany.
  11. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, University Library of Munich, Germany.
  12. Yakov Amihud & Clifford Hurvich & Yi Wang, 2004. "Hypothesis Testing in Predictive Regressions," Finance 0412022, University Library of Munich, Germany.

Articles

  1. Jun Liu & Rohit Deo & Clifford Hurvich, 2019. "The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 590-608, July.
  2. Pierre Perron & Eduardo Zorita & Wen Cao & Clifford Hurvich & Philippe Soulier, 2017. "Drift in Transaction-Level Asset Price Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 769-790, September.
  3. Aue, Alexander & Horváth, Lajos & Hurvich, Clifford & Soulier, Philippe, 2014. "Limit Laws In Transaction-Level Asset Price Models," Econometric Theory, Cambridge University Press, vol. 30(3), pages 536-579, June.
  4. Avi Giloni & Clifford Hurvich & Sridhar Seshadri, 2014. "Forecasting and information sharing in supply chains under ARMA demand," IISE Transactions, Taylor & Francis Journals, vol. 46(1), pages 35-54.
  5. Cheryl J. Flynn & Clifford M. Hurvich & Jeffrey S. Simonoff, 2013. "Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 1031-1043, September.
  6. 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, March.
  7. 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.
  8. 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.
  9. 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.
  10. 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(3), pages 764-792, June.
  11. 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.
  12. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2008. "Corrigendum to "Estimating Long Memory in Volatility"," Econometrica, Econometric Society, vol. 76(3), pages 661-662, May.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
  18. Amihud, Yakov & Hurvich, Clifford M., 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 813-841, December.
  19. 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.
  20. 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.
  21. 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.
  22. Hurvich, Clifford M. & Soulier, Philippe, 2002. "Testing For Long Memory In Volatility," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1291-1308, December.
  23. 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.
  24. 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.
  25. Clifford M. Hurvich & Julia Brodsky, 2001. "Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(2), pages 221-249, March.
  26. 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(4), pages 686-710, August.
  27. Clifford M. Hurvich, 2001. "Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 679-709, November.
  28. Clifford M. Hurvich & Rohit S. Deo, 1999. "Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(3), pages 331-341, May.
  29. Clifford M. Hurvich & Jeffrey S. Simonoff & Chih‐Ling Tsai, 1998. "Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 271-293.
  30. Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
  31. Rohit S. Deo & Clifford M. Hurvich, 1998. "Linear Trend with Fractionally Integrated Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 379-397, July.
  32. 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.
  33. 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.
  34. Clifford M. Hurvich & Kaizo I. Beltrao, 1994. "Acknowledgement Of Priority For “Asymptotics For The Low‐Frequency Ordinates Of The Periodogram Of A Long‐Memory Time Series”," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(1), pages 64-64, January.
  35. Stephan Morgenthaler & Clifford Hurvich, 1991. "An information-theoretic framework for robustness," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(1), pages 131-146, March.
  36. Clifford M. Hurvich & Kaizô I. Beltrato, 1990. "Cross‐Validatory Choice Of A Spectrum Estimate And Its Connections With Aic," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(2), pages 121-137, March.
  37. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages
  2. Number of Journal Pages, Weighted by Simple Impact Factor
  3. Number of Journal Pages, Weighted by Recursive Impact Factor
  4. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  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-MST: Market Microstructure (3) 2007-01-14 2009-01-10 2014-04-29
  4. NEP-FMK: Financial Markets (2) 2005-01-16 2005-01-16

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