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Predictive Regressions: A Reduced-Bias Estimation Method
Amihud, Yakov; Hurvich, Clifford M. - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 4, pp. 813-842
Persistent link: https://www.econbiz.de/10006692506
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Multiple-Predictor Regressions: Hypothesis Testing
Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: The review of financial studies 22 (2013) 1, pp. 413-412
Persistent link: https://www.econbiz.de/10010113653
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Theory and Methods - Semiparametric Estimation of Multivariate Fractional Cointegration
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of the American Statistical Association : JASA 98 (2003) 463, pp. 629-642
Persistent link: https://www.econbiz.de/10006612041
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Theory and Methods - On The Correlation Matrix Of The Discrete Fourier Transform And The Fast Solution Of Large Toeplitz Systems For Long-Memory Time Series
Chen, Willa W.; Hurvich, Clifford M.; Lu, Yi - In: Journal of the American Statistical Association : JASA 101 (2006) 474, pp. 812-822
Persistent link: https://www.econbiz.de/10007268828
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Estimating Long Memory in Volatility
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 4, pp. 1283-1328
Persistent link: https://www.econbiz.de/10006752161
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CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10008257713
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Asymptotics for duration-driven long range dependent processes
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe - In: Journal of econometrics 141 (2007) 2, pp. 913-949
Persistent link: https://www.econbiz.de/10007859766
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TESTING FOR LONG MEMORY IN VOLATILITY
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10006972306
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Multistep forecasting of long memory series using fractional exponential models
Hurvich, Clifford M. - In: International journal of forecasting 18 (2002) 2, pp. 167-180
Persistent link: https://www.econbiz.de/10006974896
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ARTICLES - On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
Deo, Robit S.; Hurvich, Clifford M. - In: Econometric theory 17 (2001) 4, pp. 686-710
Persistent link: https://www.econbiz.de/10006978090