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Multiple-predictor regressions : hypothesis testing
Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: The review of financial studies 22 (2009) 1, pp. 413-434
Persistent link: https://www.econbiz.de/10003836279
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On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models
Deo, Rohit S.; Hurvich, Clifford M. - In: Econometric theory 17 (2001) 4, pp. 686-710
Persistent link: https://www.econbiz.de/10001606768
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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/10001716895
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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/10003013700
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A pure-jump transaction-level price model yielding cointegration
Hurvich, Clifford M.; Wang, Yi - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 4, pp. 539-558
Persistent link: https://www.econbiz.de/10008736141
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Limit laws in transaction-level asset price models
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford M.; … - In: Econometric theory 30 (2014) 3, pp. 536-579
Persistent link: https://www.econbiz.de/10010500888
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On the correlation matriox 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/10003334776
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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Deo, Rohit S.; Hurvich, Clifford M.; Lu, Yi - In: Journal of econometrics 131 (2006) 1/2, pp. 29-58
Persistent link: https://www.econbiz.de/10003298562
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Stochastic volatility models with long memory
Hurvich, Clifford M.; Soulier, Philippe - In: Handbook of financial time series, (pp. 345-354). 2009
Persistent link: https://www.econbiz.de/10003833970
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Fractional cointegration
Chen, Willa W.; Hurvich, Clifford M. - In: Handbook of financial time series, (pp. 709-726). 2009
Persistent link: https://www.econbiz.de/10003834216