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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. 813-841

Persistent link: https://www.econbiz.de/10002494982

Predictive regressions : a reduced-bias estimation method

Amihud, Yakov; Hurvich, Clifford M. - 2002

Persistent link: https://www.econbiz.de/10001682386

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

Estimation of long memory in the presence of a smooth nonparametric trend

Hurvich, Clifford M.; Lang, Gabriel; Soulier, Philippe - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 853-871

Persistent link: https://www.econbiz.de/10003107722

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

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

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

Conditions for the propagation of memory parameter from durations to counts and realized volatilty

Deo, Rohit S.; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792

Persistent link: https://www.econbiz.de/10003864181

The propagation and identification of ARMA demand under simple exponential smoothing : forecasting expertise and information sharing

Hsieh, Meng-Chen; Giloni, Avi; Hurvich, Clifford M. - In: IMA journal of management mathematics 31 (2020) 3, pp. 307-344

Persistent link: https://www.econbiz.de/10012258685

Estimating Long Memory in Volatility

Hurvich, Clifford M. - 2009

We consider semiparametric estimation of the memory parameter in a modelwhich includes as special cases both the long-memory stochasticvolatility (LMSV) and fractionally integrated exponential GARCH(FIEGARCH) models. Under our general model the logarithms of the squaredreturns can be decomposed...

Persistent link: https://www.econbiz.de/10012765950