C. Hurvich

发表

Regression and time series model selection in small samples

Clifford M. Hurvich, Chih-Ling Tsai, C. Hurvich, 1989 .

Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion

Clifford M. Hurvich, J. Simonoff, Chih-Ling Tsai, 1998 .

A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

Clifford M. Hurvich, Chih-Ling Tsai, C. Hurvich, 1993 .

Bias of the corrected AIC criterion for underfitted regression and time series models

Clifford M. Hurvich, Chih-Ling Tsai, C. Hurvich, 1991 .

Stochastic Volatility Models with Long Memory

C. Hurvich, P. Soulier, 2009 .

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

C. Hurvich, R. Deo, 2001, Econometric Theory.

The impact of model selection on inference in linear regression

Clifford M. Hurvich, Chih-Ling Tsai, C. Hurvich, 1990 .

Series expansions for the all-time maximum of α-stable random walks

C. Hurvich, J. Reed, Josh E. Reed, 2016, Advances in Applied Probability.

ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES

C. Hurvich, K. Beltrao, 1993 .

High Breakdown Methods of Time Series Analysis

C. Hurvich, Lawrence G. Tatum, 1993 .

An information-theoretic framework for robustness

Clifford M. Hurvich, C. Hurvich, S. Morgenthaler, 1991 .

Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models

Cheryl J. Flynn, Clifford M. Hurvich, J. Simonoff, 2013, 1302.2068.

The Local Whittle Estimator of Long Memory Stochastic Volatility

B. Ray, C. Hurvich, Clifford M. Hurvich, 2001 .

Forecasting and information sharing in supply chains under ARMA demand

Sridhar Seshadri, Avi Giloni, Clifford M. Hurvich, 2009 .

Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods

Clifford M. Hurvich, C. Hurvich, 1985 .

Improved estimators of Kullback-Leibler information for autoregressive model selection in small samples

Robert H. Shumway, Chih-Ling Tsai, Clifford M. Hurvich, 1990 .

A Frequency-Domain Median Time Series

S. Zeger, C. Hurvich, 1987 .

Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series

C. Hurvich, Clifford M. Hurvich, 1999 .

Long Memory in Nonlinear Processes

C. Hurvich, P. Soulier, R. Deo, 2007, 0706.1836.

Score tests for heteroscedasticity in wavelet regression

Chih-Ling Tsai, Z. Cai, C. Hurvich, 1998 .

A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation

Chih-Ling Tsai, Clifford M. Hurvich, Chih-Ling Tsai, 1998 .

LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS

A. Aue, C. Hurvich, L. Horváth, 2009, Econometric Theory.

Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

Philippe Soulier, Clifford M. Hurvich, Gabriel Lang, 2002 .

An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series

Clifford M. Hurvich, C. Hurvich, Willa W. Chen, 1998 .

Tracing the Source of Long Memory in Volatility

C. Hurvich, R. Deo, Mengchen Hsieh, 2005 .

On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series

C. Hurvich, Willa W. Chen, Yi Lu, 2004 .

CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY

Clifford M. Hurvich, C. Hurvich, P. Soulier, 2009, Econometric Theory.

Drift in Transaction‐Level Asset Price Models

C. Hurvich, P. Soulier, Wen Cao, 2012, 1211.5372.

Propagation of Memory Parameter from Durations to Counts

C. Hurvich, P. Soulier, R. Deo, 2005, math/0601742.

Model selection for least absolute deviations regression in small samples

Chih-Ling Tsai, Clifford M. Hurvich, Chih-Ling Tsai, 1990 .

Long memory in intertrade durations, counts and realized volatility of NYSE stocks

C. Hurvich, R. Deo, Mengchen Hsieh, 2010 .

Predictive regression with order-p autoregressive predictors

Yi Wang, Clifford M. Hurvich, Y. Amihud, 2010 .

On the Sensitivity of the Lasso to the Number of Predictor Variables

Cheryl J. Flynn, J. Simonoff, C. Hurvich, 2014, 1403.4544.

Propagation of Memory Parameter from Durations to Counts

C. Hurvich, P. Soulier, R. Deo, 2005, math/0601742.

Performance Bound for Myopic Order-Up-To Inventory Policies under Stationary Demand Processes

C. Hurvich, René A. Caldentey, Avi Giloni, 2022, SSRN Electronic Journal.

Modeling leverage and long memory in volatility in a pure‐jump process

C. Hurvich, P. Soulier, Mengchen Hsieh, 2019, High Frequency.

Multiple-Predictor Regressions: Hypothesis Testing

Yi Wang, Clifford M. Hurvich, Y. Amihud, 2009 .

ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES”

C. Hurvich, K. Beltrao, 1994 .

A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation

Clifford M. Hurvich, Zhihao Xu, C. Hurvich, 2021, 2108.06093.

Discussion: Deterioration of performance of the lasso with many predictors

Cheryl J. Flynn, J. Simonoff, C. Hurvich, 2016 .

Model selection for extended quasi-likelihood models in small samples.

Clifford M. Hurvich, Chih-Ling Tsai, C. Hurvich, 1995, Biometrics.

Predictive Regressions: A Reduced-Bias Estimation Method

Clifford M. Hurvich, Y. Amihud, C. Hurvich, 2002, Journal of Financial and Quantitative Analysis.

Autoregressive Model Selection in Small Samples Using a Bias-Corrected Version of AIC

Chih-Ling Tsai, Clifford M. Hurvich, Chih-Ling Tsai, 1994 .

Selection of Regression Models under Linear Restrictions for Fixed and Random Designs

J. Simonoff, C. Hurvich, Sen Tian, 2020, 2009.10029.

SELECTION OF A MULTISTEP LINEAR PREDICTOR FOR SHORT TIME SERIES

Chih-Ling Tsai, C. Hurvich, 1997 .

Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series

C. Hurvich, R. Deo, Clifford M. Hurvich, 1998 .

The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series

Rohit S. Deo, Clifford M. Hurvich, Julia Brodsky, 1998 .

Efficiency and Consistency for Regularization Parameter Selection in Penalized Regression: Asymptotics and Finite-Sample Corrections

Cheryl J. Flynn, J. Simonoff, C. Hurvich, 2011 .

Multistep Forecasting of Long Memory Series Using Fractional Exponential Models

Clifford M. Hurvich, C. Hurvich, Clifford M. Hurvich, 2002 .

The value of sharing disaggregated information in supply chains

Avi Giloni, Clifford Hurvich, Vladimir Kovtun, 2019, Eur. J. Oper. Res..

Forecasting realized volatility using a long-memory stochastic volatility model : estimation, prediction and seasonal adjustment

Yi Lu, Rohit S. Deo, Clifford M. Hurvich, 2006 .

A Pure-Jump Transaction-Level Price Model Yielding Cointegration

Clifford M. Hurvich, C. Hurvich, Yi Wang, 2009 .

Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes

C. Hurvich, P. Soulier, Mengchen Hsieh, 2022, 2202.00793.

A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation

C. Hurvich, Zhi-Huo Xu, 2021, Econometrics and Statistics.

Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models

Julia Brodsky, C. Hurvich, Clifford M. Hurvich, 1998 .

CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC

C. Hurvich, Kaizô I. Beltrato, 1990 .

Hypothesis Testing in Predictive Regressions

Y. Amihud, C. Hurvich, Yi Wang, 2004 .

Semiparametric Estimation of Fractional Cointegrating Subspaces

Clifford M. Hurvich, C. Hurvich, Willa W. Chen, 2004, 0708.0185.

Predictive Regression with Order-P Autoregressive Predictor

Y. Amihud, C. Hurvich, Yi Wang, 2009 .

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

Avi Giloni, Clifford M. Hurvich, Meng-Chen Hsieh, 2020 .

A mean squared error criterion for time series data windows

Clifford M. Hurvich, C. Hurvich, 1988 .

Automatic selection of a linear predictor through frequency domain cross-validation

C. Hurvich, 1987 .

Estimating Long Memory in Volatility

Philippe Soulier, E. Moulines, É. Moulines, 2002 .

A Frequency Domain Selection Criterion for Regression with Autocorrelated Errors

Scott L. Zeger, Clifford M. Hurvich, S. Zeger, 1990 .

AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES

Clifford M. Hurvich, C. Hurvich, K. Beltrao, 1994 .

Linear Trend with Fractionally Integrated Errors

Rohit S. Deo, Clifford M. Hurvich, C. Hurvich, 1998 .

Assessing the value of demand sharing in supply chains

Avi Giloni, Clifford M. Hurvich, Vladimir Kovtun, 2012 .

Estimation of Long Memory in Volatility

C. Hurvich, R. Deo, Rohit Deo, 2000 .

A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation

C. Hurvich, Zhi-Huo Xu, 2021, Econometrics and Statistics.

Relative rates of convergence for efficient model selection criteria in linear regression

Clifford M. Hurvich, C. Hurvich, Chin-Ling Tsai, 1995 .