Clifford M. Hurvich

发表

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

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

Assessing the value of demand sharing in supply chains

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

On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher-Hartwig Singularity

Yi Lu, Clifford M. Hurvich, 2005, SIAM J. Matrix Anal. Appl..

Multi‐step forecasting for long‐memory processes

Clifford M. Hurvich, Julia Brodsky, 1999 .

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

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

Mean Square over Degrees of Freedom: New Perspectives on a Model Selection Treasure

Clifford M. Hurvich, 1997 .

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

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

A mean squared error criterion for time series data windows

Clifford M. Hurvich, C. Hurvich, 1988 .

Multiple-Predictor Regressions: Hypothesis Testing

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

Model selection for least absolute deviations regression in small samples

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

Predictive regression with order-p autoregressive predictors

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

Linear Trend with Fractionally Integrated Errors

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

A Frequency Domain Selection Criterion for Regression with Autocorrelated Errors

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

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

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

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

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

The FEXP estimator for potentially non-stationary linear time series

Eric Moulines, Philippe Soulier, Clifford M. Hurvich, 2002 .

ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

Bonnie K. Ray, Clifford M. Hurvich, B. Ray, 1995 .

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

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

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

Clifford M. Hurvich, C. Hurvich, 1985 .

Forecasting and information sharing in supply chains under ARMA demand

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

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

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

Regression and time series model selection in small samples

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

The averaged periodogram estimator for a power law in coherency

Clifford M. Hurvich, Rebecca J. Sela, Clifford M. Hurvich, 2011 .

Estimating Fractional Cointegration in the Presence of Polynomial Trends

Clifford M. Hurvich, Willa W. Chen, 2002 .

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 .

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

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

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

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

The impact of model selection on inference in linear regression

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

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

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

On the use of information criteria for subset selection in least squares regression

Clifford M. Hurvich, J. Simonoff, Sen Tian, 2019, 1911.10191.

Multistep Forecasting of Long Memory Series Using Fractional Exponential Models

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

Semiparametric Estimation of Fractional Cointegrating Subspaces

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

A Pure-Jump Transaction-Level Price Model Yielding Cointegration

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

A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION

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

Predictive Regressions: A Reduced-Bias Estimation Method

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

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

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

An information-theoretic framework for robustness

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

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

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

The Local Whittle Estimator of Long Memory Stochastic Volatility

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

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

Cheryl J. Flynn, Clifford M. Hurvich, J. Simonoff, 2011 .