← All authors Clifford M. Hurvich New York University (from arXiv:2202.00793, 2022) · ORCID · OpenAlex
68 papers in scope · 67 published · 3 on the econ.EM arXiv · 11,228 citations · h-index 29 (over the papers listed here)
Papers (3 of 68)
Seasonal demand forecasting and incentivizing information sharing
published 2026 · Journal of the Operational Research Society
with Vladimir Kovtun, Avi Giloni
published 2025 · Econometrics and Statistics · first circulated 2022
working paper 2025 · arXiv
Pivot Clustering to Minimize Error in Forecasting Aggregated Demand Streams Each Following an Autoregressive Moving Average Model
published 2023 · Stats · 1 citations
with Vladimir Kovtun, Avi Giloni, Sridhar Seshadri
published 2023 · Econometrics and Statistics · first circulated 2021
Estimation of α , β and portfolio weights in a pure-jump model with long memory in volatility
published 2020 · Stochastic Processes and their Applications
with Yichen Zhang
The propagation and identification of ARMA demand under simple exponential smoothing: forecasting expertise and information sharing
published 2020 · IMA Journal of Management Mathematics · 20 citations
Modeling leverage and long memory in volatility in a pure‐jump process
published 2019 · High Frequency · 2 citations
The value of sharing disaggregated information in supply chains
published 2019 · European Journal of Operational Research · 18 citations
with Vladimir Kovtun, Avi Giloni
The Slow Convergence of Ordinary Least Squares Estimators of α , β and Portfolio Weights under Long‐Memory Stochastic Volatility
published 2019 · Journal of Time Series Analysis · 1 citations
with Jun Liu, Rohit Deo
Drift in Transaction‐Level Asset Price Models
published 2017 · Journal of Time Series Analysis · 6 citations · first circulated 2012
Discussion: Deterioration of performance of the lasso with many predictors
published 2016 · Statistical Modelling · 3 citations
with Cheryl Flynn, Jeffrey S. Simonoff
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
published 2013 · Econometric Theory
The averaged periodogram estimator for a power law in coherency
published 2012 · Journal of Time Series Analysis · 38 citations
with Rebecca J. Sela
Long memory in intertrade durations, counts and realized volatility of NYSE stocks
published 2010 · Journal of Statistical Planning and Inference · 50 citations
Predictive regression with order-p autoregressive predictors
published 2010 · Journal of Empirical Finance · 37 citations · first circulated 2009
with Yakov Amihud, Yi Wang
A Pure-Jump Transaction-Level Price Model Yielding Cointegration
published 2009 · Journal of Business and Economic Statistics · 5 citations · first circulated 2006
with Yi Wang
Computationally efficient methods for two multivariate fractionally integrated models
published 2009 · Journal of Time Series Analysis · 36 citations
with Rebecca J. Sela
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
published 2009 · Econometric Theory · 5 citations · first circulated 2006
Multiple-Predictor Regressions: Hypothesis Testing
published 2008 · Review of Financial Studies · 184 citations
with Yakov Amihud, Yi Wang, Yingli Wang
Estimating Long Memory in Volatility
published 2008 · Econometrica · 4 citations
Asymptotics for duration-driven long range dependent processes
published 2007 · Journal of Econometrics · 9 citations
Semiparametric estimation of fractional cointegrating subspaces
published 2006 · The Annals of Statistics · 10 citations
with Willa W. Chen
On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
published 2006 · Journal of the American Statistical Association · 6 citations
with Willa W. Chen, Yi Lü
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
published 2005 · Journal of the American Statistical Association · 24 citations · first circulated 2002
Estimating Long Memory in Volatility
published 2005 · Econometrica · 130 citations · first circulated 2004
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
published 2005 · Journal of Econometrics · 196 citations
with Rohit Deo, Yi Lu
Semiparametric Estimation of Multivariate Fractional Cointegration
published 2003 · Journal of the American Statistical Association · 42 citations
with Willa W. Chen
The Local Whittle Estimator of Long-Memory Stochastic Volatility
published 2003 · Journal of Financial Econometrics · 13 citations
Estimating fractional cointegration in the presence of polynomial trends
published 2003 · Journal of Econometrics · 8 citations
with Willa W. Chen
Predictive Regressions: A Reduced-Bias Estimation Method
published 2003 · Journal of Financial and Quantitative Analysis · 53 citations
with Yakov Amihud
TESTING FOR LONG MEMORY IN VOLATILITY
published 2002 · Econometric Theory · 1 citations
Multistep forecasting of long memory series using fractional exponential models
published 2002 · International Journal of Forecasting · 5 citations
The FEXP estimator for potentially non-stationary linear time series
published 2002 · Stochastic Processes and their Applications · 38 citations
Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
published 2001 · Journal of Time Series Analysis · 1 citations
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
published 2001 · Econometric Theory · 29 citations
with Rohit Deo
Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
published 2001 · Journal of Time Series Analysis · 2 citations
with Julia Brodsky
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series
published 2000 · Journal of Time Series Analysis · 4 citations
with Willa W. Chen
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
published 1999 · Journal of Time Series Analysis · 10 citations
with Rohit Deo
Multi-step forecasting for long-memory processes
published 1999 · Journal of Forecasting · 41 citations
with Julia Brodsky
A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation
published 1998 · Biometrika · 32 citations
Smoothing parameter selection in nonparametric regression using and improved Akaike information criterion
published 1998 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1265 citations
with Jeffrey S. Simonoff, Chih-Ling Tsai
Linear Trend with Fractionally Integrated Errors
published 1998 · Journal of Time Series Analysis · 35 citations
with Rohit Deo
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series
published 1998 · Journal of Time Series Analysis · 350 citations
with Rohit Deo, Julia Brodsky
The impact of unsuspected serial correlations on model selection in linear regression
published 1996 · Statistics & Probability Letters · 3 citations
with Chih-Ling Tsai
Model Selection for Extended Quasi-Likelihood Models in Small Samples
published 1995 · Biometrics · 307 citations
with Chih-Ling Tsai
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
published 1995 · Journal of Time Series Analysis · 176 citations
with Bonnie K. Ray
Relative rates of convergence for efficient model selection criteria in linear regression
published 1995 · Biometrika · 18 citations
with Chin-Ling Tsai, Chih-Ling Tsai
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
published 1994 · Stochastic Processes and their Applications · 16 citations
with Norma Terrin
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES
published 1994 · Journal of Time Series Analysis · 96 citations
with Kaizô Iwakami Beltrão
ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES”
published 1993 · Journal of Time Series Analysis · 147 citations
with Kaizô Iwakami Beltrão
High Breakdown Methods of Time Series Analysis
published 1993 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 34 citations
with Lawrence G. Tatum
A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
published 1993 · Journal of Time Series Analysis · 407 citations
with Chih-Ling Tsai
Bias of the Corrected | mathromAIC Criterion for Underfitted Regression and time Series Models
published 1991 · Biometrika · 7 citations
with Chih-Ling Tsai
VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES
published 1991 · Australian Journal of Statistics · 8 citations
with Jeffrey S. Simonoff, Scott L. Zeger
An information-theoretic framework for robustness
published 1991 · Annals of the Institute of Statistical Mathematics · 2 citations
with Stephan Morgenthaler
Bias of the corrected AIC criterion for underfitted regression and time series models
published 1991 · Biometrika · 293 citations
with Chih-Ling Tsai
A Frequency Domain Selection Criterion for Regression with Autocorrelated Errors
published 1990 · Journal of the American Statistical Association · 16 citations
with Scott L. Zeger
The Impact of Model Selection on Inference in Linear Regression
published 1990 · The American Statistician · 278 citations
with Chih-Ling Tsai
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
published 1990 · Journal of Time Series Analysis · 44 citations
with Kaizô I. Beltrato
Model selection for least absolute deviations regression in small samples
published 1990 · Statistics & Probability Letters · 64 citations
with Chih-Ling Tsai
Improved estimators of Kullback–Leibler information for autoregressive model selection in small samples
published 1990 · Biometrika · 88 citations
with Robert H. Shumway, Chih-Ling Tsai
Regression and time series model selection in small samples
published 1989 · Biometrika · 6399 citations
with Chih-Ling Tsai
A mean squared error criterion for time series data windows
published 1988 · Biometrika · 11 citations
A Frequency-Domain Median Time Series
published 1987 · Journal of the American Statistical Association · 1 citations
with Scott L. Zeger
Automatic selection of a linear predictor through frequency domain cross-validation
published 1987 · Communication in Statistics-Theory and Methods · 5 citations
Data-Dependent Spectral Windows: Generalizing the Classical Framework to Include Maximum Entropy Estimates
published 1986 · Technometrics · 9 citations
Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
published 1985 · Journal of the American Statistical Association · 85 citations
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