Browsing by Author Hurvich, Clifford M.

Showing results 1 to 20 of 30

Issue Date	Title	Author(s)
29-Aug-2003	Asymptotics for Duration-Driven Long Range Dependent Processes	Hsieh, Mengchen; Hurvich, Clifford M.; Souliery, Philippe
27-Sep-2011	The Averaged Periodogram Estimator for a Power Law in Coherency	Sela, Rebecca J.; Hurvich, Clifford M.
Oct-1998	BROADBAND SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES USING FRACTIONAL EXPONENTIAL MODELS	Hurvich, Clifford M.; Brodsky, Julia
13-Oct-2008	Computationally Efficient Gaussian Maximum Likelihood Methods for Vector ARFIMA Models	Sela, Rebecca J.; Hurvich, Clifford M.
16-May-2007	Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility	Deo, Rohit; Soulier, Philippe; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi
2-Jun-2009	Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility	Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi
17-Nov-2011	Efficiency and Consistency for Regularization Parameter Selection in Penalized Regression: Asymptotics and Finite-Sample Corrections	Flynn, Cheryl J.; Hurvich, Clifford M.; Simonoff, Jeffrey S.
Jan-1998	AN EFFICIENT TAPER FOR POTENTIALLY OVERDIFFERENCED LONG-MEMORY TIME SERIES	Hurvich, Clifford M.; Chen, Willa W.
8-Oct-2002	Estimating Fractional Cointegration in the Presence of Polynomial Trends	Chen, Willa W.; Hurvich, Clifford M.
6-Feb-2003	Estimating fractional cointegration in the presence of polynomial trends	Chen, Willa W.; Hurvich, Clifford M.
Feb-2002	Estimating long memory in volatility	Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe
Feb-1987	Frequency Domain Bootstrap Methods For Time Series	Hurvich, Clifford M.; Zeger, Scott
May-2003	The Local Whittle Estimator of Long Memory Stochastic Volatility	Hurvich, Clifford M.; Ray, Bonnie K.
Apr-2001	The Local Whittle Estimator of Long Memory Stochastic Volatility	Hurvich, Clifford M.; Ray, Bonnie K.
Mar-1999	MODEL SELECTION FOR BROADBAND SEMIPARAMETRIC ESTIMATION OF LONG MEMORY IN TIME SERIES	Hurvich, Clifford M.
2000	Multistep forecasting of long memory series using fractional exponential models	Hurvich, Clifford M.
28-Jul-2004	On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems For Long-Memory Time Series	Chen, Willa; Hurvich, Clifford M.; Lu, Yi
2000	ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS	Deo, Rohit S.; Hurvich, Clifford M.
1998	ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS	Deo, Rohit S.; Hurvich, Clifford M.
Jul-1998	PLUG-IN SELECTION OF THE NUMBER OF FREQUENCIES IN REGRESSION ESTIMATES OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES	Hurvich, Clifford M.; Deo, Rohit S.

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