Issue Date | Title | Author(s) |
13-Oct-2008 | Computationally Efficient Gaussian Maximum Likelihood Methods for Vector ARFIMA Models | Sela, Rebecca J.; Hurvich, Clifford M. |
Jan-1998 | AN EFFICIENT TAPER FOR POTENTIALLY OVERDIFFERENCED LONG-MEMORY TIME SERIES | Hurvich, Clifford M.; Chen, Willa W. |
Mar-1999 | MODEL SELECTION FOR BROADBAND SEMIPARAMETRIC ESTIMATION OF LONG MEMORY IN TIME SERIES | 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. |
Oct-1998 | BROADBAND SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES USING FRACTIONAL EXPONENTIAL MODELS | Hurvich, Clifford M.; Brodsky, Julia |
4-May-2004 | Predictive Regressions: A Reduced-Bias Estimation Method | Amihud, Yakov; 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 |
19-Nov-2004 | Semiparametric Estimation of Fractional Cointegrating Subspaces | Chen, Willa W.; 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 |
May-2003 | The Local Whittle Estimator of Long Memory Stochastic Volatility | Hurvich, Clifford M.; Ray, Bonnie K. |