Clifford M. Hurvich

Stern School of Business, New York University

44 West 4th Street

New York, NY 10012-1126

United States

New York University (NYU) - Department of Information, Operations, and Management Sciences

Leonard N. Stern Professor of Statistics & Operations Research

44 West Fourth Street

New York, NY 10012

United States

SCHOLARLY PAPERS

38

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254

Scholarly Papers (38)

Predictive Regressions: A Reduced-Bias Estimation Method

FIN Working Paper No. 02-019
Number of pages: 66 Posted: 03 Feb 2003
Yakov Amihud and Clifford M. Hurvich
New York University - Stern School of Business and Stern School of Business, New York University
Downloads 343 (72,035)
Citation 54

Abstract:

Stock Returns, Dividend Yields, Autoregressive Models

Predictive Regressions: A Reduced-Bias Estimation Method

NYU Working Paper No. SOR-2004-1
Number of pages: 65 Posted: 03 Nov 2008
Yakov Amihud and Clifford M. Hurvich
New York University - Stern School of Business and Stern School of Business, New York University
Downloads 114 (207,130)
Citation 54

Abstract:

Stock Returns, Dividend Yields, Autoregressive Models

Predictive Regressions: A Reduced-Bias Estimation Method

NYU Working Paper No. SOR-2002-3
Number of pages: 65 Posted: 31 Oct 2008
Yakov Amihud and Clifford M. Hurvich
New York University - Stern School of Business and Stern School of Business, New York University
Downloads 76 (271,783)
Citation 54

Abstract:

Stock Returns, Dividend Yields, Autoregressive Models

Predictive Regressions: A Reduced-Bias Estimation Method

NYU Working Paper No. SOR-2002-7
Number of pages: 46 Posted: 03 Nov 2008
Yakov Amihud and Clifford M. Hurvich
New York University - Stern School of Business and Stern School of Business, New York University
Downloads 33 (400,264)
Citation 54

Abstract:

Stock Returns, Dividend Yields, Autoregressive Models

Predictive Regressions: A Reduced-Bias Estimation Method

NYU Working Paper No. FIN-02-019
Number of pages: 64 Posted: 03 Nov 2008
Yakov Amihud and Clifford M. Hurvich
New York University - Stern School of Business and Stern School of Business, New York University
Downloads 32 (404,514)
Citation 54

Abstract:

Stock Returns, Dividend Yields, Autoregressive Models

2.

Hypothesis Testing in Predictive Regressions

NYU Working Paper No. FIN-04-030
Number of pages: 49 Posted: 03 Nov 2008
Yakov Amihud, Clifford M. Hurvich and Yi Wang
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 91 (217,270)
Citation 5

Abstract:

3.

Predictive Regression with Order-P Autoregressive Predictor

NYU Working Paper No. 2451/28470
Number of pages: 36 Posted: 06 Jan 2010
Yakov Amihud, Clifford M. Hurvich and Yi Wang
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 87 (234,224)
Citation 2

Abstract:

autoregressive, augmented regression method (ARM)

The Local Whittle Estimator of Long Memory Stochastic Volatility

NYU Working Paper No. SOR-2003-5
Number of pages: 22 Posted: 03 Nov 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM - T. J. Watson Research Center
Downloads 40 (372,544)
Citation 6

Abstract:

long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long Memory Stochastic Volatility

NYU Working Paper No. SOR-2001-1
Number of pages: 29 Posted: 03 Nov 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM - T. J. Watson Research Center
Downloads 38 (380,036)
Citation 6

Abstract:

long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 445-470, 2003
Posted: 29 Feb 2008
Bonnie K. Ray and Clifford M. Hurvich
IBM - T. J. Watson Research Center and Stern School of Business, New York University

Abstract:

long-range dependence, nonlinearity, semiparametric estimation

The Local Whittle Estimator of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 1, pp. 445-470, 2003
Posted: 29 Feb 2008
Clifford M. Hurvich and Bonnie K. Ray
Stern School of Business, New York University and IBM - T. J. Watson Research Center

Abstract:

long-range dependence, nonlinearity, semiparametric estimation

5.

Computationally Efficient Gaussian Maximum Likelihood Methods for Vector ARFIMA Models

NYU Working Paper No. SOR-2008-2
Number of pages: 94 Posted: 16 Nov 2008
Rebecca J. Sela and Clifford M. Hurvich
New York University (NYU) - Leonard N. Stern School of Business and Stern School of Business, New York University
Downloads 77 (239,117)
Citation 2

Abstract:

6.

Forecasting and Information Sharing in Supply Chains Under Quasi-ARMA Demand

NYU Working Paper No. SOR-2009-04
Number of pages: 37 Posted: 11 Aug 2009
Avi Giloni, Clifford M. Hurvich and Sridhar Seshadri
Independent, Stern School of Business, New York University and Indian School of Business
Downloads 76 (244,294)
Citation 2

Abstract:

Supply Chain Management, Information Sharing, Time Series, ARMA, Invertibility

7.

A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects

NYU Working Paper No. SOR-2006-4
Number of pages: 84 Posted: 03 Nov 2008 Last Revised: 06 Jun 2009
Clifford M. Hurvich and Yi Wang
Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 76 (253,342)
Citation 2

Abstract:

Tick Time, Long Memory stochastic duration, Information share

8.

Tracing the Source of Long Memory in Volatility

NYU Working Paper No. SOR-2005-2
Number of pages: 40 Posted: 03 Nov 2008
Rohit Deo, Mengchen Hsieh and Clifford M. Hurvich
Stern School of Business, New York University, affiliation not provided to SSRN and Stern School of Business, New York University
Downloads 53 (303,182)
Citation 27

Abstract:

9.

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

NYU Working Paper No. SOR-2004-3
Number of pages: 22 Posted: 03 Nov 2008
Willa W. Chen, Clifford M. Hurvich and Yi Lu
Texas A&M University - Department of Statistics, Stern School of Business, New York University and affiliation not provided to SSRN
Downloads 53 (303,182)
Citation 2

Abstract:

10.

Estimating Long Memory in Volatility

NYU Working Paper No. SOR-2002-2
Number of pages: 26 Posted: 03 Nov 2008
Clifford M. Hurvich, E. Moulines and Philippe Soulier
Stern School of Business, New York University, Ecole Nationale Superieure des Telecommunications and Université d'Évry
Downloads 44 (333,490)
Citation 23

Abstract:

11.

A Pure-Jump Transaction-Level Price Model Yielding

NYU Working Paper No. SOR-2009-1
Number of pages: 84 Posted: 20 Jan 2009
Clifford M. Hurvich and Yi Wang
Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 39 (358,369)
Citation 2

Abstract:

Tick Time, Long Memory stochastic duration, Information share

Estimating Fractional Cointegration in the Presence of Polynomial Trends

NYU Working Paper No. SOR-2000-15
Number of pages: 27 Posted: 31 Oct 2008
Willa W. Chen and Clifford M. Hurvich
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 24 (444,607)
Citation 9

Abstract:

Fractional cointegration, Long memory, Tapering, Periodogram

Estimating Fractional Cointegration in the Presence of Polynomial Trends

NYU Working Paper No. SOR-2002-1
Number of pages: 26 Posted: 31 Oct 2008
Willa W. Chen and Clifford M. Hurvich
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 14 (502,793)
Citation 9

Abstract:

Fractional cointegration, long memory, tapering, periodogram

13.

Multistep Forecasting of Long Memory Series Using Fractional Exponential Models

NYU Working Paper No. SOR-2000-10
Number of pages: 13 Posted: 31 Oct 2008
Clifford M. Hurvich
Stern School of Business, New York University
Downloads 38 (351,834)
Citation 3

Abstract:

Fractional integration, Long-range dependence, Spectral factorization

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

NYU Working Paper No. SOR-98-4
Number of pages: 25 Posted: 31 Oct 2008
Rohit Deo and Clifford M. Hurvich
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 18 (479,326)
Citation 36

Abstract:

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

NYU Working Paper No. SOR-2000-3
Number of pages: 25 Posted: 31 Oct 2008
Rohit Deo and Clifford M. Hurvich
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 17 (485,212)
Citation 36

Abstract:

15.

Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. CEDER-09-02
Number of pages: 22 Posted: 08 Jun 2009
Alexander Aue, Lajos Horváth and Clifford M. Hurvich
University of California, Davis, University of Utah - Department of Mathematics and Stern School of Business, New York University
Downloads 34 (379,435)

Abstract:

16.

Semiparametric Estimation of Fractional Cointegrating Subspaces

NYU Working Paper No. SOR-2004-4
Number of pages: 48 Posted: 03 Nov 2008
Willa W. Chen and Clifford M. Hurvich
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 31 (345,491)
Citation 7

Abstract:

Fractional cointegration, long memory, tapering, periodogram

17.

Drift in Transcation-Level Asset Price Models

NYU Working Paper No. 2451/31652
Number of pages: 16 Posted: 22 Nov 2012
Wen Cao, Clifford M. Hurvich and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business, Stern School of Business, New York University and Université d'Évry
Downloads 30 (355,059)

Abstract:

Limit Laws in Trasnaction-Level Asset Price Models

NYU Working Paper No. 2451/31584
Number of pages: 49 Posted: 10 Sep 2013
Alexander Aue, Lajos Horváth, Clifford M. Hurvich and Philippe Soulier
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 17 (485,127)

Abstract:

Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. SOR-2012-02
Number of pages: 49 Posted: 21 Jul 2012
Alexander Aue, Lajos Horváth, Clifford M. Hurvich and Philippe Soulier
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 12 (514,315)

Abstract:

19.

Assessing the Value of Demand Sharing in Supply Chains

NYU Working Paper No. ;SOR-2012-04
Number of pages: 27 Posted: 07 Oct 2012
Vladimir Kovtun, Avi Giloni and Clifford M. Hurvich
Independent, Independent and Stern School of Business, New York University
Downloads 27 (379,435)
Citation 1

Abstract:

Supply Chain Management, Information Sharing, Time Series, ARMA,Invertibility, QUARMA, Demand Sharing, Full Information Shocks, PartialInformation Shocks, Order-up-to policy

20.

Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility

NYU Working Paper No. SOR-2007-3
Number of pages: 40 Posted: 03 Nov 2008
Rohit Deo, Clifford M. Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 25 (403,130)
Citation 5

Abstract:

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

21.

An Efficient Taper for Potentially Overdifferenced Long-Memory Time Series

NYU Working Paper No. 2451/14778
Number of pages: 26 Posted: 31 Oct 2008
Clifford M. Hurvich and Willa W. Chen
Stern School of Business, New York University and Texas A&M University - Department of Statistics
Downloads 24 (379,435)
Citation 7

Abstract:

Periodogram, Gaussian semiparametric estimation, unit roots

22.

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

NYU Working Paper No. 2451/31317
Number of pages: 39 Posted: 10 Sep 2013
Cheryl Flynn, Clifford M. Hurvich and Jeffrey S. Simonoff
New York University (NYU) - Leonard N. Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 21 (358,369)

Abstract:

Akaike information criterion, Bayesian information criterion, Least ab- solute shrinkage and selection operator, Model selection/ Variable Selection, Penalized regression, Smoothly clipped absolute deviation

The Averaged Periodogram Estimator for a Power Law in Coherency

NYU Working Paper No. 2451/31260
Number of pages: 40 Posted: 29 Sep 2011
Rebecca J. Sela and Clifford M. Hurvich
New York University (NYU) - Leonard N. Stern School of Business and Stern School of Business, New York University
Downloads 21 (461,725)

Abstract:

The Averaged Periodogram Estimator for a Power Law in Coherency

Journal of Time Series Analysis, Vol. 33, Issue 2, pp. 340-363, 2012
Number of pages: 24 Posted: 07 Mar 2012
Rebecca J. Sela and Clifford M. Hurvich
New York University (NYU) - Leonard N. Stern School of Business and Stern School of Business, New York University
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Abstract:

Cross spectrum, tapering, long memory

24.

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

NYU Working Paper No. 2451/14788
Number of pages: 29 Posted: 31 Oct 2008
Clifford M. Hurvich and Julia Brodsky
Stern School of Business, New York University and affiliation not provided to SSRN
Downloads 20 (441,695)
Citation 12

Abstract:

25.

Testing for Long Memory in Volatility

NYU Working Paper No. SOR-2000-13
Number of pages: 18 Posted: 31 Oct 2008
Clifford M. Hurvich and Philippe Soulier
Stern School of Business, New York University and Université d'Évry
Downloads 19 (446,833)
Citation 22

Abstract:

26.

Plug-In Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-Memory Time Series

NYU Working Paper No. 2451/14773
Number of pages: 11 Posted: 31 Oct 2008
Clifford M. Hurvich and Rohit Deo
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 17 (436,498)
Citation 10

Abstract:

Periodogram, bandwith

27.

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

NYU Working Paper No. SOR-2011-02
Number of pages: 13 Posted: 19 Nov 2011
Cheryl Flynn, Clifford M. Hurvich and Jeffrey S. Simonoff
New York University (NYU) - Leonard N. Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 16 (457,401)

Abstract:

Akaike information criterion; Bayesian information criterion; Least ab-solute shrinkage and selection operator; Model selection/ VariableSelection; Penalized regression; Smoothly clipped absolute deviation.

28.

Propagation of Memory Parameter from Durations to Counts

NYU Working Paper No. SOR-2005-5
Number of pages: 28 Posted: 03 Nov 2008
Rohit Deo, Clifford M. Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 15 (452,082)
Citation 5

Abstract:

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

29.

Assessing the Difference between Shock Sharing and Demand Sharing in Supply Chains

NYU Working Paper No. 2451/31629
Number of pages: 48 Posted: 24 Apr 2013
Vladimir Kovtun, Avi Giloni and Clifford M. Hurvich
Independent, Independent and Stern School of Business, New York University
Downloads 14 (467,805)

Abstract:

Supply Chain Management, Information Sharing, Time Series, ARMA, Invertibility, QUARMA, Demand Sharing, Shock Sharing, Full Information Shocks, Order-up-to policy.

30.

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

NYU Working Paper No. SOR-2002-6
Number of pages: 28 Posted: 03 Nov 2008
Clifford M. Hurvich, Gabriel Lang and Philippe Soulier
Stern School of Business, New York University, INRA-AgroParisTech - Department Mathematical Modeling and Université d'Évry
Downloads 13 (462,578)
Citation 3

Abstract:

Nonparametric regression, long-range dependence, tapering, periodogram

31.

Asymptotics for Duration-Driven Long Range Dependent Processes

NYU Working Paper No. SOR-2003-8
Number of pages: 40 Posted: 03 Nov 2008
Mengchen Hsieh, Clifford M. Hurvich and Philippe Souliery
affiliation not provided to SSRN, Stern School of Business, New York University and affiliation not provided to SSRN
Downloads 12 (478,227)
Citation 1

Abstract:

32.

Assessing the Difference between Shock Sharing and Demand Sharing Insupply Chains

NYU Working Paper No. SOR-2012-03
Number of pages: 48 Posted: 05 Oct 2012
Vladimir Kovtun, Avi Giloni and Clifford M. Hurvich
Independent, Independent and Stern School of Business, New York University
Downloads 10 (488,602)

Abstract:

Supply Chain Management, Information Sharing, Time Series, ARMA, Invertibility, QUARMA, Demand Sharing, Shock Sharing, Full InformationShocks, Order-up-to policy

33.

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

NYU Working Paper No. 2451/14783
Number of pages: 31 Posted: 31 Oct 2008
Clifford M. Hurvich
Stern School of Business, New York University
Downloads 10 (483,495)
Citation 6

Abstract:

34.

Possible Sharing Arrangements in Arma Supply Chains

NYU Working Paper No. 2451/31630
Number of pages: 27 Posted: 10 Oct 2012
Vladimir Kovtun, Avi Giloni and Clifford M. Hurvich
Independent, Independent and Stern School of Business, New York University
Downloads 7 (499,008)

Abstract:

Supply Chain Management, Information Sharing, Time Series, ARMA, Invertibility, QUARMA, Demand Sharing, Full Information Shocks, Partial Information Shocks, Order-up-to policy

35.

Computationally Efficient Methods for Two Multivariate Fractionally Integrated Models

Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 631-651, November 2009
Number of pages: 21 Posted: 20 Oct 2009
Rebecca J. Sela and Clifford M. Hurvich
New York University (NYU) - Leonard N. Stern School of Business and Stern School of Business, New York University
Downloads 2 (537,555)
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Abstract:

36.

Drift in Transaction‐Level Asset Price Models

Journal of Time Series Analysis, Vol. 38, Issue 5, pp. 769-790, 2017
Number of pages: 22 Posted: 21 Aug 2017
Wen Cao, Clifford M. Hurvich and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business, Stern School of Business, New York University and Université d'Évry
Downloads 0 (569,182)
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Abstract:

Growth rates, heavy tails, long memory, subsampling, durations

37.

Impact of Exponential Smoothing on Inventory Costs in Supply Chains

NYU Working Paper No. 2451/34464
Number of pages: 48 Posted: 10 Feb 2016
Meng-Chen Hsieh, Avi H. Giloni and Clifford M. Hurvich
Rider University, Yeshiva University - Syms School of Business and Stern School of Business, New York University
Downloads 0 (472,996)

Abstract:

38.

Multiple-Predictor Regressions: Hypothesis Testing

The Review of Financial Studies, Vol. 22, Issue 1, pp. 413-434, 2009
Posted: 03 Jan 2009
Yakov Amihud, Clifford M. Hurvich and Yi Wang
New York University - Stern School of Business, Stern School of Business, New York University and New York University (NYU) - Department of Information, Operations, and Management Sciences

Abstract:

C32, G12