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

40

DOWNLOADS
Rank 21,719

SSRN RANKINGS

Top 21,719

in Total Papers Downloads

2,169

CITATIONS
Rank 3,329

SSRN RANKINGS

Top 3,329

in Total Papers Citations

240

Scholarly Papers (40)

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 349 (84,130)
Citation 1

Abstract:

Loading...

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 154 (190,597)
Citation 4

Abstract:

Loading...

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 78 (311,199)

Abstract:

Loading...

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 34 (457,573)

Abstract:

Loading...

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 34 (457,573)
Citation 2

Abstract:

Loading...

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 118 (234,833)

Abstract:

Loading...

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 103 (258,535)

Abstract:

Loading...

autoregressive, augmented regression method (ARM)

4.

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 96 (270,823)

Abstract:

Loading...

5.

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 University of Illinois at Urbana Champaign
Downloads 90 (282,311)

Abstract:

Loading...

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

6.

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 88 (286,360)
Citation 1

Abstract:

Loading...

Tick Time, Long Memory stochastic duration, Information share

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 Corporation - Thomas J. Watson Research Center
Downloads 42 (423,056)

Abstract:

Loading...

long-range dependence, nonlinearity, semiparametric estimation

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 Corporation - Thomas J. Watson Research Center
Downloads 41 (427,094)
Citation 1

Abstract:

Loading...

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 Corporation - Thomas J. Watson Research Center and Stern School of Business, New York University

Abstract:

Loading...

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 Corporation - Thomas J. Watson Research Center

Abstract:

Loading...

long-range dependence, nonlinearity, semiparametric estimation

8.

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 69 (330,233)

Abstract:

Loading...

9.

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 64 (343,598)

Abstract:

Loading...

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 51 (383,028)
Citation 10

Abstract:

Loading...

11.

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 48 (393,236)

Abstract:

Loading...

Fractional cointegration, long memory, tapering, periodogram

12.

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 47 (396,638)

Abstract:

Loading...

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

13.

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 45 (403,694)

Abstract:

Loading...

Tick Time, Long Memory stochastic duration, Information share

14.

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 44 (407,306)

Abstract:

Loading...

15.

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 44 (407,306)

Abstract:

Loading...

Fractional integration, Long-range dependence, Spectral factorization

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 26 (499,667)
Citation 1

Abstract:

Loading...

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 15 (569,652)

Abstract:

Loading...

Fractional cointegration, long memory, tapering, periodogram

17.

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 38 (430,425)

Abstract:

Loading...

Periodogram, Gaussian semiparametric estimation, unit roots

18.

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 37 (434,487)

Abstract:

Loading...

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

19.

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 37 (434,487)

Abstract:

Loading...

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 (550,172)
Citation 4

Abstract:

Loading...

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 (556,701)

Abstract:

Loading...

21.

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 32 (455,677)
Citation 2

Abstract:

Loading...

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

22.
Downloads 29 (469,893)
Citation 1

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 (556,701)

Abstract:

Loading...

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 (590,030)

Abstract:

Loading...

Inventory Policies and Information Sharing: An Efficient Frontier Approach

Number of pages: 44 Posted: 04 Mar 2019
Rene Caldentey, Avi H. Giloni and Clifford M. Hurvich
University of Chicago - Booth School of Business, Yeshiva University - Syms School of Business and Stern School of Business, New York University
Downloads 22 (524,413)

Abstract:

Loading...

inventory control; supply chain management; information sharing; order smoothing

Inventory Policies and Information Sharing: an Efficient Frontier Approach

NYU Working Paper No. 2451/43902
Number of pages: 44 Posted: 04 Mar 2019
Rene Caldentey, Avi Giloni and Clifford M. Hurvich
University of Chicago - Booth School of Business, Independent and Stern School of Business, New York University
Downloads 4 (646,862)

Abstract:

Loading...

inventory control; supply chain management; information sharing; order smoothing

24.

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 25 (490,852)

Abstract:

Loading...

Periodogram, bandwith

25.

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 23 (501,923)

Abstract:

Loading...

26.

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 23 (501,923)

Abstract:

Loading...

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 22 (507,725)

Abstract:

Loading...

Akaike information criterion; Bayesian information criterion; Least ab-solute shrinkage and selection operator; Model selection/ VariableSelection; 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 (530,877)

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

Cross spectrum, tapering, long memory

29.

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 21 (513,571)

Abstract:

Loading...

30.

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 20 (519,341)

Abstract:

Loading...

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

31.

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 18 (531,022)
Citation 1

Abstract:

Loading...

Nonparametric regression, long-range dependence, tapering, periodogram

32.

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 17 (536,885)

Abstract:

Loading...

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

33.

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 16 (542,640)

Abstract:

Loading...

34.

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 14 (554,587)

Abstract:

Loading...

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

35.

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 14 (554,587)

Abstract:

Loading...

36.

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 11 (573,033)

Abstract:

Loading...

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

37.

Aggregated Information in Supply Chains

NYU Working Paper No. 2451/41679
Number of pages: 52 Posted: 20 Feb 2018
Vladimir Kovtun, Avi Giloni and Clifford M. Hurvich
Independent, Independent and Stern School of Business, New York University
Downloads 7 (598,403)

Abstract:

Loading...

38.

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 3 (626,678)
  • Add to Cart

Abstract:

Loading...

39.

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 (667,153)
  • Add to Cart

Abstract:

Loading...

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

40.

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:

Loading...

C32, G12