Clifford Hurvich

New York University (NYU) - Leonard N. Stern School of Business

44 West 4th Street

Suite 9-160

New York, NY NY 10012

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

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Top 2,435

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188

CROSSREF CITATIONS

542

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 Hurvich
New York University - Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 377 (146,787)
Citation 1

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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 Hurvich
New York University - Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 200 (280,378)
Citation 11

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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 Hurvich
New York University - Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 101 (490,028)
Citation 8

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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 Hurvich
New York University - Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 93 (518,153)

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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 Hurvich
New York University - Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 55 (698,759)

Abstract:

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Stock Returns, Dividend Yields, Autoregressive Models

Order Smoothing and Information Sharing under Endogenous Inventory Cost Parameters

NYU Stern School of Business
Number of pages: 53 Posted: 04 Mar 2019 Last Revised: 08 Jan 2022
Rene Caldentey, Avi H. Giloni and Clifford Hurvich
University of Chicago - Booth School of Business, Yeshiva University - Syms School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 223 (253,294)

Abstract:

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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 Hurvich
University of Chicago - Booth School of Business, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 39 (810,642)

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

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 Hurvich and Bonnie K. Ray
New York University (NYU) - Leonard N. Stern School of Business and IBM Corporation - Thomas J. Watson Research Center
Downloads 123 (422,883)
Citation 1

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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 Hurvich and Bonnie K. Ray
New York University (NYU) - Leonard N. Stern School of Business and IBM Corporation - Thomas J. Watson Research Center
Downloads 68 (626,323)

Abstract:

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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 Hurvich
IBM Corporation - Thomas J. Watson Research Center and New York University (NYU) - Leonard N. Stern School of Business

Abstract:

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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 Hurvich and Bonnie K. Ray
New York University (NYU) - Leonard N. Stern School of Business and IBM Corporation - Thomas J. Watson Research Center

Abstract:

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long-range dependence, nonlinearity, semiparametric estimation

4.

Information Design and Sharing in Supply Chains

Number of pages: 53 Posted: 09 Jan 2023 Last Revised: 22 Jan 2024
Rene Caldentey, Avi H. Giloni, Clifford Hurvich and Yichen Zhang
University of Chicago - Booth School of Business, Yeshiva University - Syms School of Business, New York University (NYU) - Leonard N. Stern School of Business and Mitchell E. Daniels, Jr School of Business, Purdue University
Downloads 156 (349,556)

Abstract:

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inventory control, information sharing, order smoothing, time series invertibility, Hardy spaces

5.

Hypothesis Testing in Predictive Regressions

NYU Working Paper No. FIN-04-030
Number of pages: 49 Posted: 03 Nov 2008
Yakov Amihud, Clifford Hurvich and Yi Wang
New York University - Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 154 (353,334)

Abstract:

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6.

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 Hurvich
New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 142 (377,180)

Abstract:

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7.

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 Hurvich and Yi Lu
Texas A&M University - Department of Statistics, New York University (NYU) - Leonard N. Stern School of Business and affiliation not provided to SSRN
Downloads 139 (383,585)

Abstract:

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8.

Predictive Regression with Order-P Autoregressive Predictor

NYU Working Paper No. 2451/28470
Number of pages: 36 Posted: 06 Jan 2010
Yakov Amihud, Clifford Hurvich and Yi Wang
New York University - Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 135 (392,428)

Abstract:

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autoregressive, augmented regression method (ARM)

9.

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 Hurvich and Yi Wang
New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 133 (397,106)
Citation 1

Abstract:

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Tick Time, Long Memory stochastic duration, Information share

10.

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 Hurvich and Sridhar Seshadri
Independent, New York University (NYU) - Leonard N. Stern School of Business and University of Illinois at Urbana Champaign
Downloads 118 (434,707)
Citation 2

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

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 Hurvich
Texas A&M University - Department of Statistics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 59 (675,108)
Citation 1

Abstract:

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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 Hurvich
Texas A&M University - Department of Statistics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 41 (795,159)

Abstract:

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Fractional cointegration, long memory, tapering, periodogram

12.

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 Hurvich
Stern School of Business, New York University, affiliation not provided to SSRN and New York University (NYU) - Leonard N. Stern School of Business
Downloads 86 (539,315)

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13.

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 Hurvich and Jeffrey S. Simonoff
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 73 (593,438)

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

14.

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 Hurvich
New York University (NYU) - Leonard N. Stern School of Business
Downloads 69 (611,897)

Abstract:

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Fractional integration, Long-range dependence, Spectral factorization

15.

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 Hurvich
Texas A&M University - Department of Statistics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 68 (616,573)

Abstract:

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Fractional cointegration, long memory, tapering, periodogram

16.

A Pure-Jump Transaction-Level Price Model Yielding

NYU Working Paper No. SOR-2009-1
Number of pages: 84 Posted: 20 Jan 2009
Clifford Hurvich and Yi Wang
New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 67 (621,330)

Abstract:

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Tick Time, Long Memory stochastic duration, Information share

17.

Estimating Long Memory in Volatility

NYU Working Paper No. SOR-2002-2
Number of pages: 26 Posted: 03 Nov 2008
Clifford Hurvich, E. Moulines and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business, Ecole Nationale Superieure des Telecommunications and Université d'Évry
Downloads 67 (621,330)
Citation 17

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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 Hurvich
Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 32 (869,042)
Citation 5

Abstract:

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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 Hurvich
Stern School of Business, New York University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 32 (869,042)
Citation 1

Abstract:

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19.

Drift in Transcation-Level Asset Price Models

NYU Working Paper No. 2451/31652
Number of pages: 16 Posted: 22 Nov 2012
Wen Cao, Clifford Hurvich and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and Université d'Évry
Downloads 63 (641,402)

Abstract:

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20.
Downloads 63 (641,402)
Citation 1

Limit Laws in Trasnaction-Level Asset Price Models

NYU Working Paper No. 2451/31584
Number of pages: 49 Posted: 10 Sep 2013
University of California, Davis, University of Utah - Department of Mathematics, New York University (NYU) - Leonard N. Stern School of Business and Université d'Évry
Downloads 33 (860,349)

Abstract:

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Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. SOR-2012-02
Number of pages: 49 Posted: 21 Jul 2012
University of California, Davis, University of Utah - Department of Mathematics, New York University (NYU) - Leonard N. Stern School of Business and Université d'Évry
Downloads 30 (887,169)

Abstract:

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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 Hurvich and Willa W. Chen
New York University (NYU) - Leonard N. Stern School of Business and Texas A&M University - Department of Statistics
Downloads 59 (662,588)
Citation 1

Abstract:

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Periodogram, Gaussian semiparametric estimation, unit roots

22.

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 Hurvich
University of California, Davis, University of Utah - Department of Mathematics and New York University (NYU) - Leonard N. Stern School of Business
Downloads 57 (673,491)

Abstract:

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23.

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 Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, New York University (NYU) - Leonard N. Stern School of Business, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 57 (673,491)
Citation 2

Abstract:

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

24.

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 Hurvich
Independent, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 55 (684,761)

Abstract:

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

25.

Performance Bound for Myopic Order-Up-To Inventory Policies under Stationary Demand Processes

Number of pages: 10 Posted: 28 Mar 2022
Rene Caldentey, Avi H. Giloni and Clifford Hurvich
University of Chicago - Booth School of Business, Yeshiva University - Syms School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 53 (696,389)

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Inventory theory, Myopic Order-up-To, Bounds

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 Hurvich and Julia Brodsky
New York University (NYU) - Leonard N. Stern School of Business and affiliation not provided to SSRN
Downloads 49 (721,254)
Citation 2

Abstract:

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27.

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 Hurvich
Rider University, Yeshiva University - Syms School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 48 (727,550)

Abstract:

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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 Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, New York University (NYU) - Leonard N. Stern School of Business, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 44 (753,994)

Abstract:

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

29.

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 Hurvich
New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 40 (782,547)

Abstract:

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30.

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 Hurvich
Independent, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 38 (797,178)

Abstract:

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

31.

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 Hurvich and Jeffrey S. Simonoff
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 38 (797,178)

Abstract:

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

32.

Testing for Long Memory in Volatility

NYU Working Paper No. SOR-2000-13
Number of pages: 18 Posted: 31 Oct 2008
Clifford Hurvich and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business and Université d'Évry
Downloads 38 (797,178)

Abstract:

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33.

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 Hurvich and Rohit Deo
New York University (NYU) - Leonard N. Stern School of Business and Stern School of Business, New York University
Downloads 37 (804,841)

Abstract:

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Periodogram, bandwith

34.

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 Hurvich and Philippe Souliery
affiliation not provided to SSRN, New York University (NYU) - Leonard N. Stern School of Business and affiliation not provided to SSRN
Downloads 32 (844,854)

Abstract:

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35.

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 Hurvich
Independent, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 31 (853,169)

Abstract:

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36.

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 Hurvich
Independent, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 31 (853,169)

Abstract:

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

37.

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 Hurvich, Gabriel Lang and Philippe Soulier
New York University (NYU) - Leonard N. Stern School of Business, INRA-AgroParisTech - Department Mathematical Modeling and Université d'Évry
Downloads 31 (853,169)
Citation 1

Abstract:

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Nonparametric regression, long-range dependence, tapering, periodogram

38.

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 Hurvich
New York University (NYU) - Leonard N. Stern School of Business
Downloads 29 (870,416)

Abstract:

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39.

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 Hurvich
Independent, Independent and New York University (NYU) - Leonard N. Stern School of Business
Downloads 26 (897,638)

Abstract:

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

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 Hurvich and Yi Wang
New York University - Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Department of Information, Operations, and Management Sciences

Abstract:

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C32, G12