10 citations · 10 across the 4 of their papers we have counts for
4 papers
On the Expectation of the Local-to-Zero Cross-Validated Log Likelihood Criterion for Bandwidth Selection in Kernel Spectral Estimation
Meng-Chen Hsieh, Clifford Hurvich
We consider data-driven bandwidth selection for a kernel spectral estimator at zero frequency based on a local-to-zero version of the cross validated log-likelihood (CVLL) criterio…
Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes
Meng-Chen Hsieh, Clifford Hurvich, Philippe Soulier
We develop and justify methodology to consistently test for long-horizon return predictability based on realized variance. To accomplish this, we propose a parametric transaction-l…
Long Memory in Nonlinear Processes
Rohit Deo, Meng-Chen Hsieh, Clifford M. Hurvich +1
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log…
Asymptotics for Duration-Driven Long Range Dependent Processes
Meng-Chen Hsieh, Clifford M. Hurvich, Philippe Soulier
We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration-driven long range dependence (DDLRD), a…