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econ.EM2022
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…
econ.EM2021
A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation
Zhihao Xu, Clifford M. Hurvich
A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error. This method enables model/…