58 citations · 116 across the 13 of their papers we have counts for
6 papers · 1 filter
Long Memory in Intrinsically Dynamic Factor Models
Qin Wen, Clifford M. Hurvich
We study the generalized dynamic factor model in a long-memory setting. Unlike most recent work, which assumes a finite-dimensional factor space and short memory, our framework all…
Drift in Transaction-Level Asset Price Models
Wen Cao, Clifford Hurvich, Philippe Soulier
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mea…
Limit Laws in Transaction-Level Asset Price Models
Alexander Aue, Lajos Horváth, Clifford M. Hurvich +1
We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time def…
Semiparametric estimation of fractional cointegrating subspaces
Willa W. Chen, Clifford M. Hurvich
We consider a common-components model for multivariate fractional cointegration, in which the components have different memory parameters. The cointegrating rank may excee…
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…
Propagation of Memory Parameter from Durations to Counts
Rohit Deo, Clifford M. Hurvich, Philippe Soulier +1
We establish sufficient conditions on durations that are stationary with finite variance and memory parameter to ensure that the corresponding counting process $N(t…