Details about Rohit S. Deo

Access statistics for papers by Rohit S. Deo.

Last updated 2009-06-29. Update your information in the RePEc Author Service.

Short-id: pde207

Working Papers

2005

1. Estimation of mis-specified long memory models
   Econometrics, EconWPA
   See also Journal Article in Journal of Econometrics (2006)
2. Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
   Econometrics, EconWPA View citations
   See also Journal Article in Journal of Econometrics (2006)
3. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
   Econometrics, EconWPA
4. Propagation of Memory Parameter from Durations to Counts
   Econometrics, EconWPA View citations
5. The Variance Ratio Statistic at large Horizons
   Econometrics, EconWPA
   See also Journal Article in Econometric Theory (2006)
6. Tracing the Source of Long Memory in Volatility
   Econometrics, EconWPA View citations

Journal Articles

2009

1. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
   Econometric Theory, 2009, 25, (03), 764-792

2006

2. Estimation of mis-specified long memory models
   Journal of Econometrics, 2006, 134, (1), 257-281
   See also Working Paper (2005)
3. Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
   Journal of Econometrics, 2006, 131, (1-2), 29-58 View citations
   See also Working Paper (2005)
4. THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
   Econometric Theory, 2006, 22, (02), 206-234
   See also Working Paper (2005)

2004

5. A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
   Econometric Theory, 2004, 20, (02), 382-416 View citations
6. Power transformations to induce normality and their applications
   Journal Of The Royal Statistical Society Series B, 2004, 66, (1), 117-130 View citations

2003

7. ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST
   Econometric Theory, 2003, 19, (02), 231-239 View citations

2002

8. On testing the adequacy of stable processes under conditional heteroscedasticity
   Journal of Empirical Finance, 2002, 9, (2), 257-270 View citations

2001

9. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
   Econometric Theory, 2001, 17, (04), 686-710 View citations

2000

10. On estimation and testing goodness of fit for m-dependent stable sequences
    Journal of Econometrics, 2000, 99, (2), 349-372 View citations
11. Spectral tests of the martingale hypothesis under conditional heteroscedasticity
    Journal of Econometrics, 2000, 99, (2), 291-315 View citations

1997

12. Nonparametric regression with long-memory errors
    Statistics & Probability Letters, 1997, 33, (1), 89-94