Details about Rohit S. Deo

Access statistics for papers by Rohit S. Deo.

Last updated 2010-02-22. Update your information in the RePEc Author Service.

Short-id: pde207

Working Papers

2007

1. Long Memory in Nonlinear Processes
   Papers, arXiv.org View citations (3)

2005

2. Estimation of mis-specified long memory models
   Econometrics, University Library of Munich, Germany View citations (1)
   See also Journal Article Estimation of mis-specified long memory models, Journal of Econometrics, Elsevier (2006) View citations (6) (2006)
3. Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment
   Econometrics, University Library of Munich, Germany View citations (9)
   See also Journal Article Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment, Journal of Econometrics, Elsevier (2006) View citations (71) (2006)
4. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
   Econometrics, University Library of Munich, Germany
5. Propagation of Memory Parameter from Durations to Counts
   Econometrics, University Library of Munich, Germany View citations (3)
6. The Variance Ratio Statistic at large Horizons
   Econometrics, University Library of Munich, Germany
   See also Journal Article THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS, Econometric Theory, Cambridge University Press (2006) View citations (35) (2006)
7. Tracing the Source of Long Memory in Volatility
   Econometrics, University Library of Munich, Germany View citations (2)

Journal Articles

2009

1. BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD
   Econometric Theory, 2009, 25, (5), 1143-1179 View citations (17)
2. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
   Econometric Theory, 2009, 25, (3), 764-792 View citations (11)
3. The restricted likelihood ratio test at the boundary in autoregressive series
   Journal of Time Series Analysis, 2009, 30, (6), 618-630 View citations (3)

2006

4. Estimation of mis-specified long memory models
   Journal of Econometrics, 2006, 134, (1), 257-281 View citations (6)
   See also Working Paper Estimation of mis-specified long memory models, Econometrics (2005) View citations (1) (2005)
5. 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 (71)
   See also Working Paper Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment, Econometrics (2005) View citations (9) (2005)
6. THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
   Econometric Theory, 2006, 22, (2), 206-234 View citations (35)
   See also Working Paper The Variance Ratio Statistic at large Horizons, Econometrics (2005) (2005)

2004

7. A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
   Econometric Theory, 2004, 20, (2), 382-416 View citations (18)
8. Power transformations to induce normality and their applications
   Journal of the Royal Statistical Society Series B, 2004, 66, (1), 117-130 View citations (25)

2003

9. ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST
   Econometric Theory, 2003, 19, (2), 231-239 View citations (26)

2002

10. On testing the adequacy of stable processes under conditional heteroscedasticity
    Journal of Empirical Finance, 2002, 9, (2), 257-270 View citations (3)

2001

11. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (4), 686-710 View citations (94)

2000

12. On estimation and testing goodness of fit for m-dependent stable sequences
    Journal of Econometrics, 2000, 99, (2), 349-372 View citations (5)
13. Spectral tests of the martingale hypothesis under conditional heteroscedasticity
    Journal of Econometrics, 2000, 99, (2), 291-315 View citations (79)

1997

14. Nonparametric regression with long-memory errors
    Statistics & Probability Letters, 1997, 33, (1), 89-94 View citations (4)