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Details about Rohit S. Deo

E-mail:
Homepage:http://www.stern.nyu.edu/~rdeo
Workplace:Stern School of Business, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Rohit S. Deo.

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

Short-id: pde207


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Working Papers

2007

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

2005

  1. Estimation of mis-specified long memory models
    Econometrics, EconWPA Downloads
    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 Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2006)
  3. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
    Econometrics, EconWPA Downloads
  4. Propagation of Memory Parameter from Durations to Counts
    Econometrics, EconWPA Downloads View citations (3)
  5. The Variance Ratio Statistic at large Horizons
    Econometrics, EconWPA Downloads
    See also Journal Article in Econometric Theory (2006)
  6. Tracing the Source of Long Memory in Volatility
    Econometrics, EconWPA Downloads 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, (05), 1143-1179 Downloads View citations (5)
  2. CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
    Econometric Theory, 2009, 25, (03), 764-792 Downloads View citations (5)
  3. The restricted likelihood ratio test at the boundary in autoregressive series
    Journal of Time Series Analysis, 2009, 30, (6), 618-630 Downloads View citations (1)

2006

  1. Estimation of mis-specified long memory models
    Journal of Econometrics, 2006, 134, (1), 257-281 Downloads View citations (2)
    See also Working Paper (2005)
  2. Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
    Journal of Econometrics, 2006, 131, (1-2), 29-58 Downloads View citations (48)
    See also Working Paper (2005)
  3. THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS
    Econometric Theory, 2006, 22, (02), 206-234 Downloads View citations (19)
    See also Working Paper (2005)

2004

  1. A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
    Econometric Theory, 2004, 20, (02), 382-416 Downloads View citations (16)
  2. Power transformations to induce normality and their applications
    Journal of the Royal Statistical Society Series B, 2004, 66, (1), 117-130 Downloads View citations (14)

2003

  1. ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST
    Econometric Theory, 2003, 19, (02), 231-239 Downloads View citations (21)

2002

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

2001

  1. ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2001, 17, (04), 686-710 Downloads View citations (75)

2000

  1. On estimation and testing goodness of fit for m-dependent stable sequences
    Journal of Econometrics, 2000, 99, (2), 349-372 Downloads View citations (5)
  2. Spectral tests of the martingale hypothesis under conditional heteroscedasticity
    Journal of Econometrics, 2000, 99, (2), 291-315 Downloads View citations (52)

1997

  1. Nonparametric regression with long-memory errors
    Statistics & Probability Letters, 1997, 33, (1), 89-94 Downloads View citations (3)
 
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