Rohit Deo

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Uniform Inference in Predictive Regression Models Journal of Business and Economic Statistics	2025-01-20	Paper
The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility Journal of Time Series Analysis	2019-07-30	Paper
On the asymptotic power of the variance ratio test Econometric Theory	2018-12-14	Paper
Subsampling based inference for U statistics under thick tails using self-normalization Statistics & Probability Letters	2018-06-20	Paper
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment Journal of Econometrics	2016-06-10	Paper
Estimation of mis-specified long memory models Journal of Econometrics	2016-05-02	Paper
On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices Journal of Multivariate Analysis	2016-04-20	Paper
The restricted likelihood ratio test for autoregressive processes Journal of Time Series Analysis	2014-11-20	Paper
Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood Econometric Theory	2014-04-23	Paper
The restricted likelihood ratio test at the boundary in autoregressive series Journal of Time Series Analysis	2011-02-22	Paper
Long memory in intertrade durations, counts and realized volatility of NYSE stocks Journal of Statistical Planning and Inference	2010-09-20	Paper
Weighted least squares approximate restricted likelihood estimation for vector autoregressive processes Biometrika	2010-03-22	Paper
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY Econometric Theory	2009-09-30	Paper
THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS Econometric Theory	2008-01-23	Paper
Long Memory in Nonlinear Processes Lecture Notes in Statistics	2007-01-09	Paper
A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS Econometric Theory	2005-10-18	Paper
Power Transformations to Induce Normality and their Applications Journal of the Royal Statistical Society Series B: Statistical Methodology	2005-04-11	Paper
scientific article; zbMATH DE number 1944316 (Why is no real title available?)	2003-07-01	Paper
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS Econometric Theory	2003-05-18	Paper
On the integral of the squared periodogram Stochastic Processes and their Applications	2002-08-29	Paper
On estimation and testing goodness of fit for m-dependent stable sequences Journal of Econometrics	2001-07-19	Paper
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series Journal of Time Series Analysis	2000-03-01	Paper
Spectral tests of the martingale hypothesis under conditional heteroscedasticity Journal of Econometrics	2000-01-01	Paper
Linear Trend with Fractionally Integrated Errors Journal of Time Series Analysis	1998-10-21	Paper
The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series Journal of Time Series Analysis	1998-08-09	Paper
Nonparametric regression with long-memory errors Statistics & Probability Letters	1998-07-01	Paper
Asymptotic theory for certain regression models with long memory errors Journal of Time Series Analysis	1997-08-28	Paper

Research outcomes over time

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