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Rohit S. Deo

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This is information that was supplied by Rohit Deo in registering through RePEc. If you are Rohit S. Deo , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Rohit
Middle Name: S.
Last Name: Deo
Suffix:

RePEc Short-ID: pde207

Email:
Homepage: http://www.stern.nyu.edu/~rdeo
Postal Address:
Phone:

Affiliation

Stern School of Business
New York University (NYU)
Location: New York City, New York (United States)
Homepage: http://www.stern.nyu.edu/
Email:
Phone: (212) 998-0100
Fax:
Postal: 44 West Fourth Street, New York, NY 10012
Handle: RePEc:edi:sternus (more details at EDIRC)

Works

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Working papers

  1. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
  2. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics, EconWPA 0511010, EconWPA.
  3. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics, EconWPA 0501005, EconWPA.
  4. Willa Chen & Rohit Deo, 2005. "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models," Econometrics, EconWPA 0501006, EconWPA.
  5. Willa Chen & Rohit Deo, 2005. "Estimation of mis-specified long memory models," Econometrics, EconWPA 0501004, EconWPA.
  6. Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics, EconWPA 0501002, EconWPA.
  7. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics, EconWPA 0501003, EconWPA.

Articles

  1. Willa W. Chen & Rohit S. Deo, 2009. "The restricted likelihood ratio test at the boundary in autoregressive series," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 30(6), pages 618-630, November.
  2. Chen, Willa W. & Deo, Rohit S., 2009. "Bias Reduction And Likelihood-Based Almost Exactly Sized Hypothesis Testing In Predictive Regressions Using The Restricted Likelihood," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(05), pages 1143-1179, October.
  3. Deo, Rohit & Hurvich, Clifford M. & Soulier, Philippe & Wang, Yi, 2009. "Conditions For The Propagation Of Memory Parameter From Durations To Counts And Realized Volatility," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(03), pages 764-792, June.
  4. Chen, Willa W. & Deo, Rohit S., 2006. "Estimation of mis-specified long memory models," Journal of Econometrics, Elsevier, Elsevier, vol. 134(1), pages 257-281, September.
  5. Deo, Rohit & Hurvich, Clifford & Lu, Yi, 2006. "Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 29-58.
  6. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(02), pages 206-234, April.
  7. Willa W. Chen & Rohit S. Deo, 2004. "Power transformations to induce normality and their applications," Journal of the Royal Statistical Society Series B, Royal Statistical Society, Royal Statistical Society, vol. 66(1), pages 117-130.
  8. Chen, Willa W. & Deo, Rohit S., 2004. "A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(02), pages 382-416, April.
  9. Deo, Rohit S. & Richardson, Matthew, 2003. "On The Asymptotic Power Of The Variance Ratio Test," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(02), pages 231-239, April.
  10. Deo, Rohit S., 2002. "On testing the adequacy of stable processes under conditional heteroscedasticity," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(2), pages 257-270, March.
  11. Deo, Rohit S. & Hurvich, Clifford M., 2001. "On The Log Periodogram Regression Estimator Of The Memory Parameter In Long Memory Stochastic Volatility Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 17(04), pages 686-710, August.
  12. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 99(2), pages 291-315, December.
  13. Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, Elsevier, vol. 99(2), pages 349-372, December.
  14. Deo, R. S., 1997. "Nonparametric regression with long-memory errors," Statistics & Probability Letters, Elsevier, Elsevier, vol. 33(1), pages 89-94, April.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (6) 2005-01-16 2005-01-16 2005-01-16 2005-01-16 2005-01-23 2005-11-12. Author is listed
  2. NEP-ETS: Econometric Time Series (6) 2005-01-16 2005-01-16 2005-01-16 2005-01-16 2005-01-23 2005-11-12. Author is listed
  3. NEP-FIN: Finance (5) 2005-01-16 2005-01-16 2005-01-16 2005-01-16 2005-01-23. Author is listed
  4. NEP-FMK: Financial Markets (2) 2005-01-16 2005-01-16. Author is listed

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