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Information about:
Rohit S. Deo

Personal Details | Affiliation | Works
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 RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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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

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, EconWPA. [Downloadable!]

  2. Willa Chen & Rohit Deo, 2005. "GMM Estimation for Long Memory Latent Variable Volatility and Duration Models," Econometrics 0501006, EconWPA. [Downloadable!]

  3. Rohit Deo & Mengchen Hsieh & Clifford Hurvich, 2005. "Tracing the Source of Long Memory in Volatility," Econometrics 0501005, EconWPA. [Downloadable!]

  4. Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, EconWPA. [Downloadable!]
    Published as:

  5. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, EconWPA. [Downloadable!]
    Published as:

  6. Willa Chen & Rohit Deo, 2005. "Estimation of mis-specified long memory models," Econometrics 0501004, EconWPA. [Downloadable!]
    Published as:

Articles

  1. 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, vol. 25(03), pages 764-792, June. [Downloadable!]

  2. 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, vol. 131(1-2), pages 29-58. [Downloadable!] (restricted)
    Other versions:

  3. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(02), pages 206-234, April. [Downloadable!]
    Other versions:

  4. Chen, Willa W. & Deo, Rohit S., 2006. "Estimation of mis-specified long memory models," Journal of Econometrics, Elsevier, vol. 134(1), pages 257-281, September. [Downloadable!] (restricted)
    Other versions:

  5. Chen, Willa W. & Deo, Rohit S., 2004. "A Generalized Portmanteau Goodness-Of-Fit Test For Time Series Models," Econometric Theory, Cambridge University Press, vol. 20(02), pages 382-416, April. [Downloadable!]

  6. 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, vol. 66(1), pages 117-130. [Downloadable!] (restricted)

  7. Deo, Rohit S. & Richardson, Matthew, 2003. "On The Asymptotic Power Of The Variance Ratio Test," Econometric Theory, Cambridge University Press, vol. 19(02), pages 231-239, April. [Downloadable!]

  8. Deo, Rohit S., 2002. "On testing the adequacy of stable processes under conditional heteroscedasticity," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 257-270, March. [Downloadable!] (restricted)

  9. 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, vol. 17(04), pages 686-710, August. [Downloadable!]

  10. Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December. [Downloadable!] (restricted)

  11. Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December. [Downloadable!] (restricted)

  12. Deo, R. S., 1997. "Nonparametric regression with long-memory errors," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 89-94, April. [Downloadable!] (restricted)

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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This page was last updated on 2009-11-23.

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