Rohit S. Deo

Available identifiers

zbMath Open deo.rohit-sMaRDI QIDQ272082

List of research outcomes

Publication	Date of Publication	Type
The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility	2019-07-30	Paper
ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST	2018-12-14	Paper
Subsampling based inference for \(U\) statistics under thick tails using self-normalization	2018-06-20	Paper
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment	2016-06-10	Paper
Estimation of mis-specified long memory models	2016-05-02	Paper
On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices	2016-04-20	Paper
The restricted likelihood ratio test for autoregressive processes	2014-11-20	Paper
BIAS REDUCTION AND LIKELIHOOD-BASED ALMOST EXACTLY SIZED HYPOTHESIS TESTING IN PREDICTIVE REGRESSIONS USING THE RESTRICTED LIKELIHOOD	2014-04-23	Paper
The restricted likelihood ratio test at the boundary in autoregressive series	2011-02-22	Paper
Long memory in intertrade durations, counts and realized volatility of NYSE stocks	2010-09-20	Paper
Weighted least squares approximate restricted likelihood estimation for vector autoregressive processes	2010-03-22	Paper
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY	2009-09-30	Paper
THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS	2008-01-23	Paper
Long Memory in Nonlinear Processes	2007-01-09	Paper
A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS	2005-10-18	Paper
Power Transformations to Induce Normality and their Applications	2005-04-11	Paper
https://portal.mardi4nfdi.de/entity/Q4407610	2003-07-01	Paper
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS	2003-05-18	Paper
On the integral of the squared periodogram	2002-08-29	Paper
On estimation and testing goodness of fit for \(m\)-dependent stable sequences	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	2000-03-01	Paper
Spectral tests of the martingale hypothesis under conditional heteroscedasticity	2000-01-01	Paper
Linear Trend with Fractionally Integrated Errors	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	1998-08-09	Paper
Nonparametric regression with long-memory errors	1998-07-01	Paper
Asymptotic theory for certain regression models with long memory errors	1997-08-28	Paper

Research outcomes over time

Doctoral students

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