Rohit Deo

Stern School of Business, New York University

44 West Fourth Street

New York, NY 10012

United States

SCHOLARLY PAPERS

15

DOWNLOADS

555

SSRN CITATIONS
Rank 9,416

SSRN RANKINGS

Top 9,416

in Total Papers Citations

9

CROSSREF CITATIONS

91

Scholarly Papers (15)

1.

On the Asymptotic Power of the Variance Ratio Test

NYU Working Paper No. FIN-01-059
Number of pages: 12 Posted: 03 Nov 2008
Rohit Deo and Matthew P. Richardson
Stern School of Business, New York University and New York University (NYU) - Department of Finance
Downloads 77 (311,909)

Abstract:

Loading...

2.

Bias Reduction and Likelihood Based Almost-Exactly Sized Hypothesis Testing in Predictive Regressions Using the Restricted Likelihood

Number of pages: 46 Posted: 27 Sep 2006 Last Revised: 02 Jun 2009
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 74 (319,150)
Citation 1

Abstract:

Loading...

Bartlett Correction, Likelihood Ratio Test, Curvature

3.

Estimation of Long Memory in Volatility

NYU Working Paper No. SOR-2000-14
Number of pages: 15 Posted: 31 Oct 2008
Rohit Deo and C. M. Hurvich
Stern School of Business, New York University and affiliation not provided to SSRN
Downloads 65 (342,369)

Abstract:

Loading...

4.

Tracing the Source of Long Memory in Volatility

NYU Working Paper No. SOR-2005-2
Number of pages: 40 Posted: 03 Nov 2008
Stern School of Business, New York University, affiliation not provided to SSRN and Stern School of Business, New York University
Downloads 64 (345,159)

Abstract:

Loading...

5.

A Small Sample Study of Goodness-of-Fit Tests for Time Series Models

NYU Working Paper No. SOR-2000-8
Number of pages: 15 Posted: 31 Oct 2008
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 48 (395,023)

Abstract:

Loading...

frequency domain, portmanteau test

6.

Spectral Tests of the Martingale Hypothesis Under Conditional Heteroscedasticity

NYU Working Paper No. SOR-97-6
Number of pages: 25 Posted: 31 Oct 2008
Rohit Deo
Stern School of Business, New York University
Downloads 45 (405,560)
Citation 1

Abstract:

Loading...

Sample spectral distribution function, Martingale difference, Conditional heteroscedasticity, Cramér von-Mises statistic

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

NYU Working Paper No. SOR-98-4
Number of pages: 25 Posted: 31 Oct 2008
Rohit Deo and Clifford M. Hurvich
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 18 (552,834)
Citation 4

Abstract:

Loading...

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

NYU Working Paper No. SOR-2000-3
Number of pages: 25 Posted: 31 Oct 2008
Rohit Deo and Clifford M. Hurvich
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 17 (559,395)

Abstract:

Loading...

8.

Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility

NYU Working Paper No. SOR-2007-3
Number of pages: 40 Posted: 03 Nov 2008
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 32 (457,857)
Citation 2

Abstract:

Loading...

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series

NYU Working Paper No. 2451/28230
Number of pages: 15 Posted: 08 Sep 2009
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 27 (496,196)

Abstract:

Loading...

Boundary value, confidence interval, curvature, restricted likelihood, unit root

The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series

Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 618-630, November 2009
Number of pages: 13 Posted: 20 Oct 2009
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 4 (650,273)
  • Add to Cart

Abstract:

Loading...

10.

Plug-In Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long-Memory Time Series

NYU Working Paper No. 2451/14773
Number of pages: 11 Posted: 31 Oct 2008
Clifford M. Hurvich and Rohit Deo
Stern School of Business, New York University and Stern School of Business, New York University
Downloads 25 (493,202)

Abstract:

Loading...

Periodogram, bandwith

11.

Propagation of Memory Parameter from Durations to Counts

NYU Working Paper No. SOR-2005-5
Number of pages: 28 Posted: 03 Nov 2008
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 20 (521,876)

Abstract:

Loading...

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

12.

Bias Reduction and Likelihood Based Almost-Exactly Sized Hypothesis Testing in Predestricted Likelihoodictive Regressions Using the Restricted Likelihood

NYU Working Paper No. SOR-2009-06
Number of pages: 48 Posted: 08 Sep 2009
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 19 (527,777)

Abstract:

Loading...

Bartlett correction, likelihood ratio test, curvature

13.

On Testing the Adequacy of Stable Processes Under Conditional Heteroscedasticity

NYU Working Paper No. SOR-2000-11
Number of pages: 14 Posted: 31 Oct 2008
Rohit Deo
Stern School of Business, New York University
Downloads 12 (569,803)

Abstract:

Loading...

Stable, Goodness-of-fit, Conditional heteroscedasticity, Tail index

14.

Bias Reduction and Likelihood Based Almost-Exactly Sized Hypothesis Testing in Predestricted Regressions using the Restricted Likelihood

NYU Working Paper No. 2451/28231
Number of pages: 48 Posted: 10 Sep 2013
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 8 (595,080)

Abstract:

Loading...

Bartlett correction, likelihood ratio test, curvature

15.

The Restricted Likelihood Ratio Test for Autoregressive Processes

Journal of Time Series Analysis, Vol. 33, Issue 2, pp. 325-339, 2012
Number of pages: 15 Posted: 07 Mar 2012
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Downloads 0 (669,706)
  • Add to Cart

Abstract:

Loading...

Restricted maximum likelihood, likelihood ratio test, partial autocorrelation, reparametrization