Narrow search
Showing 1 - 10 of 11
Cover Image
Conditions for the propagation of memory parameter from durations to counts and realized volatilty
Deo, Rohit S.; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10003864181
Cover Image
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; … - In: Econometric theory 25 (2009) 3, pp. 764-792
Persistent link: https://www.econbiz.de/10008257713
Cover Image
On the log periodogram regression estimator of the memory parameter in long memory stochastic volatility models
Deo, Rohit S.; Hurvich, Clifford M. - In: Econometric theory 17 (2001) 4, pp. 686-710
Persistent link: https://www.econbiz.de/10001606768
Cover Image
TESTING FOR LONG MEMORY IN VOLATILITY
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10006972306
Cover Image
Testing for long memory in volatility
Hurvich, Clifford M.; Soulier, Philippe - In: Econometric theory 18 (2002) 6, pp. 1291-1308
Persistent link: https://www.econbiz.de/10001716895
Cover Image
Limit laws in transaction-level asset price models
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford M.; … - In: Econometric theory 30 (2014) 3, pp. 536-579
Persistent link: https://www.econbiz.de/10010500888
Cover Image
On the asymptotic power of the variance ratio test
Deo, Rohit S.; Richardson, Matthew - In: Econometric theory 19 (2003) 2, pp. 231-239
Persistent link: https://www.econbiz.de/10001743397
Cover Image
The variance ratio statistic at large horizons
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 22 (2006) 2, pp. 206-234
Persistent link: https://www.econbiz.de/10003301228
Cover Image
Bias reduction and likelihood-based almost exactly sized hypothesis testing in predictive regressions using the restricted likelihood
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 25 (2009) 5, pp. 1143-119
Persistent link: https://www.econbiz.de/10003885740
Cover Image
A generalized portmanteau goodness-of-fit test for time series models
Chen, Willa W.; Deo, Rohit S. - In: Econometric theory 20 (2004) 2, pp. 382-416
Persistent link: https://www.econbiz.de/10001988207