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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
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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
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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
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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
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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
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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
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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