Rohit Deo

The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series

Clifford M. Hurvich, Rohit Deo, Julia Brodsky · Journal of Time Series Analysis · 1998 · 349 citations

Parameter Estimation, Engineering, Time Series Econometrics +17

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

Rohit Deo, Clifford M. Hurvich, Yi Lu · Journal of Econometrics · 2005 · 196 citations

Forecasting Methodology, Volatility Modeling, Multivariate Stochastic Volatility +11

Spectral tests of the martingale hypothesis under conditional heteroscedasticity

Rohit Deo · Journal of Econometrics · 2000 · 108 citations

ON THE ASYMPTOTIC POWER OF THE VARIANCE RATIO TEST

Rohit Deo, Matthew Richardson · Econometric Theory · 2003 · 59 citations

Power Transformations to Induce Normality and their Applications

Willa W. Chen, Rohit Deo · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2003 · 54 citations · Full text

Power Transformations, Generalized Function, Integral Transform +9