Rohit Deo

1.1k total citations
29 papers, 736 citations indexed

About

Rohit Deo is a scholar working on Finance, Economics and Econometrics and Statistics and Probability. According to data from OpenAlex, Rohit Deo has authored 29 papers receiving a total of 736 indexed citations (citations by other indexed papers that have themselves been cited), including 27 papers in Finance, 20 papers in Economics and Econometrics and 7 papers in Statistics and Probability. Recurrent topics in Rohit Deo's work include Financial Risk and Volatility Modeling (25 papers), Complex Systems and Time Series Analysis (19 papers) and Market Dynamics and Volatility (8 papers). Rohit Deo is often cited by papers focused on Financial Risk and Volatility Modeling (25 papers), Complex Systems and Time Series Analysis (19 papers) and Market Dynamics and Volatility (8 papers). Rohit Deo collaborates with scholars based in United States and France. Rohit Deo's co-authors include Clifford M. Hurvich, Matthew Richardson, Willa Chen, Yi Wang, Philippe Soulier and Jun Liu and has published in prestigious journals such as Biometrika, Journal of Econometrics and Journal of the Royal Statistical Society Series B (Statistical Methodology).

In The Last Decade

Rohit Deo

28 papers receiving 674 citations

Peers

Rohit Deo
Feike C. Drost Netherlands
Cecilia Mancini Italy
Markus Haas Germany
Jeroen V.K. Rombouts Canada
Daniel Straumann Switzerland
Dominik Wied Germany
Roel C. A. Oomen United Kingdom
Giorgio Calzolari Italy
Cătălin Stărică United States
Beatriz Vaz de Melo Mendes Brazil
Feike C. Drost Netherlands
Rohit Deo
Citations per year, relative to Rohit Deo Rohit Deo (= 1×) peers Feike C. Drost

Countries citing papers authored by Rohit Deo

Since Specialization
Citations

This map shows the geographic impact of Rohit Deo's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Rohit Deo with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Rohit Deo more than expected).

Fields of papers citing papers by Rohit Deo

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Rohit Deo. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Rohit Deo. The network helps show where Rohit Deo may publish in the future.

Co-authorship network of co-authors of Rohit Deo

This figure shows the co-authorship network connecting the top 25 collaborators of Rohit Deo. A scholar is included among the top collaborators of Rohit Deo based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Rohit Deo. Rohit Deo is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Liu, Jun, Rohit Deo, & Clifford M. Hurvich. (2019). The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility. Journal of Time Series Analysis. 40(4). 590–608.
2.
Deo, Rohit. (2016). On the Tracy–Widom approximation of studentized extreme eigenvalues of Wishart matrices. Journal of Multivariate Analysis. 147. 265–272. 5 indexed citations
3.
Deo, Rohit, et al.. (2011). The restricted likelihood ratio test for autoregressive processes. Journal of Time Series Analysis. 33(2). 325–339. 5 indexed citations
4.
Deo, Rohit, Clifford M. Hurvich, Philippe Soulier, & Yi Wang. (2009). CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY. Econometric Theory. 25(3). 764–792. 2 indexed citations
5.
6.
Chen, Willa & Rohit Deo. (2006). THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS. Econometric Theory. 22(2). 3 indexed citations
7.
Deo, Rohit, et al.. (2005). Tracing the Source of Long Memory in Volatility. The Faculty Digital Archive (New York University). 3 indexed citations
8.
Deo, Rohit, et al.. (2005). Estimation of mis-specified long memory models. Journal of Econometrics. 134(1). 257–281. 8 indexed citations
9.
Deo, Rohit, et al.. (2003). Power Transformations to Induce Normality and their Applications. Journal of the Royal Statistical Society Series B (Statistical Methodology). 66(1). 117–130. 41 indexed citations
10.
Deo, Rohit. (2002). On testing the adequacy of stable processes under conditional heteroscedasticity. Journal of Empirical Finance. 9(2). 257–270. 2 indexed citations
11.
Deo, Rohit & Matthew Richardson. (2001). On the Asymptotic Power of the Variance Ratio Test. The Faculty Digital Archive (New York University). 1 indexed citations
12.
Deo, Rohit & Clifford M. Hurvich. (2001). ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS. Econometric Theory. 17(4). 686–710. 15 indexed citations
13.
Deo, Rohit & Clifford M. Hurvich. (2000). Estimation of Long Memory in Volatility. The Faculty Digital Archive (New York University). 14 indexed citations
14.
Deo, Rohit, et al.. (2000). On the integral of the squared periodogram. Stochastic Processes and their Applications. 85(1). 159–176. 22 indexed citations
15.
Deo, Rohit. (2000). On estimation and testing goodness of fit for m-dependent stable sequences. Journal of Econometrics. 99(2). 349–372. 8 indexed citations
16.
Hurvich, Clifford M. & Rohit Deo. (1999). Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series. Journal of Time Series Analysis. 20(3). 331–341. 6 indexed citations
17.
Hurvich, Clifford M., et al.. (1998). The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series. Journal of Time Series Analysis. 19(1). 19–46. 234 indexed citations
18.
Deo, Rohit. (1997). Spectral tests of the martingale hypothesis under conditional heteroscedasticity. The Faculty Digital Archive (New York University). 1 indexed citations
19.
Deo, Rohit. (1997). Asymptotic theory for certain regression models with long memory errors. Journal of Time Series Analysis. 18(4). 385–393. 11 indexed citations
20.
Deo, Rohit. (1997). Nonparametric regression with long-memory errors. Statistics & Probability Letters. 33(1). 89–94. 9 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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