S. Rao

Finance · with Fryzlewicz · 2001–2015

A researcher in the Science corpus: 7 papers; trusts 34 researchers and is trusted by 37 researchers here, as inferred from the citation graph.

Subfields

• Finance — 37 citations into it; #1,337 of 10,518 by trust here, #2,212 by citations
• Statistics and Probability — 33 citations into it; #11,035 of 12,932 by trust here, #10,275 by citations
• Economics and Econometrics — 22 citations into it; #2,781 of 23,481 by trust here, #6,146 by citations
• Artificial Intelligence — 8 citations into it; #8,691 of 35,345 by trust here, #24,417 by citations
• Control and Systems Engineering — 8 citations into it
• Management Science and Operations Research — 7 citations into it
• Economics & Operations Research — 5 citations into it

Whom S. Rao trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Rainer Dahlhaus
3. Tim Bollerslev
4. Ignacio N. Lobato
5. Bojan Basrak
6. Liudas Giraitis
7. Richard A. Davis
8. Thomas Mikosch
9. Dimitris Nicolas Politis
10. Emanuel Parzen

Who trusts S. Rao overall

1. Michael Vogt
2. Carsten Jentsch
3. Rainer Dahlhaus
4. Piotr Fryzlewicz
5. Pasquale Della Corte
6. Chorng-Shyong Ong
7. Patrícia Ramos
8. Holger Dette
9. Franccois Roueff
10. Lucio Sarno

Papers from S. Rao's perspective

Ordered by how strongly the researchers S. Rao trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (Review of Economics and Statistics)
3. The stationary bootstrap
4. Regular variation of GARCH processes
5. STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM (Econometric Theory)
6. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
7. Mixing: Properties and Examples
8. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
9. Martingale Limit Theory and Its Application
10. A Wavelet‐Based Test for Stationarity

Their papers

• Statistical inference for time-varying ARCH processes (2006) — 255 citations
• Normalized least-squares estimation in time-varying ARCH models (2008) — 73 citations
• On some nonstationary, nonlinear random processes and their stationary approximations (2006) — 62 citations
• A Haar-Fisz technique for locally stationary volatility estimation (2006) — 83 citations
• Mixing properties of ARCH and time-varying ARCH processes (2011) — 53 citations
• A test for second order stationarity of a multivariate time series (2015) — 57 citations
• A Course in Time Series Analysis (2001) — 265 citations