Journal article
Testing for Autocorrelation Using a Modified Box-Pierce Q Test
International economic review (Philadelphia), Vol.42(1), pp.187-205
02/2001
DOI: 10.1111/1468-2354.00106
Abstract
This article investigates the finite-sample performance of a modified Box-Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite-sample rejection probabilities of the Q* test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns.
Details
- Title: Subtitle
- Testing for Autocorrelation Using a Modified Box-Pierce Q Test
- Creators
- Ignacio Lobato - Instituto Tecnológico Autónomo de MéxicoJohn C. Nankervis - University of SurreyN. E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- International economic review (Philadelphia), Vol.42(1), pp.187-205
- DOI
- 10.1111/1468-2354.00106
- ISSN
- 0020-6598
- eISSN
- 1468-2354
- Publisher
- Blackwell Publishers Inc
- Number of pages
- 19
- Language
- English
- Date published
- 02/2001
- Academic Unit
- Economics
- Record Identifier
- 9984963101702771
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