Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test.

This paper investigates the problem of testing that stock returns are uncorrelated without assuming statistical independence. This paper presents a generalized Box-Pierce Q statistics, denoted by Q*, which has an asymptotic chi-square distribution when the times series is uncorrelated provided it is a martingale difference sequence.

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Year of publication:	1997
Authors:	Nankervis, J.C. ; Savin, N.E. ; Lobato, I.
Institutions:	Department of Economics, Tippie College of Business
Subject:	STOCK MARKET \| TESTS \| ECONOMICS

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005560358