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Testing financial time series for autocorrelation: Robust Tests
Two modified Portmanteau statistics are studied under dependence assumptions common in financial applications which can be used for testing that heteroskedastic time series are serially uncorrelated without assuming independence or Normality. Their asymptotic distribution is found to be null and the...
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| Publicado no: | CIENCIA ergo-sum, Revista Científica Multidisciplinaria de Prospectiva |
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| Autor principal: | |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidad Autónoma del Estado de México
2020
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=10463384006 |
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