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Testing financial time series for autocorrelation: Robust Tests
Autocorrelación en series de tiempo financieras: pruebas robustas
[journal article]
Abstract 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... view more
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 their small sample properties are examined via Monte Carlo. The power of the tests is studied under the MA and GARCH-in-mean alternatives. The tests exhibit an appropriate empirical size and are seen to be more powerful than a robust Box-Pierce to the selected alternatives. Real data on daily stock returns and exchange rates is used to illustrate the tests.... view less
Se estudian dos estadísticos de Portmanteau modificados bajo supuestos de dependencia comunes en aplicaciones financieras que pueden utilizarse para comprobar que series de tiempo heterocedásticas son serialmente incorreladas sin suponer independencia o normalidad. Se encuentra que su distribución a... view more
Se estudian dos estadísticos de Portmanteau modificados bajo supuestos de dependencia comunes en aplicaciones financieras que pueden utilizarse para comprobar que series de tiempo heterocedásticas son serialmente incorreladas sin suponer independencia o normalidad. Se encuentra que su distribución asintótica es nula y se examinan sus propiedades de muestras pequeñas usando Monte Carlo. El poder de las pruebas se estudia para alternativas MA y GARCH en la media. Las pruebas exhiben un tamaño muestral apropiado y se comprueba que son más poderosas que la prueba robusta de Box-Pierce para alternativas selectas. Ilustramos las pruebas usando datos diarios de retornos financieros y de tipos de cambio.... view less
Keywords
statistics; economy; correlation
Classification
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Basic Research, General Concepts and History of Economics
Free Keywords
nonlinear dependence; sample autocorrelation; portmanteau statistics; robust tests
Document language
English
Publication Year
2020
Page/Pages
p. 376-391
Journal
CIENCIA ergo-sum : revista científica multidisciplinaria de la Universidad Autónoma del Estado de México, 27 (2020) 3
DOI
https://doi.org/10.30878/ces.v27n3a6
ISSN
2395-8782
Status
Published Version; peer reviewed
Licence
Creative Commons - Attribution-Noncommercial-No Derivative Works 4.0
With the permission of the rights owner, this publication is under open access due to a (DFG-/German Research Foundation-funded) national or Alliance license.