On the distribution of the sample autocorrelation coefficients
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- Hammami, Yacine & Lindahl, Anna, 2014. "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 14-28.
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"An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability,"
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- Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
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KeywordsSample autocorrelation coefficient Finite sample distribution Rank-one update;
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