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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|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242|
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
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