The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance. An application to German stock returns

DOI10.1016/S0304-4076(96)00008-5MaRDI QIDQ1362496zbMATHFDO

Authors Ralf Runde

Publication date 12 August 1997

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

asymptotic distributionautocorrelationstable lawdomain of attractionportmanteau test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A Method for Simulating Stable Random Variables
• A simple general approach to inference about the tail of a distribution
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Laws of large numbers for sums of extreme values
• Limit theory for the sample covariance and correlation functions of moving averages
• On a measure of lack of fit in time series models
• On some expansions of stable distribution functions
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences

Cited in

(10)

• Moment condition tests for heavy tailed time series
• A method for fitting stable autoregressive models using the autocovariation function
• A note on the asymptotic distribution of the \(F\)-statistic for random variables with infinite variance
• Testing for stability based on the empirical characteristic funstion with applications to financial data
• Testing for independence in heavy-tailed time series using the codifference function
• Trimmed portmanteau test for linear processes with infinite variance
• Diagnostic checking in linear processes with infinite variance
• The quantilogram: with an application to evaluating directional predictability
• Robust score and portmanteau tests of volatility spillover
• On the properties of the coefficient of determination in regression models with infinite variance variables

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