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)00008-5zbMATH Open1030.62538MaRDI QIDQ1362496FDOQ1362496

Authors: Ralf Runde 

Publication date: 12 August 1997

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

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zbMATH Keywords

asymptotic distributionautocorrelationstable lawdomain of attractionportmanteau test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• A Method for Simulating Stable Random Variables
• Title not available (Why is that?)
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• On a measure of lack of fit in time series models
• Title not available (Why is that?)
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• A simple general approach to inference about the tail of a distribution
• On some expansions of stable distribution functions
• Limit theory for the sample covariance and correlation functions of moving averages
• Laws of large numbers for sums of extreme values

Cited In (10)

• 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 independence in heavy-tailed time series using the codifference function
• Diagnostic checking in linear processes with infinite variance
• Trimmed portmanteau test for linear processes with infinite variance
• The quantilogram: with an application to evaluating directional predictability
• Robust score and portmanteau tests of volatility spillover
• Moment condition tests for heavy tailed time series
• Testing for stability based on the empirical characteristic funstion with applications to financial data
• On the properties of the coefficient of determination in regression models with infinite variance variables

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