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

Journal of Econometrics

Volumn 78, Issue 2, 1997, Pages 205-216

  Runde, Ralf ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Asymptotic distribution; Autocorrelation; Domain of attraction; Portmanteau test; Stable law

Indexed keywords

EID: 0000729065     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-4076(96)00008-5     Document Type: Article

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