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

DOI10.1016/S0304-4076(96)00008-5zbMath1030.62538MaRDI QIDQ1362496

Ralf Runde

Publication date: 12 August 1997

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

zbMATH Keywords

asymptotic distributiondomain of attractionstable lawautocorrelationportmanteau test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites Work

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• A Method for Simulating Stable Random Variables
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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