The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
type: Item
instance of: scholarly article
title: The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
zbMATH Open document ID: 1030.62538
DOI: 10.1016/S0304-4076(96)00008-5
author: Ralf Runde
published in: Journal of Econometrics
publication date: 1997-08-12T00:00:00Z
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1043965
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: autocorrelation
zbMATH Keywords: domain of attraction
zbMATH Keywords: portmanteau test
zbMATH Keywords: stable law
MaRDI profile type: Publication
cites work: Q5631966
cites work: On some expansions of stable distribution functions
cites work: Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
cites work: A Method for Simulating Stable Random Variables
cites work: Limit theory for the sample covariance and correlation functions of moving averages
cites work: A simple general approach to inference about the tail of a distribution
cites work: Q5624460
cites work: On a measure of lack of fit in time series models
cites work: Laws of large numbers for sums of extreme values
cites work: On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
description: scientific article; zbMATH DE number 1043965