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Testing for Autocorrelation Using a Modified Box‐Pierce Q Test
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Testing for Autocorrelation Using a Modified Box‐Pierce Q Test (2001)Testing for Autocorrelation Using a Modif…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Real and Spurious Long-Memory…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series (1996)Asymptotic distributions of t…5 Stochastic volatility (1996)5 Stochastic volatilityThe predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression (1991)Testing for strong serial cor…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…Tests for Hurst Effect (1987)Tests for Hurst EffectGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic (2021)Adaptive market hypothesis: T…Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices (2019)Testing the adaptive market h…The financial economics of white precious metals — A survey (2017)The financial economics of wh…Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices (2017)Adaptive markets hypothesis f…Will precious metals shine? 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References

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  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 19965 Stochastic volatility1,189 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1987Tests for Hurst Effect544 cited
  • 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation419 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited
  • 1998Real and Spurious Long-Memory Properties of Stock-Market Data327 cited
  • 1996Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

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Cited by

  • 2010Small sample properties of alternative tests for martingale difference hypothesis104 cited
  • 2002TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE97 cited
  • 2017The financial economics of white precious metals — A survey95 cited
  • 2005Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness88 cited
  • 2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic80 cited
  • 2011Forecasting exchange rate volatility using high-frequency data: Is the euro different?80 cited
  • 2015Will precious metals shine? A market efficiency perspective75 cited
  • 2009Testing the Martingale Hypothesis69 cited
  • 2010Integer-valued moving average modelling of the number of transactions in stocks67 cited
  • 2013Adaptive market hypothesis: evidence from the REIT market60 cited
  • 2019Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices60 cited
  • 2014Quantile Regression in Risk Calibration53 cited
  • 2017Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices46 cited
  • 2004A New Test of the Martingale Difference Hypothesis44 cited
  • 2015Intertemporal risk–return relationships in bull and bear markets43 cited
  • 2010How do exchange rates co-move? A study on the currencies of five inflation-targeting countries33 cited