Abstract
This article investigates the finite‐sample performance of a modified Box‐Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite‐sample rejection probabilities of the Q* test under the null and its power are examined in experiments using time series generated by an MA (1) process where the errors are generated by a GARCH (1, 1) model and by a long memory stochastic volatility model. The tests are applied to daily currency returns.
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