Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of Financial Econometrics 11 (2013) 4, pp. 682-705
We develop tests for predictability in a first-order ARMA model often suggested for stock returns. Instead of the conventional ARMA model, we consider its non-Gaussian and noninvertible counterpart that has identical autocorrelation properties but allows for conditional heteroskedasticity...