Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter … achieve rate-optimality against several classes of alternatives. The test can detect alternatives with many small correlation … monthly financial square returns illustrate the usefulness of the proposed approach. -- Absence of serial correlation ; Data …

it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …