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A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - In: Computational Statistics & Data Analysis 48 (2005) 2, pp. 391-413

Persistent link: https://www.econbiz.de/10005130513

On the size and power of normalized autocorrelation coefficients

Kwan, Andy; Sim, Ah-Boon; Wu, Yangru - In: Applied Financial Economics 15 (2005) 1, pp. 1-11

Tests based on normalized autocorrelation coefficients have been commonly used by applied researchers to examine the randomness of economic and financial time series. This paper investigates via Monte Carlo simulation the finite-sample properties of these tests for randomness, paying special...

Persistent link: https://www.econbiz.de/10005141194

On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - Chinese University of Hong Kong, Department of Economics - 2002

Persistent link: https://www.econbiz.de/10005028756

On the size and power of portmanteau tests for randomness of a time series

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - Chinese University of Hong Kong, Department of Economics - 2002

Persistent link: https://www.econbiz.de/10005028781

Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - Chinese University of Hong Kong, Department of Economics - 2000

Persistent link: https://www.econbiz.de/10005069816

On the Empirical Size of Normalized Autocorrelation Coefficients

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - Chinese University of Hong Kong, Department of Economics - 2000

Persistent link: https://www.econbiz.de/10005069864

On the size and power of normalized autocorrelation coefficients

Kwan, Andy C.C.; Sim, Ah-Boon; Wu, Yangru - In: Applied financial economics 15 (2005) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10007636492