We explore the impact of time series behavior on model errors when working under an elliptically contoured distribution. By adopting a time series approach aligned with the realistic dependence between errors under such distributions, this perspective shifts the focus from increasingly complex...

The presence of autocorrelated financial returns has major implications for investment decisions. Unsurprisingly, therefore, numerous studies have sought to shed light on whether returns are autocorrelated or not, to what extent, and when. Standard tests for autocorrelation rely on the...