We provide nonparametric quantile regressions to test for autocorrelation patterns for weekly and monthly stock returns. We test in four developed markets (North America, Europe, Japan, and Asia without Japan) and five market-size portfolios. We find greater heteroskedasticity for the...

For a time series generated by polynomial trend with stationary long-memory errors, the ordinary least squares estimator (OLSE) of the trend coefficients is asymptotically normal, provided the error process is linear. The asymptotic distribution may no longer be normal, if the error is in the...