The Accuracy of Autocorrelation Estimates

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 5 in Modelling Financial Time Series, 2007, pp 116-132 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONEXTREME EXAMPLESA SPECIAL NULL HYPOTHESISESTIMATES OF THE VARIANCES OF SAMPLE AUTOCORRELATIONSSOME ASYMPTOTIC RESULTSLinear processesNon-linear processesINTERPRETING THE ESTIMATESTHE ESTIMATES FOR RETURNSACCURATE AUTOCORRELATION ESTIMATESRescaled returnsVariance estimates for recommended coefficientsExceptional seriesSIMULATION RESULTSAUTOCORRELATIONS OF RESCALED PROCESSESSUMMARY

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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