Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test.
Nankervis, J.C., Savin, N.E., Lobato, I.
This paper investigates the problem of testing that stock returns are uncorrelated without assuming statistical independence. This paper presents a generalized Box-Pierce Q statistics, denoted by Q*,...
Multiple Optima and Asymptotic Approximations in the Partial Adjustment Model.
McManus, D.A., Nankervis, J.C., Savin, N.E.
statistics ; economic models ; probability
The Student's t Approximation in a Stationary First Order Autoregressive Model.
The exact distribution of the regression t statistic for testing the value of the AR parameter in a Gaussian first ord er autoregressive model is investigated by Monte Carlo methods. The S tudent's t...
The MSCI-Canada index rebalancing and excess comovement
J. Coakley, P. Kougoulis, J. C. Nankervis
Major changes to the MSCI Canada Standard Country index were announced and implemented in May 2000. This rebalancing involved the addition of some 17 and deletion of 13 stocks and had the net effect...