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Testing for Autocorrelation Using a Modified Box-Pierce Q Test.. (2001). Lobato, Ignacio ; Nankervis, John C ; Savin, N E.
In: International Economic Review.
RePEc:ier:iecrev:v:42:y:2001:i:1:p:187-205.

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  1. Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. (2024). Ali, Shahid ; Ullah, Ihsan ; Akbar, Muhammad ; Rehman, Naser.
    In: International Review of Economics & Finance.
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  2. NFTs versus conventional cryptocurrencies: A comparative analysis of market efficiency around COVID-19 and the Russia-Ukraine conflict. (2024). Okorie, David ; Mazur, Mieszko ; Bouri, Elie.
    In: The Quarterly Review of Economics and Finance.
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  3. Data-driven portmanteau tests for time series. (2022). Cucina, Domenico ; Battaglia, Francesco ; Baragona, Roberto.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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  4. Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel.
    In: Physica A: Statistical Mechanics and its Applications.
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  5. Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses. (2021). Wang, Xuexin.
    In: Working Papers.
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  6. Estimating FARIMA models with uncorrelated but non-independent error terms. (2021). Saussereau, Bruno ; Esstafa, Youssef ; Mainassara, Yacouba Boubacar.
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  7. Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis. (2021). Jafari, Mohammad Ali ; Ghazani, Majid Mirzaee.
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  9. Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David.
    In: The North American Journal of Economics and Finance.
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    In: Finance Research Letters.
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  17. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
    In: Post-Print.
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  18. Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie.
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  19. Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M.
    In: Journal of International Money and Finance.
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  20. Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
    In: International Economics.
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  21. The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M.
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  22. Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier .
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  23. How profitable are FX technical trading rules?. (2016). Coakley, Jerry ; Nankervis, John ; Marzano, Michele .
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  25. Are prolonged conflict and tension deterrents for stock market integration? The case of Sri Lanka. (2015). Narayan, Seema ; Sriananthakumar, Sivagowry .
    In: International Review of Economics & Finance.
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  26. Intertemporal risk–return relationships in bull and bear markets. (2015). Wu, Shue-Jen ; Lee, Wei-Ming .
    In: International Review of Economics & Finance.
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  27. Will precious metals shine? A market efficiency perspective. (2015). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie.
    In: International Review of Financial Analysis.
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  28. Generalized Variance-Ratio Tests in the Presence of Statistical Dependence. (2015). Kougoulis, Periklis ; Coakley, Jerry ; Nankervis, John C ; Osborn, Denise ; Kellard, Neil.
    In: Journal of Time Series Analysis.
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  29. Papers with John. (2015). Kellard, Neil ; Savin, Nathan E ; Coakley, Jerry ; Osborn, Denise .
    In: Journal of Time Series Analysis.
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  30. Testing the Martingale Hypothesis. (2014). Phillips, Peter ; Jin, Sainan ; Peter C. B. Phillips, .
    In: Journal of Business & Economic Statistics.
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  33. Multivariate Variance Ratio Statistics. (2014). LINTON, OLIVER ; Hong, Seok Young ; Zhang, Hui Jun .
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  34. PORTMANTEAU AUTOCORRELATION TESTS UNDER Q-DEPENDENCE AND HETEROSKEDASTICITY. (2014). Harris, David ; Kew, Hsein .
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  35. Adaptive market hypothesis: evidence from the REIT market. (2013). Zhou, Jian ; Lee, Jin Man.
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  36. The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets. (2013). Todea, Alexandru ; Pleoianu, Anita .
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  37. Dynamic Models for Volatility and Heavy Tails. (2013). Harvey, Andrew C.
    In: Cambridge Books.
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  39. Testing for uncorrelated errors in ARMA models: non‐standard Andrews‐Ploberger tests. (2012). Nankervis, John C. ; Savin, Nathan E..
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    In: Economic Modelling.
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  45. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis. (2011). Kim, Jae ; Darné, Olivier ; Charles, Amelie.
    In: Post-Print.
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  51. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis. (2010). Kim, Jae ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
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  52. Integer-valued moving average modelling of the number of transactions in stocks. (2010). Quoreshi, Shahiduzzaman ; Brännäs, Kurt ; A. M. M. Shahiduzzaman Quoreshi, ; Brannas, Kurt .
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  54. Distribution-free tests for time series models specification. (2010). Velasco, Carlos ; Delgado, Miguel.
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  55. Testing for Serial Correlation: Generalized Andrews–Ploberger Tests. (2010). Nankervis, John C. ; Savin, N. E..
    In: Journal of Business & Economic Statistics.
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  56. An automatic Portmanteau test for serial correlation. (2009). Lobato, Ignacio ; Escanciano, Juan Carlos.
    In: Journal of Econometrics.
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  57. Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?. (2007). Chortareas, Georgios ; Nankervis, John ; Jiang, Ying.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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  58. Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness. (2006). Lobato, Ignacio ; Horowitz, Joel L. ; Savin, N. E. ; Nankervis, John C..
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  59. Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks. (2004). Quoreshi, Shahiduzzaman ; Brännäs, Kurt.
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  60. A New Test of the Martingale Difference Hypothesis. (2004). Kuan, Chung-Ming ; Lee, Wei-Ming .
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  62. On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study. (2002). Chen, Yi-Ting .
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    RePEc:ebl:ecbull:eb-02c40014.

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  63. A Consistent Test for the Martingale Difference Assumption. (2000). Lobato, Ignacio.
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