Ch 6 - Testing for predictability in financial time series Flashcards
1
Q
The simplest and most widely cited measure of time series predictability is ________
A
Autocorrelation
2
Q
What is the difference between correlation and autocorrelation?
A
Correlation measures the linear dependence between 2 variables and autocorrelation measures the linear dependence between the current value of a time series variable and the past value of the same variable
3
Q
When the data exhibits heteroskedasticity, the ______ test is not appropriate since it relies on the assumption that the data set is ____
A
Bartlett’s, iid
4
Q
What do you use to perform joint tests on many autocorrelations?
A
Ljung Box Q statistic
5
Q
The Qlb(L) statistic is simply a weighted sum of _________
A
The squared autocorrelation coefficients
