Relevant bibliographies by topics / Ljung-Box

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Ljung-Box'

Author: Grafiati
Published: 15 June 2021
Last updated: 29 July 2025

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Journal articles on the topic "Ljung-Box"

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Hassani, Hossein, and Mohammad Reza Yeganegi. "Selecting optimal lag order in Ljung–Box test." Physica A: Statistical Mechanics and its Applications 541 (March 2020): 123700. http://dx.doi.org/10.1016/j.physa.2019.123700.

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Jo, Yeongsang, Yoonjae Lee, and Taewook Lee. "Wild bootstrap Ljung-Box test for residuals of ARMA models." Journal of the Korean Data And Information Science Society 36, no. 2 (2025): 265–76. https://doi.org/10.7465/jkdi.2025.36.2.265.

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No, Taehyun, and Taewook Lee. "Wild bootstrap Ljung-Box test for residual autocorrelation in vector autoregressive models." Journal of the Korean Data And Information Science Society 31, no. 3 (2020): 477–85. http://dx.doi.org/10.7465/jkdi.2020.31.3.477.

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Hassani, Hossein, and Mohammad Reza Yeganegi. "Sum of squared ACF and the Ljung–Box statistics." Physica A: Statistical Mechanics and its Applications 520 (April 2019): 81–86. http://dx.doi.org/10.1016/j.physa.2018.12.028.

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Kim, Eunhee, Jeongcheol Ha, Youngsook Jeon, and Sangyeol Lee. "Ljung-Box Test in Unit Root AR-ARCH Model." Communications for Statistical Applications and Methods 11, no. 2 (2004): 323–27. http://dx.doi.org/10.5351/ckss.2004.11.2.323.

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Hussain, Shahadat, Sujit Kumer Deb Nath, and Md Yeasir Arafat Bhuiyan. "Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)." International Journal of Business and Social Research 6, no. 11 (2017): 58. http://dx.doi.org/10.18533/ijbsr.v6i11.1015.

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<p>We study the random walk behavior of Chittagong Stock Exchange (CSE) by using daily returns of three indices for the period of 2006 to 2016 employing both non-parametric test (run test) and parametric tests [autocorrelation coefficient test, Ljung– Box (LB) statistics]. The skewness and kurtosis properties of daily return series are non-normal, with a hint of positively skewed and leptokurtic distribution. The results of run test; autocorrelation and Ljung–Box (LB) statistics provide evidences against random walk behavior in the Chittagong Stock Exchange. Overall our result suggest th
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Wenning, Zachary, and Emily Valenci. "A Monte Carlo Simulation Study on the Power of Autocorrelation Tests for ARMA Models." American Journal of Undergraduate Research 16, no. 3 (2019): 59–67. http://dx.doi.org/10.33697/ajur.2019.030.

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It is often the case when assessing the goodness of fit for an ARMA time series model that a portmanteau test of the residuals is conducted to assess residual serial correlation of the fitted ARMA model. Of the many portmanteau tests available for this purpose, one of the most famous and widely used is a variant of the original Box-Pierce test, the Ljung-Box test. Despite the popularity of this test, however, there are several other more modern portmanteau tests available to assess residual serial autocorrelation of the fitted ARMA model. These include two portmanteau tests proposed by Monti a
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Sarantsev, Andrey. "IID Time Series Testing." Theory of Stochastic Processes 27(43), no. 1 (2023): 41–52. http://dx.doi.org/10.3842/tsp-8836211480-29.

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Traditional white noise testing, for example the Ljung-Box test, studies only the autocorrelation function (ACF). Time series can be heteroscedastic and therefore not i.i.d. but still white noise (that is, with zero ACF). An example of heteroscedasticity is financial time series: times of high variance (financial crises) can alternate with times of low variance (calm times). Here, absolute values of time series terms are not white noise. We could test for white noise separately for original and absolute values, for example using Ljung-Box tests for both. In this article, we create an omnibus t
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Lee, Myeongwoo, and Taewook Lee. "Wild bootstrap Ljung-Box test for autocorrelation in vector autoregressive and error correction models." Korean Journal of Applied Statistics 29, no. 1 (2016): 61–73. http://dx.doi.org/10.5351/kjas.2016.29.1.061.

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孙, 淇铭. "Comparative Study of Ljung-Box Test and Its Improved Methods." Advances in Applied Mathematics 12, no. 04 (2023): 1884–96. http://dx.doi.org/10.12677/aam.2023.124195.

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Dissertations / Theses on the topic "Ljung-Box"

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AIDOO, ERIC. "MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS." Thesis, Högskolan Dalarna, Statistik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:du-4828.

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Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates i
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Henriksson, Albin. "Market efficiency and the financial crisis : A study based on the market efficiency in the Nordic countries." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104589.

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The efficient market hypothesis states that stock prices fully reflect availablei nformation and that stocks thereby always are priced correctly. Hence, it should be impossible to predict future prices in the stock market, and investors will gain no benefits from engaging themselves into historical analyzes. This is a quantitative study which aim to investigate if there is any difference in market efficiency in Nordic stock markets during and after the financial crisis of 2008. By applying various statistical methods, such as unitroot tests, autocorrelation tests and runs test on the returns f
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Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

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<p>This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the&nbsp<br>Geometric Brownian motion in finance, namely the stationa
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Esstafa, Youssef. "Modèles de séries temporelles à mémoire longue avec innovations dépendantes." Thesis, Bourgogne Franche-Comté, 2019. http://www.theses.fr/2019UBFCD021.

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Dans cette thèse nous considérons, dans un premier temps, le problème de l'analyse statistique des modèles FARIMA (Fractionally AutoRegressive Integrated Moving-Average) induits par un bruit blanc non corrélé mais qui peut contenir des dépendances non linéaires très générales. Ces modèles sont appelés FARIMA faibles et permettent de modéliser des processus à mémoire longue présentant des dynamiques non linéaires, de structures souvent non-identifiées, très générales. Relâcher l'hypothèse d'indépendance sur le terme d'erreur, une hypothèse habituellement imposée dans la littérature, permet aux
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Boubacar, Mainassara Yacouba. "Estimation, validation et identification des modèles ARMA faibles multivariés." Phd thesis, Université Charles de Gaulle - Lille III, 2009. http://tel.archives-ouvertes.fr/tel-00452032.

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Dans cette thèse nous élargissons le champ d'application des modèles ARMA (AutoRegressive Moving-Average) vectoriels en considérant des termes d'erreur non corrélés mais qui peuvent contenir des dépendances non linéaires. Ces modèles sont appelés des ARMA faibles vectoriels et permettent de traiter des processus qui peuvent avoir des dynamiques non linéaires très générales. Par opposition, nous appelons ARMA forts les modèles utilisés habituellement dans la littérature dans lesquels le terme d'erreur est supposé être un bruit iid. Les modèles ARMA faibles étant en particulier denses dans l'ens
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Moutran, Emilie. "Les modèles vectoriels et multiplicatifs avec erreurs non-négatives de séries chronologiques." Thèse, 2014. http://hdl.handle.net/1866/11026.

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Book chapters on the topic "Ljung-Box"

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Di Lorenzo, Renato. "Ljung-Box." In Trading Systems. Springer Milan, 2012. http://dx.doi.org/10.1007/978-88-470-2706-0_8.

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Çıtak, Levent, Veli Akel, and Murat Çetin. "Testing Random Walk Hypothesis in Turkish Foreign Exchange Market." In International Business. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-4666-9814-7.ch046.

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This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results
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Çıtak, Levent, Veli Akel, and Murat Çetin. "Testing Random Walk Hypothesis in Turkish Foreign Exchange Market." In Handbook of Research on Strategic Developments and Regulatory Practice in Global Finance. IGI Global, 2015. http://dx.doi.org/10.4018/978-1-4666-7288-8.ch004.

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This chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results
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Conference papers on the topic "Ljung-Box"

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Zhang, Gaorui, Huaiqin Sun, Zhihan Zhou, Sai Li, Zhiying Xu, and Juan Li. "Forecasting the development of animal services engineering based on ARIMA model and Ljung-Box test." In Third International Conference on Algorithms, Network and Communication Technology (ICANCT 2024), edited by Fabrizio Marozzo. SPIE, 2025. https://doi.org/10.1117/12.3061472.

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Serra, Ramiro, and Andres C. Rodriguez. "The Ljung-Box test as a performance indicator for VIRCs." In 2012 International Symposium on Electromagnetic Compatibility - EMC EUROPE. IEEE, 2012. http://dx.doi.org/10.1109/emceurope.2012.6396834.

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Pereira, Tuane Proença, Carla Simone de Albuquerque, Viviane Leite Dias de Mattos, Andréa Cristina Konrath, Luiz Ricardo Nakamura, and Vera do Carmo Comparsi de Vargas. "ANÁLISE DE DESEMPENHO DO TESTE LJUNG-BOX NA APLICAÇÃO DO MODELO SARIMA NOS DADOS MENSAIS DA DEMANDA DE ENERGIA ELÉTRICA DA CLASSE CONSUMIDORA COMERCIAL DO RS." In Encontro nacional de modelagem computacional e encontro de ciência e tecnologia de materiais. Even3, 2021. http://dx.doi.org/10.29327/154013.24-22.

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Santos, Hortense, Rui Dias, Paula Heliodoro, and Paulo Alexandre. "TESTING THE EMPIRICS OF WEAK FORM OF EFFICIENT MARKET HYPOTHESIS: EVIDENCE FROM LAC REGION MARKETS." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.2020.91v.

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The new coronavirus disease (Covid-19) evolved quickly from a regional health outbreak to a global collapse, stopping the global economy in a unprecedented way, creating uncertainty and chaos in the financial markets. Based on these events, it is intended in this paper to test the persistence of profitability in the financial markets of Argentina, Brazil, Chile, Colombia, Peru and Mexico, in the period between January 2018 to July 2020. In order to perform this analysis where undertaken different approaches in order to analyze if: (i) the financial markets of Latin America are efficient in the
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Santos, Hortense, Rui Dias, Paula Heliodoro, and Paulo Alexandre. "TESTING THE EMPIRICS OF WEAK FORM OF EFFICIENT MARKET HYPOTHESIS: EVIDENCE FROM LAC REGION MARKETS." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.2020.91.

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The new coronavirus disease (Covid-19) evolved quickly from a regional health outbreak to a global collapse, stopping the global economy in a unprecedented way, creating uncertainty and chaos in the financial markets. Based on these events, it is intended in this paper to test the persistence of profitability in the financial markets of Argentina, Brazil, Chile, Colombia, Peru and Mexico, in the period between January 2018 to July 2020. In order to perform this analysis where undertaken different approaches in order to analyze if: (i) the financial markets of Latin America are efficient in the
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