Testing for autocorrelation using a modified Box-Pierce Q test

This article investigates the finite-sample performance of a modified Box-P ierce a statistic (Q*) for testing that financial time series are uncorrela ted without assuming statistical independence. The finite-sample rejection probabilities of the (Q* test under the null and its power are examined in experiments using time series generated by an MA(1) process where the error s are generated by a GARCH (1,1) model and by a long memory stochastic vola tility model. The tests are applied to daily currency returns.