Hi,
I am trying to replicate the paper by Brock, Lakonishok and LeBaron:
Simple technical trading rules and the stochastic properties of stock
returns.
They calculate the estimated autocorrelation and test for its significance
at the 1 and 5% levells for a two tailed test, they also do that with
skewness as well as kurtosis.
Can anybody help with how to do that as i am using stata and i don t know
how to deal with it. Any help is really appreciated as its for my
dissertation.
--
Mahmoud Abd El Aal
MSc. F&I
UOB
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