Before revision:  The presence of non-linear dependence (usually modelled using GARCH-type dynamics) and heavy-tailedness may make problematic the analysis of (non-)efficiency , volatility clustering and predictive regressions in economic and financial markets using traditional approaches that appeal to asymptotic normality of sample autocorrelation functions (ACFs) of returns and their squares.
After revision:  The presence of non-linear dependence (usually modelled using GARCH-type dynamics) and heavy-tailedness may make problematic the analysis of (non-)efficiency , volatility clustering and predictive regressions in economic and financial markets using traditional approaches that appeal to asymptotic normality of sample autocorrelation functions of returns and their squares.