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A Note on temporal aggregation and serial correlation

Author: Hawawini, Gabriel INSEAD Area: FinanceIn: Economics Letters, vol.1, no. 3, 1978 Language: EnglishDescription: p. 237-242.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: Given a time series of daily price changes, one can estimate first-order serial correlation coefficient over one-day or T-day intervals. It is shown that these coefficients are generally not identical. Their temporal behavior is examined in this note
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INSEAD Article Europe Campus
Available BC007522
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Given a time series of daily price changes, one can estimate first-order serial correlation coefficient over one-day or T-day intervals. It is shown that these coefficients are generally not identical.
Their temporal behavior is examined in this note

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