The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

This autocorrelation of the residuals may not be a very good estimate of the autocorrelation of the true errors, especially if there are few observations and the independent variables have certain ...

This technical note discusses time-series data. The note explains the concept of a time trend and how to capture the trend using regression. Most of the note is devoted to the problem of ...

A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a ...

This paper presents a generalization of the concept of vector correlation proposed by Escoufier (1973) to the context of time series. For two jointly stationary multivariate stochastic processes { Xt} ...

Using Autocorrelation to Evaluate Investments Autocorrelation can serve as a valuable tool for evaluating the behavior of investment returns over time.

Autocorrelation: The correlation of a time series with its own past and future values, which is a key consideration in modelling and inference in ITS studies.

Localized Autocorrelation Diagnostic Statistic for Sociological Models: Times-series, Network, and Spatial Datasets ...