1/ Thread with links to time-series autocorrelation research
Return autocorrelations (individual stocks)
D’Souza, Srichanachaichok, Wang, Yao
Return autocorrelations (individual stocks)
D’Souza, Srichanachaichok, Wang, Yao
2/ Return autocorrelations for futures contracts
Moskowitz, Ooi, Pedersen
Moskowitz, Ooi, Pedersen
3/ Implied volatility autocorrelations
(Goyal and Saretto)
(Goyal and Saretto)
4/ *Volatility* autocorrelations for equities and bonds:
Harvey, Hoyle, Korgaonkar, Rattray, Sargaison, and Hemert
Harvey, Hoyle, Korgaonkar, Rattray, Sargaison, and Hemert
5/ Return autocorrelations for the traditional assets, alternative assets, and factors tested in the AQR paper Trends Everywhere
Babu, Levine, Ooi, Pedersen, and Stamelos
Babu, Levine, Ooi, Pedersen, and Stamelos
6/ Return correlations for factors
Gupta and Kelly
"The monthly AR(1) coefficient for the excess market return is 0.07 during our sample.
"The average for our factors is 0.11, and 50 of them have a larger AR(1) coefficient than the market."
Gupta and Kelly
"The monthly AR(1) coefficient for the excess market return is 0.07 during our sample.
"The average for our factors is 0.11, and 50 of them have a larger AR(1) coefficient than the market."
