Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing … to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard … series are seasonally demeaned has very important consequences on the asymptotic behavior of autocorrelation functions …

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …