when transferring the HC technology to time series environments via heteroskedasticity and autocorrelation consistent … inconsistent, so that OLS-HAC inference fails even asymptotically. Second, most economic time series have autocorrelation, which … renders OLS parameter estimates inefficient. Third, autocorrelation similarly renders conditional predictions based on OLS …

autocorrelations close to zero, (ii) these autocorrelation differences between spot and futures markets are maintained even under … conditions favorable for spot-futures arbitrage, and (iii) these autocorrelation differences are most prevalent during low volume …