Yang, Honglin; Wan, Hong; Zha, Yong - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1681-1693
Earlier studies have documented that three types of autocorrelations exist in financial time series: sign, volatility, and return autocorrelation. In this paper, we examine how each type of the above autocorrelations affects the statistical properties of financial time series and its role in...