Estimating the Variances of Autocorrelations Calculated from Financial Time Series
- 1 January 1984
- journal article
- Published by JSTOR in Journal of the Royal Statistical Society Series C: Applied Statistics
- Vol. 33 (3) , 300
- https://doi.org/10.2307/2347707
Abstract
Autocorrelation coefficients calculated from n observations are known to have variances approximately equal to 1/n, for a series of independent and identically ...Keywords
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