STAT244.Lecture.03 6

STAT244.Lecture.03 6 - I ACF must be calculated after adjusting for diurnal pattern I Under aggregation the dependence tends to decrease.

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Temporal dependence: I High frequency data display some dependence. I Dependence is due to I price discreteness I bid-ask bounce I execution of orders I volatility clustering similar to low frequency data.
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Unformatted text preview: I ACF must be calculated after adjusting for diurnal pattern. I Under aggregation, the dependence tends to decrease....
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

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