- Article
On the Autocorrelation and Stationarity of Multi-Scale Returns
- Carlos Manuel Rodríguez-Martínez,
- Héctor Francisco Coronel-Brizio,
- Horacio Tapia-McClung,
- Manuel Enríque Rodríguez-Achach and
- Alejandro Raúl Hernández-Montoya
In this article, we conduct a statistical analysis of the autocorrelation functions (ACF) of multi-scale logarithmic returns computed over maximal monotonic uninterrupted trends (runs) in financial indices’ daily data. We analyze the Dow Jones...