A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. In the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading ...

In this article, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two ...

Autocorrelation, a statistical measure that evaluates the relationship between a variable’s past and present values, can provide insights into patterns and guide investment decisions. By analyzing how ...