Autocorrelation - Publications - Faculty & Research - Harvard Business School

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September – October 2007
Article

Trading Patterns and Excess Comovement of Stock Returns

By: Robin Greenwood and Nathan Sosner

n April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the effects of index-linked trading on the excess comovement of stock returns. A large increase occurred in the correlation of trading volume of... View Details

Keywords: Stocks; Investment Return; Market Transactions; Mathematical Methods

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November 1996
Article

Localized Autocorrelation Diagnostic Statistic for Sociological Models: Times-series, Network, and Spatial Datasets

By: C. I. Nass and Y. Moon

Keywords: Society; Analytics and Data Science; Information

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Article

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

By: K. A. Froot

Keywords: Econometrics; Panel Estimation; Autocorrelation; Heteroskedasticity; Mathematical Methods; Economics

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July 1985 (Revised February 1987)
Background Note

Autoregressive Models and Autocorrelated Errors

By: Arthur Schleifer Jr.

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