Gu, Anthony Yanxiang; Finnerty, Joseph - In: Review of Quantitative Finance and Accounting 18 (2002) 3, pp. 219-37
Autocorrelation in daily returns of the Dow 30 Index fluctuates significantly over time and reveals a declining trend after World War II. The relation between autocorrelation and volatility is negative and nonlinear. The relation between autocorrelation and volume is also negative and nonlinear....
