Using Autocorrelation to Evaluate Investments Autocorrelation can serve as a valuable tool for evaluating the behavior of investment returns over time.

The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

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 ...

Neglecting the temporal correlations replaces the original, temporally structured spike autocorrelation function with that of a Poisson spike train.

A.D.M. Hilton, J.B. Roberts, O. Hadded, Autocorrelation Based Analysis of Ensemble Averaged LDA Engine Data for Bias-Free Turbulence Estimates: A Unified Approach ...

Autocorrelation can be used for analyzing many types of data. In investments, autocorrelation is part of the technical analysis toolkit used to assess the predictability of asset returns.