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Spurious High Frequency Autocorrelation
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Spurious High Frequency Autocorrelation
Eric Falkenstein
Apr 8
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Spurious High Frequency Autocorrelation
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1-minute returns will overestimate variance by 40%
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Spurious High Frequency Autocorrelation
Spurious High Frequency Autocorrelation
Spurious High Frequency Autocorrelation
1-minute returns will overestimate variance by 40%