autocorrelation vs correlation

[alfredo]

Hi everyone

is there any paper on the impact of serial autocorrelation on the dependance or cross correlation? Intuitively, does higher autocorrelation in assets , this will make dependance higher between them?

thanks

 

[Shlomi]

I can't really understand the question. The autocorrelation is the cross-correlation of a signal (process) with itself. What do you mean " higher autocorrelation in assets" ?

 

[alfredo]

hi shlomi

what i mean is , the impact of autocorelation in asset returns (the correlation of an asset return with itself or lagged serie) on the the cross-serial correlation of returns (i.e. the correlation between different asset returns).

higher autocorrelation for an asset return means that previous periods have more effect on next ones

thanks

 

[Peter]

Let me see if I understand what you're saying.

Suppose we have 2 stocks, A and B.

We certainly know how to compute the autocorrelation of stock A's returns.

We also know how to compute the correlation between the returns of A and B.

Are you interested in the influence of autocorrelation(A) on correlation(A, B)?

 

[alfredo]

hello peter

big yes! that's what i mean.
I'm interessted in the influence of autocorrelation (A) and /or (B) on correlation(A, B) or more generally dependency between A and B?
the fact to think in frensh and then translate to english doesn't make things easy to explain lol


merci

 

[senoz]

hello peter

big yes! that's what i mean.
I'm interessted in the influence of autocorrelation (A) and /or (B) on correlation(A, B) or more generally dependency between A and B?
the fact to think in frensh and then translate to english doesn't make things easy to explain lol


merci

If A has positive serial correlation and b has positive serial correlation then I would expect to see a correlation. But what if A has negative autocorrelation and B has positive autocorrelation then there would not be much correlation between them I guess.