Calculate the 1st and 2nd order autocorrelation of


Question:

Calculate the 1st and 2nd order autocorrelation of PE.  Test Ρk = 0 for k =1, 2 for the full sample at 5% significance. Test whether Ρ1 remains the same before and after the GFC. What may explain the difference?

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Financial Management: Calculate the 1st and 2nd order autocorrelation of
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