Consider the sampling period from January 1990 to December 1999. Are the daily log returns of ALCOA
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Consider the sampling period from January 1990 to December 1999. Are the daily log returns of ALCOA stock predictable? You may test the hypothesis using
(a) the first 5 lags of the autocorrelation function, and
(b) the first 10 lags of the autocorrelation function. Draw your conclusion by using the \(5 \%\) significance level. The data are available from CRSP.
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