On the correlation analysis of stocks with zero returns

Research output: Contribution to journalArticlepeer-review


The purpose of this article is to study serial correlations, allowing for unconditional heteroscedasticity and time-varying probabilities of zero financial returns. Depending on the set-up, we investigate how the standard autocorrelations can be accommodated to deliver an accurate representation of the serial correlations of stock price changes. We shed light on the properties of the different serial correlations measures by means of Monte Carlo experiments. Theoretical results are also illustrated on shares from the Chilean stock market and Facebook stock intraday data.

Original languageEnglish
JournalCanadian Journal of Statistics
StateAccepted/In press - 2023


  • Serial correlation
  • time-varying zero return probability
  • unconditional heteroscedasticity
  • weak dependence
  • zero returns


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