Figure 3.
The chart shows cross correlation values plotted against lag, with the horizontal axis labelled as lag and ranging from minus 50 to 50, and the vertical axis labelled as cross correlation ranging from negative 0.15 to positive 0.10. Red dots indicate the cross correlation values at each lag point. Each dot is accompanied by a vertical line representing the confidence interval. A shaded horizontal band spans from negative 0.05 to positive 0.05 to indicate the confidence range. The axis markings are evenly spaced, and the layout is clear and uncluttered.Intercorrelogram of the return series over time
Source: Authors’ own work