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Why autocovariances could fully characterise a time series?

Discussion in 'Education' started by Flying pig, Oct 8, 2018.

  1. Flying pig

    Flying pig Guest

    I read in John Cochrane's Time Series for Macroeconomics and Finance that:

    Autocovariance can fully charaterize the time series [joint distribution].

    I do not fully understand the connection between covariance and joint distribution here. Can someone please explain that?

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