The data they used was readily available online so I decided to attempt a replication of this to prove them wrong, but it seems like there may be some substance to this. I have used OSRS bonds rather than RS3 bonds since there is a kaggle csv available for download. I have used the multi-day log returns using look-behind windows, and computed ACF with equal sample counts per lag. This is with checking through 40 day lag: https://i.imgur.com/yDtATBh.png And this is checking just through 10 days: https://i.imgur.com/i2PI3SO.png And again through 10 days but using a 2 day log return window: https://i.imgur.com/m04HZYB.png I would encourage someone else to also attempt replicating this analysis to ensure no errors have been made. Edit: btw I am using an exogenous ACF methodology

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