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Hey guys I'm somewhat new to econometrics so this might be a rookie question but if a question asks this:

'Can you build an adequate model for the DJCA return series, which captures the dependence structure in the return series?'

Would I be right in looking at Ac in returns and squared returns, if it is present then I should be able to model the dependence structure?

thanks in advanced

Sounds reasonable to me.

I'm assuming you are doing basic time series analysis. You can look at the autocorrelation and partial autocorrelation functions. You might find some evidence of seasonal effects.