The statistics of luminescence from single CdSe/CdS core/shell semiconductor nanocrystals under CW laser excitation at room temperature is experimentally investigated by recording sequences of absolute arrival times of the emitted photons. It is shown that the correlation coefficient for consecutive intervals between the photon-arrival times differs from zero. The correlation persists for photon-arrival intervals separated by two or more photon-detection events, until the time between the two intervals becomes, on average, as long as 180 ms, which corresponds to about 103 detected photons. A simulation of the luminescence process supports the conclusion that this correlation is linked to the blinking character of the quantum-dot luminescence.