An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series

We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data. Copyright Springer-Verlag Berlin Heidelberg 2014

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Year of publication:	2014
Authors:	Schnurr, Alexander
Published in:	Statistical Papers. - Springer. - Vol. 55.2014, 4, p. 919-931
Publisher:	Springer
Subject:	Ordinal patterns \| Stationarity \| Leverage effect \| VIX \| Model free data exploration \| Econometrics \| 62-07 (Primary) \| 62M10 (Secondary)

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010949815