Authors: | Schnurr, Alexander |
Title: | An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series |
Language (ISO): | en |
Abstract: | We introduce the concept of ordinal pattern dependence between time series and show in an explorative study that both types of this dependence show up in real world financial data. |
Subject Headings: | econometrics leverage effect model free data exploration ordinal patterns stationarity VIX |
URI: | http://hdl.handle.net/2003/29496 http://dx.doi.org/10.17877/DE290R-4847 |
Issue Date: | 2012-07-05 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2412_SFB823_Schnurr.pdf | DNB | 145.44 kB | Adobe PDF | View/Open |
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