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

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