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

dc.contributor.author	Schnurr, Alexander
dc.date.accessioned	2012-07-05T09:29:19Z
dc.date.available	2012-07-05T09:29:19Z
dc.date.issued	2012-07-05
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/29496
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-4847
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;24/2012	en
dc.subject	econometrics	en
dc.subject	leverage effect	en
dc.subject	model free data exploration	en
dc.subject	ordinal patterns	en
dc.subject	stationarity	en
dc.subject	VIX	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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