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

Schnurr, Alexander2012-07-052012-07-052012-07-05http://hdl.handle.net/2003/2949610.17877/DE290R-4847We 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.enDiscussion Paper / SFB 823;24/2012econometricsleverage effectmodel free data explorationordinal patternsstationarityVIX310330620An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time seriesworking paper