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

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An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series

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.

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ژورنال

عنوان ژورنال: Statistical Papers

سال: 2013

ISSN: 0932-5026,1613-9798

DOI: 10.1007/s00362-013-0536-8