نتایج جستجو برای: leverage deviation

تعداد نتایج: 93297  

Journal: :Journal of Financial and Quantitative Analysis 2020

Journal: :SSRN Electronic Journal 2003

Journal: :SSRN Electronic Journal 2013

Journal: :Mathematical Finance 2018

Journal: :American Economic Review 2015

Journal: :The Federal Reserve Bank of Kansas City Economic Review 2020

Journal: :TTR : traduction, terminologie, rédaction 1991

Journal: :Symposium - International Astronomical Union 1974

Journal: :JAMA: The Journal of the American Medical Association 1906

2014
Alexander Schnurr

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 nancial data. The classical way to capture the leverage e ect in models for stock markets is to assume a negative correlation between the two datasets which is constant in time (e.g. Barndor Nielsen and Shepard (2002)). However, the...

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