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

DOI10.1007/s00362-013-0536-8zbMath1298.62183arXiv1502.07321OpenAlexW2109214436MaRDI QIDQ465611

Alexander Schnurr

Publication date: 24 October 2014

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07321

zbMATH Keywords

stationarityleverage effectordinal patternsVIXeconometricsmodel free data exploration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (6)

Generalized ordinal patterns allowing for ties and their applications in hydrology ⋮ ordinalpattern ⋮ Measuring linear correlation between random vectors ⋮ Order patterns, their variation and change points in financial time series and Brownian motion ⋮ Ordinal pattern dependence as a multivariate dependence measure ⋮ Ordinal patterns in clusters of subsequent extremes of regularly varying time series

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• The use, misuse and abuse of mathematics in finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Some Concepts of Dependence

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