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

Alexander Schnurr ()

Statistical Papers, 2014, vol. 55, issue 4, 919-931

Abstract: We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of this dependence show up in real world financial data. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Ordinal patterns; Stationarity; Leverage effect; VIX; Model free data exploration; Econometrics; 62-07 (Primary); 91G70; 91B84; 62M10 (Secondary) (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00362-013-0536-8

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