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

Alexander Schnurr

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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.

Date: 2015-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Stat. Papers 55(4) (2014), 919-931

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