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

被引：14

作者：

Schnurr, Alexander ^{[1
]}

机构：

[1] Tech Univ Dortmund, Fak Math, Lehrstuhl 4, D-44227 Dortmund, Germany

来源：

STATISTICAL PAPERS | 2014年 / 55卷 / 04期

关键词：

Ordinal patterns; Stationarity; Leverage effect; VIX; Model free data exploration; Econometrics; STOCHASTIC VOLATILITY;

D O I：

10.1007/s00362-013-0536-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：919 / 931

页数：13

共 46 条

[1] An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
Alexander Schnurr
[J]. Statistical Papers, 2014, 55 : 919 - 931
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[J]. REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (01) : 378 - 390
[10] Non-parametric tests for serial dependence in time series based on asymptotic implementations of ordinal-pattern statistics
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[J]. CHAOS, 2022, 32 (09)

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