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

DOI10.1007/S00362-013-0536-8zbMATH Open1298.62183arXiv1502.07321OpenAlexW2109214436MaRDI QIDQ465611FDOQ465611

Alexander Schnurr

Publication date: 24 October 2014

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

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.

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

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zbMATH Keywords

stationarityeconometricsleverage effectordinal patternsVIXmodel 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) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited In (8)

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

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