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

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

Authors 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

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)

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.

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Cites work

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Cited in

(8)

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

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