An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
From MaRDI portal
Publication:465611
DOI10.1007/s00362-013-0536-8zbMath1298.62183arXiv1502.07321MaRDI QIDQ465611
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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