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

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  • Alexander Schnurr

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. Copyright Springer-Verlag Berlin Heidelberg 2014

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  • Alexander Schnurr, 2014. "An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series," Statistical Papers, Springer, vol. 55(4), pages 919-931, November.
    • Handle: RePEc:spr:stpapr:v:55:y:2014:i:4:p:919-931
    DOI: 10.1007/s00362-013-0536-8
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    References listed on IDEAS

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    Cited by:

    1. Christoph Bandt, 2020. "Order patterns, their variation and change points in financial time series and Brownian motion," Statistical Papers, Springer, vol. 61(4), pages 1565-1588, August.
    2. Fernando López & Mariano Matilla-García & Jesús Mur & Manuel Ruiz Marín, 2021. "Statistical Tests of Symbolic Dynamics," Mathematics, MDPI, vol. 9(8), pages 1-21, April.
    3. Schnurr, Alexander & Fischer, Svenja, 2022. "Generalized ordinal patterns allowing for ties and their applications in hydrology," Computational Statistics & Data Analysis, Elsevier, vol. 171(C).
    4. Annika Betken & Jannis Buchsteiner & Herold Dehling & Ines Münker & Alexander Schnurr & Jeannette H.C. Woerner, 2021. "Ordinal patterns in long‐range dependent time series," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 969-1000, September.
    5. Silbernagel, Angelika & Schnurr, Alexander, 2024. "Ordinal pattern dependence and multivariate measures of dependence," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
    6. Christoph Bandt, 2019. "Order patterns, their variation and change points in financial time series and Brownian motion," Papers 1910.09978, arXiv.org.
    7. Betken, Annika & Dehling, Herold & Nüßgen, Ines & Schnurr, Alexander, 2021. "Ordinal pattern dependence as a multivariate dependence measure," Journal of Multivariate Analysis, Elsevier, vol. 186(C).

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