An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
Year of publication: |
2014
|
---|---|
Authors: | Schnurr, Alexander |
Published in: |
Statistical Papers. - Springer. - Vol. 55.2014, 4, p. 919-931
|
Publisher: |
Springer |
Subject: | Ordinal patterns | Stationarity | Leverage effect | VIX | Model free data exploration | Econometrics | 62-07 (Primary) | 62M10 (Secondary) |
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