An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series
نویسنده
چکیده
We introduce the concept of ordinal pattern dependence between time series and show in an explorative study that both types of this dependence show up in real world financial data.
منابع مشابه
A Novel Method for Detection of Epilepsy in Short and Noisy EEG Signals Using Ordinal Pattern Analysis
Introduction: In this paper, a novel complexity measure is proposed to detect dynamical changes in nonlinear systems using ordinal pattern analysis of time series data taken from the system. Epilepsy is considered as a dynamical change in nonlinear and complex brain system. The ability of the proposed measure for characterizing the normal and epileptic EEG signals when the signal is short or is...
متن کاملNon-linear Leverage E ects
We introduce the concept of ordinal pattern dependence between time series and show in an explorative study that both types of this dependence show up in real world nancial data. The classical way to capture the leverage e ect in models for stock markets is to assume a negative correlation between the two datasets which is constant in time (e.g. Barndor Nielsen and Shepard (2002)). However, the...
متن کاملIdentification of outliers types in multivariate time series using genetic algorithm
Multivariate time series data, often, modeled using vector autoregressive moving average (VARMA) model. But presence of outliers can violates the stationary assumption and may lead to wrong modeling, biased estimation of parameters and inaccurate prediction. Thus, detection of these points and how to deal properly with them, especially in relation to modeling and parameter estimation of VARMA m...
متن کاملTesting for Structural Breaks via Ordinal Pattern Dependence
We propose new concepts in order to analyze and model the dependence structure between two time series. Our methods rely exclusively on the order structure of the data points. Hence, the methods are stable under monotone transformations of the time series and robust against small perturbations or measurement errors. Ordinal pattern dependence can be characterized by four parameters. We propose ...
متن کاملModelling of Correlated Ordinal Responses, by Using Multivariate Skew Probit with Different Types of Variance Covariance Structures
In this paper, a multivariate fundamental skew probit (MFSP) model is used to model correlated ordinal responses which are constructed from the multivariate fundamental skew normal (MFSN) distribution originate to the greater flexibility of MFSN. To achieve an appropriate VC structure for reaching reliable statistical inferences, many types of variance covariance (VC) structures are considered ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012