نتایج جستجو برای: leverage deviation
تعداد نتایج: 93297 فیلتر نتایج به سال:
Journal:
:Journal of Financial and Quantitative Analysis
2020
Journal:
:The Federal Reserve Bank of Kansas City Economic Review
2020
Journal:
:Symposium - International Astronomical Union
1974
Journal:
:JAMA: The Journal of the American Medical Association
1906
2014
Alexander Schnurr
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...
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