Work

Ordinal pattern dependence and multivariate measures of dependence

Year: 2024

Type: article

Abstract: Ordinal pattern dependence has been introduced in order to capture co-monotonic behavior between two time series. This concept has several features one would intuitively demand from a dependence measure. It was believed that ordinal pattern dependence satisfies the axioms which Grothe et al. (2014) proclaimed for a multivariate measure of dependence. In the present article we show that this is not true and that there is a mistake in the article by Betken et al. (2021). Furthermore, we show that ordinal pattern dependence satisfies a slightly modified set of axioms.

Source: Journal of Multivariate Analysis

DOI: 10.1016/j.jmva.2024.105337

Authors: Angelika Silbernagel, Alexander Schnurr

Institution: University of Siegen

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,180

Funder: Deutsche Forschungsgemeinschaft