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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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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
2009Understanding the VIX681 cited
1993Derivatives on Market Volatility473 cited
2004On leverage in a stochastic volatility model411 cited
2007Stochastic skew in currency options☆341 cited
1997Contingent Claims and Market Completeness in a Stochastic Volatility Model225 cited
2005Ordinal analysis of time series128 cited
2012Time-varying leverage effects105 cited
2009Stochastic Volatility and Stochastic Leverage38 cited

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