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Testing asymmetry in dependence with copula-coskewness

Bücher, Axel, Irresberger, Felix and Weiß, Gregor 2017. Testing asymmetry in dependence with copula-coskewness. North American Actuarial Journal 21 (2) , pp. 267-280. 10.1080/10920277.2017.1282876

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Abstract

A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both samples exhibit systematic asymmetric dependence.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
Publisher: Taylor & Francis
ISSN: 1092-0277
Last Modified: 15 Jul 2019 12:40
URI: http://orca.cf.ac.uk/id/eprint/95897

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